The Role of Non-Fundamental Information in Significant Stock Returns: an Empirical Analysis of Non-Lq45 Stocks on the Indonesian Stock Exchange for the Period 2021–2025

Abstract

This study aimed to analyze the effects of nonfundamental factors on the returns of non-LQ45 stocks listed on the Indonesia Stock Exchange (IDX) during the 2021–2025 period. The nonfundamental factors examined in this study were investor sentiment, investor literacy, and stock volatility, with firm size included as a control variable. The background of this research was the significant increase in the number of investors on the IDX and the dominance of retail investor transactions following the COVID-19 pandemic. This condition was considered to provide greater opportunities for nonfundamental factors to influence stock return formation. This research was grounded in the Capital Asset Pricing Model (CAPM), supported by the Fama–French Three-Factor Model, Efficient Market Hypothesis (EMH), information asymmetry theory, and market microstructure theory. This study employed a quantitative approach with an explanatory research design and panel data regression analysis using the Ordinary Least Squares (OLS) method. The research sample consisted of 105 non-LQ45 stock observations selected proportionally based on market capitalization. The results of this study were expected to provide empirical evidence regarding the relevance of nonfundamental factors in explaining the formation of non-LQ45 stock returns in the Indonesian capital market.