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Articles | 2025-06-30

Does AI Sentiment Affect Stock Returns? Evidence from Indonesia’s Banking Sector

Geryan Junanta, Rofikoh Rokhim
Quantitative Economics and Management Studies, Vol. 6 No. 3 (2025), pp. 456-469 https://doi.org/10.35877/454RI.qems3995 Published: 2025-06-30
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Abstract

This study investigates the heterogeneous effects of AI-related investor sentiment on the stock returns of Indonesian banks. Using a correlation-weighted AI Sentiment Index (AI-SVI) derived from Google Trends, panel regressions reveal that only fintech-driven banks show significant responsiveness to AI sentiment, while conventional, independent digital, and conglomerate-backed banks do not. These findings are supported by a supplementary investor perception survey, which confirms that market participants associate visible and strategic AI adoption primarily with fintech institutions. The results suggest that AI sentiment can act as a behavioral signal of valuation in emerging financial markets, but its effectiveness depends on how innovation is perceived and communicated. Policymakers and investors should be cautious in interpreting sentiment-driven movements, especially in sectors with uneven technological maturity.

Keywords

AI SentimentGoogle TrendsBank Stock ReturnsFintechEmerging MarketsBehavioral Finance

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How to Cite

Junanta, G., & Rokhim, R. (2025). Does AI Sentiment Affect Stock Returns? Evidence from Indonesia’s Banking Sector. Quantitative Economics and Management Studies, 6(3), 456–469. https://doi.org/10.35877/454RI.qems3995