Factors Determining the Price of Banking Stocks: The Role of Sentiment, Volatility, Trading Volume, and Exchange Rate

Abstract

This study analyzes the influence of investor sentiment, trading volume, volatility, and exchange rate on banking stock prices in Indonesia. Using a mixed qualitative and quantitative approach, this study analyzed 1,245 comments of mobile banking application users through text mining using the Naïve Bayes algorithm, combined with secondary data from the IDX and BI for the 2020-2024 period. The results of multiple linear regression showed that simultaneously all variables had a significant effect (F test, p=0.000), but only partially volatility (0.099, p<0.05), trading volume (0.215, p<0.05), and exchange rate (1.004, p<0.05) were significant, while positive and negative sentiment were insignificant. This model is able to explain the 25.59% variation in stock price (R²=0.2559), indicating the presence of other factors that are more dominant. These findings are consistent with the literature that in emerging markets such as Indonesia, fundamental and macroeconomic factors are more influential than investor sentiment in determining the price of banking stocks. This research provides important implications for investors and regulators in investment decision-making and market stabilization policy formulation.