Pengaruh Atensi Investor dan Kasus COVID-19 Terhadap Return Cryptocurrency

Abstract

Dampak ekonomi dan keuangan saat pandemi COVID-19 diperkirakan akan memiliki dampak signifikan bagi investor tradisional maupun kontemporer seperti cryptocurrency, hal tersebut diakibatkan adanya penerapan kebijakan kesehatan untuk menekan penyebaran COVID-19. Kebijakan tersebut sangat berdampak pada pembatasan mobilitas masyarakat sehingga mengurangi aktivitas konsumsi, produksi, dan investasi sehingga menimbulkan permasalahan baru dalam penurunan perekonomian global tahun 2020 (Bank Indonesia 2020). Hal tersebut karena penyebaran berita yang semakin cepat, dan tidak ada episode wabah virus sebelumnya yang menyebabkan reaksi pasar yang sangat mirip dengan respons terhadap COVID-19. Investor mempunyai respon terhadap informasi tetapi mempunyai kendala kognitif dalam menginterpretasikan informasi yang diterima. Sehingga investor bertindak secara irrasional. Oleh karenanya, investor cenderung mendasarkan pada rumor, isu, spekulatif, dan peristiwa yang berlangsung. Isu kendala kognitif pada investor attention (atensi investor) semakin penting di era media sosial dan banyaknya informasi terkait pandemi COVID-19. Pada dasarnya, masyarakat akan menganggap perhatian investor sebagai kesadaran apakah suatu informasi ada, sedangkan sentimen investor adalah interpretasi informasi yang bias suasana hati sebagai menguntungkan atau tidak untuk return investasi. Istilah tersebut terkait perhatian investor yang lebih besar dapat memperburuk efek bias perilaku investor seperti sentimen (Smales 2021). Secara umum penelitian ini bertujuan untuk menganalisis pengaruh perhatian investor terhadap return cryptocurrency pada saat pandemi COVID-19. Dengan mengetahui return yang tinggi pada suatu cryptocurrency maka sesuai dengan attention theory, investor yang memiliki keterbatasan kognitif maka hanya fokus pada cryptocurrency tersebut, sehingga investor akan meningkatkan perhatian terhadap cryptocurrency tersebut. Kemudian, dengan menggunakan informasi-informasi melalui Google, investor mencoba dengan kemampuan estimasinya memprediksi harga cryptocurrency pada periode berikutnya. Namun hal tersebut menyebabkan investor terlalu percaya diri pada kemampuan mereka sendiri, yang mengarah pada keputusan yang tidak masuk akal. Keyakinan yang berlebihan akan menimbulkan over-reaction dalam pembelian cryptocurrency tersebut sehingga mempengaruhi return cryptocurrency, kemudian dilakukan uji Causality Granger untuk melihat apakah terdapat kausalitas hubungan antara atensi investor dengan return cryptocurrency. Penelitian ini menggunakan sepuluh cryptocurrency dengan kapitalisasi pasar terbesar. Periode penelitian dari tanggal 31 Desember 2019 sampai dengan 30 April 2020. Proksi dari perhatian investor digunakan Google Trend. Metode penelitian menggunakan multiple linier regression dengan terlebih dahulu dilakukan uji asumsi, setelah itu dilakukan uji Granger causality untuk menelaah hubungan kausalitas antara atensi investor dan return. Hasil penelitian menunjukkan bahwa atensi investor (investor attention) mempengaruhi return pada cryptocurrency yang mempunyai kapitalisasi besar dan sering mendapatkan eksposur pemberitaan media seperti Bitcoin dan Ethereum. Dalam penelitian ini atensi investor tidak berpengaruh terhadap Litecoin yang memiliki nilai kapitalisasi paling kecil. Selama periode penelitian, kasus harian COVID-19 (positif, meninggal, dan sembuh) berpengaruh positif pada Bitcoin, Ethereum dan Ripple. Penurunan drastis return cryptocurrency terjadi karena adanya pengumuman pandemi global oleh WHO, investor mengalamai over reaction sehingga melakukan panic selling yang menyebabkan penurunan tingkat return cryptocurrency. Beda rata-rata return cryptocurrency setelah pengumuman WHO lebih tinggi dari rata-rata return cryptocurrency sebelum pengumuman WHO. Hal tersebut diduga karena adanya imbauan pemerintah terkait bekerja dari rumah sehingga memiliki banyak waktu luang selama pandemi yang membuat masyarakat lebih menyukai mencari informasi dan berinvestasi secara online sehingga turut mendongkrak aktivitas perdagangan cryptocurrency. Hasil uji kausalitas antara variabel atensi investor dan variabel return, hanya Bitcoin yang memiliki hubungan kausalitas dua arah.

The economic and financial impact of the COVID-19 pandemic is expected to be significant for traditional and contemporary investors such as cryptocurrencies, which is due to the implementation of health policies to restrict the spread of COVID-19. Such policies limit people's mobility thereby reducing consumption, production, and investment activities which bring about new problems in the global economic downturn in 2020 (Bank Indonesia 2020). It happens since the spread of news is getting faster and no outbreaks have caused similar market reaction to that caused by COVID-19. Investors have a reaction to information, but they have cognitive limitations when it comes to analyzing it which makes them act irrationally. For that reason, investors frequently base their decisions on rumors, issues, speculatives, and current events. The issue of cognitive constraints on investor attention is becoming more and more important in the era of social media and since the information related to the COVID-19 pandemic is abundant. The public will perceive investor attention as awareness of whether information exists, while investor sentiment as the mood-biased interpretation of whether information is favorable for investment returns. Such term, according to the greater inventor attention can worsen the effects of investor bias behavior such as sentiment (Smales 2021). In general, this research aims to examine the effect of investor attention on cryptocurrency return during the COVID-19 pandemic. By figuring out the high return on a cryptocurrency, in accordance with attention theory, investors having cognitive limitations will only focus on the cryptocurrency, causing them to increase their attention only to that cryptocurrency. Then, by utilizing information they got from Google, they will try to predict the price of cryptocurrency in the next period. However, this leads to another problem where they become overconfident with their abilities and it makes them make unreasonable decisions. Excessive belief will result in an overreaction in cryptocurrency purchases, affecting the cryptocurrency's return. The Granger Causality test was then used in this study to determine whether or not there was a link between investor attention and cryptocurrency returns. The ten cryptocurrencies with the highest market capitalization were used in this study. The study was carried out from December 31st, 2019 to April 30th, 2020. Google Trend was used as a proxy for investor attention. Regarding the research method, multiple linear regression was first employed with assumptions testing, followed by a Granger causality test to investigate the causal relationship between investor attention and return. The findings showed that investor attention had an effect on the return of cryptocurrency which had a large capitalization and often got exposure from the media such as Bitcoin and Ethereum. It was also found out in this study that investor attention did not affect Litecoin which had the smallest capitalization value. It was also observed during the study that daily cases of COVID-19 (positive, died and recovered) positively affect Bitcoin, Ethereum and Ripple. The WHO's announcement of a global pandemic caused a dramatic drop in cryptocurrencies prices. Investors had an overreaction and engaged in panic selling, causing a fall in cryptocurrency prices. The difference in average of cryptocurrency returns after the WHO announcement was greater than that prior to the WHO announcement. This was allegedly due to the government's appeal regarding working from home so that people had a lot of free time during the pandemic which made them prefer to find information and invest online and that helped in boosting cryptocurrency trading activities. The causality test results between the investor attention variable and the return variable indicated that only Bitcoin that had a two-way causality relationship.