摘要：This study attempts to identify the impact of investor’s attention which is surrogated by the search
engine query data on the internet using Google on returns and liquidity. The data used in this study
is extracted from Google Trend data set, and hand-collected data from the Indonesia Capital Market
Directory (ICMD). By employing panel data analysis, our results show that search engine query data
(information retrieval) by using the internet (Google) is clearly an important method of attenuating
the level of asymmetry information between the informed and un-informed investors. Moreover, the
utilization of microeconomic factors such as financial or non-financial information that can be easily
obtained from the annual reports are strongly useful in helping investors preparing their portfolio of
investment. Meanwhile, the macroeconomics factors such as inflation, interest rate, exchange rate,
and GDP are the country-level effect which results in either positive or negative impact on returns
and liquidity. By employing 83 samples and six years time period of observation, we infer that
information retrieval through the search engine query data on the internet, macroeconomics factors
and microeconomics factors are strongly and significantly related to returns and liquidity in the
Indonesia stock exchange.
关键词：Internet; Google; microeconomics; macroeconomics information
