| Summary: | Does the online retrieval using Google�s Search engine relevant in explaining
returns, liquidity and volatility of stock return in Indonesia stock exchange? The
results of this study aim to answer that question. Based on the results of the
analysis, the variabel of investor attention represented by Google insight had
positive and significant impact on returns, liquidity and volatility of stock returns
on manufacturing firms in Indonesian Stock Exchange during the period from
2009 to 2010. The hypothesis testing in this study was performed three times by
using panel data regression analysis. The test result revealed that the search of
online information through Google is one of the efforts to reduce the asymmetry
information between informed investors and the un-informed investors.
Ultimately, these results lead us to a conclusion, that the high search of
information will help investors in making investment decisions that impact on
liquidity improvement. Therefore, the increasing of the liquidity of a stock will
affect the volatility returns of share traded.
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