The Effect of Media Exposure on Stock Returns of Clothing and Luxury Goods Companies on the Indonesia Stock Exchange

Syalqia Syifa Sajida Arief; Ayu Umyana; Khristina Yunita

doi:10.63922/ijebir.v5i06.6529

Syalqia Syifa Sajida Arief Tanjungpura University
Ayu Umyana Tanjungpura University
Khristina Yunita Tanjungpura University

DOI: https://doi.org/10.63922/ijebir.v5i06.6529

Keywords: Media Exposure, Stock Return, Firm Size, Moderation, Consumer Cyclicals

Abstract

This study aims to analyze the effect of media exposure on stock returns of clothing and luxury goods companies listed on the Indonesia Stock Exchange for the 2020–2024 period, and to examine the role of firm size as a moderating variable with profitability as a control variable. Quantitative methods with a Moderated Regression Analysis (MRA) approach and panel data regression were used. The sample consisted of 17 companies with 81 final observations after outlier elimination using the z-score method. The panel data model was selected using the Chow Test, resulting in the Common Effect Model (CEM) as the selected model. The analysis results showed that media exposure had no significant effect on stock returns (β = −0.661; t = −0.614; p = 0.541), thus H1 was rejected. Firm size was also not shown to moderate the relationship between media exposure and stock returns (β = 0.023; t = 0.587; p = 0.559), thus H2 was also rejected. The overall model was not significant (F = 0.987; p = 0.420) Adjusted R-squared was −0.001

References

Anti, NS, Rahmawati, N., 2020. ABNORMAL STOCK RETURN OF JII PRE-POST PSBB
COVID-19. J. Enterp. Dev. 2, 38–46.https://doi.org/10.20414/jed.v2i2.2664Chang, L., Liang, X., Tan, N., 2025. Tossed by the tides of emotion: The impact of online media sentiment on stock returns. J. Behav. Exp. Finance 46, 101045.https://doi.org/10.1016/j.jbef.2025.101045
De Bondt, WFM, Thaler, R., 1985. Does the Stock Market Overreact? J Finance 40, 793–805.https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
Fang, L., Peress, J., 2009. Media Coverage and the Cross-section of Stock Returns. Isnayni Sabila, Bambang Sutopo, 2025. THE IMPACT OF TRADING VOLUME ACTIVITY AND EARNINGS QUALITY ON STOCK RETURN VOLATILITY: DOES MEDIA EXPOSURE PLAY A ROLE? Int. J. Accounts. Manag. Econ. Soc. Sci. IJAMESC 3, 936–947.https://doi.org/10.61990/ijamesc.v3i3.509
Maryam Saputri, A., Orinaldi, M., Faturahman, 2024. THE EFFECT OF PROFITABILITY, COMPANY VALUE AND LEVERAGE ON INCOME SMOOTHING IN CONSUMER CYCLICALS COMPANIES LISTED IN THE INDONESIAN SHARIA STOCK INDEX (ISSI) IN 2020-2022. J. Ilm. Manaj. Ekon. Dan Bisnis 3, 136–155.https://doi.org/10.51903/jimeb.v3i1.705
Mody Kusumatuti, F., Ghofar, A., Widya Prihatiningtias, Y., 2024. Social Media Usage and Stock Return: The Mediating Role of Profitability. J. Accounting and Financial Review. 14.https://doi.org/10.22219/jrak.v14i3.36339
Muhammad Rizky Ramadhan, Isni Andriana, 2025. The Effect of Good News and Bad News on Stock Returns of Manufacturing Companies on the Indonesia Stock Exchange. J. Account. Econ. and Business Management 5, 418–432.https://doi.org/10.55606/jaemb.v5i3.7745
Ren, Y., 2024. Research on the Influence of Media Attention on Annual Stock Returns. Trans. Econ. Bus. Manag. Res. 7, 261–270.https://doi.org/10.62051/ak7vm496
Sunandi, W., Nariman, A., 2022. FACTORS AFFECTING STOCK RETURNS IN MANUFACTURING COMPANIES IN INDONESIA. J. Paradig. Account. 4, 1611–1621.https://doi.org/10.24912/jpa.v4i4.21392
Syafitri, Z., Suryani, AW, 2022. Stock Information on Social Media and Stock Return. Indonesia. J. Accounts. Res. 25.https://doi.org/10.33312/ijar.653
Tetlock, PC, 2007. Giving Content to Investor Sentiment: The Role of Media in the Stock Market. J Finance 62, 1139–1168.https://doi.org/10.1111/j.1540-6261.2007.01232.x
Tjhin, E., Gamaliel, H., Pinatik, S., 2024. Financial performance analysis of consumer cyclicals sector listed on the IDX for the period 2020 - 2023. Accounting and Pragmatic Management Research 2, 219–228.https://doi.org/10.58784/ramp.220
Welfalini, ST, Umyana, A., Dosinta, NF, 2024. The Effect of Media Exposure on Corporate Sustainability Performance in Commodity Companies Moderated by Company Size. EKOMA J. Econ. Manaj. Account. 3, 460– 471.https://doi.org/10.56799/ekoma.v3i6.4900
Rizaldi, F., Arrozi, MF, 2025. Green Investment Policy as Moderator of ESG and Profitability on Value Relevance in Indonesian Coal Firm. J. Ilm. Accountant. Union 13, 2025–2038.https://doi.org/10.37641/jiakes.v13i6.4314
Azzahra, et al. (2023) 'Consumer Cyclicals Sector Analysis', Journal of Economics and Business.
Banz, RW (1981) 'The relationship between returns and market value of common stocks', Journal of Financial Economics, 9(1), pp. 3–18.
De Bondt, WFM and Thaler, R. (1985) 'Does the Stock Market Overreact?', The Journal of Finance, 40(3), pp. 793–805. doi: 10.1111/j.1540-6261.1985.tb05004.x.
Fama, E.F. (1970) 'Efficient Capital Markets: A Review of Theory and Empirical Work', The Journal of Finance, 25(2), pp. 383–417.
Hartono, J. (2017) Portfolio Theory and Investment Analysis. Yogyakarta: BPFE.
Hasanah, A. and Enggariyanto, D. (2018) 'Determinants of Return on Assets in Manufacturing Companies', Journal of Management and Business, 15(1).
Masitah and Khalifaturofi'ah (2023) 'Consumer Cyclicals and Market Dynamics', Journal of Islamic Economics.
Merton, RC (1987) 'A Simple Model of Capital Market Equilibrium with Incomplete Information', The Journal of Finance, 42(3), pp. 483–510.
Spence, M. (1973) 'Job Market Signaling', The Quarterly Journal of Economics, 87(3),
pp. 355–374