Rational and Irrational Factors Influencing Bank Stock Prices: GMM Approach

Firmansyah, Muhammad; Sri Budi Cantika Yuli; Stanislaw Flejterski

doi:10.15294/edaj.v14i4.29643

Jurnal

Rational and Irrational Factors Influencing Bank Stock Prices: GMM Approach

Economics Development Analysis Journal · Vol. 14 No. 4 (2026) · hlm. 478–490

DOI: 10.15294/edaj.v14i4.29643
ISSN: 2502-2725, 2252-6560
Terbit: 2026-01-19
Penerbit: Universitas Negeri Semarang
Bahasa: eng

Abstrak

In the dynamic and volatile capital market, understanding the factors that influence stock prices is essential for making informed investment decisions. Stock price movements are influenced by rational, fundamental information, irrational investor behavior, and sentiment. This study aims to analyze the influence of rational and irrational factors on stock prices in the Indonesian banking sector during the 2020-2024 period. The rational variables include price-to-book value (PBV), financial literacy, technology adoption, and interest rates, while irrational influence is represented by investor sentiment or mood. Using a dynamic panel data approach with the Generalized Method of Moments (GMM), this study examines four major Indonesian banks: Bank Mandiri, BNI, BRI, and BCA. The results show that PBV, financial literacy, and technology adoption significantly affect stock prices, while interest rates have a significant negative effect. Additionally, investor sentiment has a considerable positive impact, indicating that emotional and psychological factors can drive stock price movements beyond fundamental valuation. This research presents a novel analytical model that integrates rational and irrational perspectives, offering a comprehensive understanding of stock price volatility in emerging markets. It suggests that investors, companies, and policymakers must consider both fundamental indicators and market sentiment simultaneously to make accurate, timely investment decisions.

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Universitas Stikubank
Universitas Gadjah Mada
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Rekan penulis	Organisasi	Artikel bersama
Herny Februariyanti	Universitas Stikubank	1
Jati Sasongko Wibowo	Afiliasi tidak diketahui	1
Mardi Siswo Utomo	Universitas Gadjah Mada	1
La Ode Muhammad Iksan Yusuf	Afiliasi tidak diketahui	1
Masyitah Masyitah	Afiliasi tidak diketahui	1
Sulistiani Syafitri	Afiliasi tidak diketahui	1
Immanuel Mu'ammal	Afiliasi tidak diketahui	1
Arini Roro Anggun Tsalasa	Afiliasi tidak diketahui	1

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Sumber metadata: OAI-PMH (metadata jurnal) https://journal.unnes.ac.id/journals/edaj/oai, pertama di-harvest 5 Nov 2026, terakhir terlihat 5 Nov 2026.

Metadata asli (oai_dc)

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	<dc:title xml:lang="en">Rational and Irrational Factors Influencing Bank Stock Prices: GMM Approach</dc:title>
	<dc:creator xml:lang="en">Firmansyah, Muhammad</dc:creator>
	<dc:creator xml:lang="en">Sri Budi Cantika Yuli</dc:creator>
	<dc:creator xml:lang="en">Stanislaw Flejterski</dc:creator>
	<dc:subject xml:lang="en">Price-to-Book Value, Financial Literacy, Technology Adoption, Interest Rate, Investor Sentiment, Stock Price</dc:subject>
	<dc:description xml:lang="en">In the dynamic and volatile capital market, understanding the factors that influence stock prices is essential for making informed investment decisions. Stock price movements are influenced by rational, fundamental information, irrational investor behavior, and sentiment. This study aims to analyze the influence of rational and irrational factors on stock prices in the Indonesian banking sector during the 2020-2024 period. The rational variables include price-to-book value (PBV), financial literacy, technology adoption, and interest rates, while irrational influence is represented by investor sentiment or mood. Using a dynamic panel data approach with the Generalized Method of Moments (GMM), this study examines four major Indonesian banks: Bank Mandiri, BNI, BRI, and BCA. The results show that PBV, financial literacy, and technology adoption significantly affect stock prices, while interest rates have a significant negative effect. Additionally, investor sentiment has a considerable positive impact, indicating that emotional and psychological factors can drive stock price movements beyond fundamental valuation. This research presents a novel analytical model that integrates rational and irrational perspectives, offering a comprehensive understanding of stock price volatility in emerging markets. It suggests that investors, companies, and policymakers must consider both fundamental indicators and market sentiment simultaneously to make accurate, timely investment decisions.</dc:description>
	<dc:publisher xml:lang="en">Universitas Negeri Semarang</dc:publisher>
	<dc:date>2026-01-19</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.unnes.ac.id/journals/edaj/article/view/29643</dc:identifier>
	<dc:identifier>10.15294/edaj.v14i4.29643</dc:identifier>
	<dc:source xml:lang="en">Economics Development Analysis Journal; Vol. 14 No. 4 (2025): Economics Development Analysis Journal; 478 - 490</dc:source>
	<dc:source>2502-2725</dc:source>
	<dc:source>2252-6560</dc:source>
	<dc:source>10.15294/edaj.v14i4</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.unnes.ac.id/journals/edaj/article/view/29643/8734</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2026 Economics Development Analysis Journal</dc:rights>
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