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Rational and Irrational Factors Influencing Bank Stock Prices: GMM Approach

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

DOI
10.15294/edaj.v14i4.29643
ISSN
2502-2725, 2252-6560
Published
2026-01-19
Publisher
Universitas Negeri Semarang
Language
eng

Abstract

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.

Keywords

Collaboration network of the authors

16 authors · 27 co-authorship links · 1 across different organisations

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • Universitas Stikubank
  • Universitas Gadjah Mada
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Herny FebruariyantiUniversitas Stikubank1
Jati Sasongko WibowoAffiliation unknown1
Mardi Siswo UtomoUniversitas Gadjah Mada1
La Ode Muhammad Iksan YusufAffiliation unknown1
Masyitah MasyitahAffiliation unknown1
Sulistiani SyafitriAffiliation unknown1
Immanuel Mu'ammalAffiliation unknown1
Arini Roro Anggun TsalasaAffiliation unknown1
Haryadi HaryadiAffiliation unknown1
Etik UmiyatiAffiliation unknown1
Alvin SubastianAffiliation unknown1
Wahyu Hidayat RiyantoAffiliation unknown1
FX Gugus Febri PutrantoAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.unnes.ac.id/journals/edaj/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.
Original metadata (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>
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	<dc:type xml:lang="en">Peer-reviewed Article</dc:type>
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	<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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