The Correlation of Headline News Sentiment and Stock Return During Dividend Period

Stock price fluctuations require investors to gather more information to make informed decisions for optimal returns. Dividend announcements are the basis for investors to make investment decisions, as they contain asymmetric information about company performance. However, during the dividend period stock prices often fluctuate, which can make it difficult for investors to make decisions. Therefore, market participants can use sentiment analysis to assess company performance and assist in making investment decisions. The purpose of this study is to analyse headline sentiment during the dividend period, and how it relates to the stock returns of companies included in the LQ45 Index from 2018 to 2022. In conducting the sentiment analysis, the FinBERT model was used to classify dividend news headlines into positive, negative, and neutral sentiment. Then, a Spearman rank correlation test is conducted with the closing price of the stock to see the relationship. The results show that the sentiment formed by news headlines is dominated by neutral sentiment (46%), followed by positive sentiment (28%) and negative sentiment (26%). The study, conducted over the 2018-2022 dividend period, shows a positive relationship between news headlines and stock returns. The analysis shows that the sentiment conveyed in news headlines has a statistically significant positive correlation with changes in company stock returns. These findings suggest that the sentiment expressed in news headlines can serve as a valuable indicator for predicting and understanding fluctuations in stock returns during dividend periods.