Social media such as Twitter is an online platforms to exchange stock information. Many researchers believe that more information about the stock market should reduce volatility. This study aims to see the impact of agreement among investors in the capital market moderated by investor alpha. Is it only considered noise or valuable information? We used data on Twitter to capture agreement among investors and the impact of investor alpha from 2016 to 2021 and analyze 10242 stock-related daily messages using computational linguistics and examine the mechanism leading to an efficient aggregation of information from investor alpha or quality of investment advice based on 60 largest trading volume stock registered in Indonesia Stock Exchange. We used the moderation model PROCESS analysis regression to seek to determine whether the size or sign of the effect agreement among investors in the capital market depends in one way or another on the quality of investor alpha. Our results show that disagreement among online investors positively correlated with volatility and the impact of agreement among investors on volatility in the capital market depends on the quality of investor alpha. In other words, the level of agreement between investors can affect the volatility of the stock market depending on the accuracy of the recommendations given by alpha investors on the stock returns for a period.

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Mr. Mochamad Malik Akbar Rohandi