Volume Dan Frekuensi Transaksi Terhadap Harga Saham

Bambang Susanto, Sukadwilinda Sukadwilinda


The study of the capital market, both fundamentally and technically, has produced many new findings (novelty) in theory, models and others. In this study, researchers tried to see the impact or market reaction when buying and selling by investors in the secondary market was marked by the variables transaction volume and transaction frequency whether it had an effect on stock prices. The results of the study with the LQ45 index sample and by using panel data show that the estimation test is a common effect in interpreting panel data regression. Hypothesis testing both partial and simultaneous obtained the results that there is a significant influence between the independent variables on the dependent variable. While the determination test obtained 95.69% of the independent variables affect the dependent variable and the rest are influenced by other variables.


Full Text:



Abhyankar, A., Ghosh, D., Levin, E., & Limmack, R. J. (1997). Bid-ask spreads, trading volume and volatility: Intra-day evidence from the London stock exchange. Journal of Business Finance and Accounting, 24(3–4), 343–362. https://doi.org/10.1111/1468-5957.00108

Aït-sahalia, Y., & Brunetti, C. (2019). High frequency traders and the price process. Journal of Econometrics, xxxx.

Benos, E., & Sagade, S. (2016). Price discovery and the cross-section. Journal of Financial Markets, 2010, 1–24. https://doi.org/10.1016/j.finmar.2016.03.004

Bernanke, B. S., & Kuttner, K. N. (2005). What explains the stock market’s reaction to federal reserve policy? Journal of Finance, 60(3), 1221–1257. https://doi.org/10.1111/j.1540-6261.2005.00760.x

Beyaz, E., Tekiner, F., Zeng, X. J., & Keane, J. (2019). Comparing Technical and Fundamental Indicators in Stock Price Forecasting. Proceedings - 20th International Conference on High Performance Computing and Communications, 16th International Conference on Smart City and 4th

Bouchaud, J. P., Farmer, J. D., & Lillo, F. (2009). How Markets Slowly Digest Changes in Supply and Demand. In Handbook of Financial Markets: Dynamics and Evolution (First Edit). Elsevier Inc. https://doi.org/10.1016/B978-012374258-2.50006-3

Caivano, V. (2015). The Impact of High-Frequency Trading on Volatility. Evidence from the Italian Market. SSRN Electronic Journal, March. https://doi.org/10.2139/ssrn.2573677

Conrad, J., Wahal, S., & Xiang, J. (2015). High-frequency quoting , trading , and the efficiency of prices $. Journal of Financial Economics, 1–21. https://doi.org/10.1016/j.jfineco.2015.02.008

Hsieh, C., Barmish, B. R., & Gubner, J. A. (2019). The Impact of Execution Delay on Kelly-Based Stock Trading : High-Frequency Versus Buy and Hold. 2019 IEEE 58th Conference on Decision and Control (CDC), Cdc,

Karpoff, J. M. (2016). American Finance Association A Theory of Trading Volume Author ( s ): Jonathan M . Karpoff Source : The Journal of Finance , Vol . 41 , No . 5 ( Dec ., 1986 ), pp . 1069-1087 Published by : Wiley for the American Finance Association Stable URL : http://ww. 41(5), 1069–1087.

Korajczyk, R. A., & Murphy, D. (2018). High-Frequency Market Making to Large Institutional. July. https://doi.org/10.1093/rfs/hhy079/5057035

Kung, J. J., Carverhill, A. P., & Mcleod, R. H. (2010). Indonesia’s stock market: Evolving role, growing efficiency. Bulletin of Indonesian Economic Studies, 46(3), 329–346. https://doi.org/10.1080/00074918.2010.522503

Masry, M. (2017). The Impact of Technical Analysis on Stock Returns in an Emerging Capital Markets (ECM’s) Country: Theoretical and Empirical Study. International Journal of Economics and Finance, 9(3), 91.

Miller, R. S., & Shorter, G. (2018). High Frequency Trading: Overview of Recent Developments. Congressional Research Service, 107(4), 714–717. http://doi.wiley.com/10.1111/apa.14173

Næs, R., Skjeltorp, J. A., & Ødegaard, B. A. (2011). Stock Market Liquidity and the Business Cycle. Journal of Finance, 66(1), 139–176. https://doi.org/10.1111/j.1540-6261.2010.01628.x

Sugiono. (2012). Metode Penelitian Kuantitatif, Kualitatif, dan Tindakan.

DOI: https://doi.org/10.32897/jemper.v4i2.2182


  • There are currently no refbacks.

Published by:

Program Studi S1 Manajemen dan D3 Keuangan & Perbankan
Fakultas Ekonomi 
Universitas Sangga Buana
Bandung, Jawa Barat, Indonesia
p-ISSN: 2655-2922 e-ISSN: 2656-632X

Indexed :