Abstract
The Relationship Between Volatility and Trading Volume in The Indonesian Stock Exchange There are a lot of studies that examine the relationship between volatility and trading volume in the stock exchange. This study is conducted to examine the role of trading frequency and volume in explaining the volatility-volume relationship in the Indonesia Stock Exchange (IDX). The analysis is conducted at the firm level with samples of 38 individual stocks from January 2012 to December 2013. The results show that there is a positive relationship between volatility and trading frequency as well as between volatility and trading volume. The results also find that trading frequency is better than trading volume in explaining volatility. DOI: 10.15408/ess.v7i1.3894
Highlights
Abstrak Telah banyak penelitian yang meneliti mengenai hubungan antara volatilitas dan volumen perdagangan
The results show that there is a positive relationship between volatility and trading frequency as well as between volatility and trading volume
The results also find that trading frequency is better than trading volume in explaining volatility
Summary
Abstrak Telah banyak penelitian yang meneliti mengenai hubungan antara volatilitas dan volumen perdagangan. Penelitian ini dilakukan untuk menguji peranan dari frekuensi perdagangan dan volume perdagangan dalam menjelaskan hubungan volatilitas dan volume di Bursa Efek Indonesia. Hasil penelitian menunjukkan bahwa terdapat hubungan positif antara volatilitas dan frekuensi perdagangan dan juga antara volatilitas dan volume perdagangan. Hasil penelitian juga menemukan bahwa frekuensi perdagangan lebih baik dari pada volume perdagangan dalam menjelaskan volatilitas.
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