Stock Trading Volume Research Articles

The Effect of Accounting Profit, Operating Cash Flow, Return on Equity (ROE) and Dividends on Stock Trading Volume in Mining Companies Listed on the Indonesia Stock Exchange in 2020-2023

This study aims to test whether accounting profit, operating cash flow, return on equity and dividends affect the volume of stock trading in mining companies listed on the Indonesia Stock Exchange (IDX) for the period of 2020-2023. The sampling technique uses purposive sampling of 21 companies that meet the criteria. The method uses multiple linear regression analysis with the SPSS program. The results of the study show that partially operating cash flow and dividends have an influence on stock trading volume. Meanwhile, accounting profit and return on equity have a significant effect but show a negative influence on stock trading volume. Simultaneously, the results of the study stated that accounting profit, operating cash flow, return on equity and dividends have an effect on stock trading volume.

Threshold integer-valued autoregressive model with serially dependent innovation

ABSTRACT Nonlinearity in count time series is commonly encountered in practice. To better explain the nonlinear phenomena in count time series, this article introduces a new threshold INAR(1) model using the idea of serially dependent innovation. The proposed model contains some existing INAR(1) models as special cases and establishes a connection between the threshold INAR(1) model and the threshold INARCH(1) model. The basic probabilistic and statistical properties of the new model are investigated. Model parameters, including the threshold variable, are estimated by the conditional least squares, modified quasi-likelihood and conditional maximum likelihood methods. Asymptotic properties and numerical results of the estimates are also studied. An application to the monthly trading volume of stock B in Shanghai Stock Exchange is conducted to show the practicability of the proposed model.

A Novel Stock Price Prediction and Trading Methodology Based on Active Learning Surrogated with CycleGAN and Deep Learning and System Engineering Integration: A Case Study on TSMC Stock Data

Technical analysis, reliant on statistics and charting tools, is a predominant method for predicting stock prices. However, given the impact of the joint effect of stock price and trading volume, analyses focusing solely on single factors at isolated time points often yield partial or inaccurate results. This study introduces the application of Cycle Generative Adversarial Network (CycleGAN) alongside Deep Learning (DL) models, such as Residual Neural Network (ResNet) and Long Short-Term Memory (LSTM), to assess the joint effects of stock price and trading volume on prediction accuracy. By incorporating these models into system engineering (SE), the research aims to decode short-term stock market trends and improve investment decisions through the integration of predicted stock prices with Bollinger Bands. Thereby, active learning (AL) is employed to avoid over-and under-fitting and find the hyperparameters for the overall system model. Focusing on TSMC’s stock price prediction, the use of CycleGAN for analyzing 30-day stock data showcases the capability of ResNet and LSTM models in achieving high accuracy and F-1 scores for a five-day prediction period. Further analysis reveals that combining DL predictions with SE principles leads to more precise short-term forecasts. Additionally, integrating these predictions with Bollinger Bands demonstrates a decrease in trading frequency and a significant 30% increase in average Return on Investment (ROI). This innovative approach marks a first in the field of stock market prediction, offering a comprehensive framework for enhancing predictive accuracy and investment outcomes.

The Impact Of Daftar Efek Syariah (DES) Announcement To The Asii’s Abnormal Returns And Trading Volume

DES announcement can be an important information for investors in making investment decisions. Islamic investors have to sell their stock when their stocks are excluded from DES. On the other hand, investors who want to invest in Islamic stocks will buy stocks that are included in the DES. The purpose of this study is to examine the impact of ASII stock reentry and exit from and into DES to the abnormal return and trading volume activity. This study uses secondary data obtained from investing.com. The data used in this study are daily stock closing prices, IHSG index and daily stock trading volume. This study follows event study methods. The first event window used in this study is 7 days before November,23,2020 and 7 days after. The second event window used is 7 days before May 24, 2023 and 7 days after. Descriptive statistic and Wilxocon sign ranks is used to analysis the data. The results showed that there was no significant difference in abnormal returns both at the time of ASII exit and reentry. However, trading volume of ASII stock significant difference before and after exit announcement. But when ASII stock reentry to the DES there was no significant difference.

DETERMINAN VOLATILITAS HARGA SAHAM PADA INDEKS IDX30 (STUDI PADA TAHUN 2018-2021)

The purpose of this study is to determine the factors that influence the volatility of the IDX30 company’s stock prices. Independent variable used are Stock Trading Volume, dividend policy, leverage, firms size, and asset growth. This study using the report data from companies listed in IDX in the Index IDX30 between 2018-2021. Data analyzed using data panel regression analysis. The result from the analysis found out if variable dividend yield, firm size, and growth asset has no significant effects on Stock Price Volatility. Meanwhile, trading volume and leverage have a significant effect on stock price volatility.

An Empirical Study on Announcement Effect of Right Issue Ex-Date

This research aims to examine how the market reacts regarding the announcement of the rights issue and how the market reacts at the ex date. The sampling technique is purposive sampling, namely companies that carry out rights issues and are active banking on the Indonesian Stock Exchange. Testing period 2015 to 2021. The technique used is multiple linear regression test and paired sample T test. The total number of companies is 27 issuers with research results showing that the announcement of a rights issue has an effect on changes in share prices where the p-value of the pair sample t-test is less than 0.05. Meanwhile, testing the market reaction regarding the ex date shows that there was a significant decline in stock prices so that the market reacted negatively with a p-value of less than 0.05 and there was a significant change in stock trading volume during the ex date condition with a p-value of less than 0.05.

CAPITAL MARKET REACTION TO PRABOWO-GIBRAN’S VICTORY IN THE 2024 PRESIDENTIAL ELECTION IN INDONESIA : TESTING ON INFOBANK15

This research aims to analyze the capital market reaction to the event study of Prabowo-Gibran's victory in the Indonesian Presidential Election by comparing the variables of stock price, stock return and Infobank15 stock trading volume activity in the research period 20 days before and 20 days after the announcement on March 20 2024. Including quantitative research because the data taken is secondary data sourced from idx.co.id where the population which is also a sample is 15 leading banks with good performance according to the Indonesian Stock Exchange. The research results reveal that there is no difference in the average stock price, average stock return and average TVA before and after the announcement of Prabowo-Gibran's victory.

Effects of Stock Trading Volume, Leverage, and Dividend Payout Ratio on Stock Price Volatility

This study aims to analyze the impact of stock trading volume, leverage, and dividend payout ratio (DPR) on stock price volatility among companies included in the Kompas100 Index and listed on the Indonesia Stock Exchange (IDX) from 2018 to 2022. The data used in this research were obtained from the financial statements available on the official IDX website and additional data from Yahoo Finance. A purposive sampling method was used to select the research sample based on specific criteria. The results of the study indicate that stock trading volume and leverage have a significant positive impact on stock price volatility, while DPR also influences volatility by showing changes that can elicit sharp market reactions. These findings provide important insights for investors and company management regarding factors that can increase risk and uncertainty in stock prices in the market.

The Effect of Stock Price, Stock Trading Volume and Market Capitalization on the Stock Return of Health Sector Companies Listed on the Indonesia Stock Exchange during Covid 19 (Period 2020-2022)

The purpose of this study was to analyze the effect of stock prices, stock trading volume and market capitalization on stock returns of health sector companies listed on the Indonesia Stock Exchange (IDX) during the Covid 19 period (2020-2022 period). The capital market is a place where investors can provide a portion of their capital to invest in a company issuer to gain profit. The type of research used in this study uses quantitative research, namely research conducted using numbers as objects in conducting analysis. The data used is secondary data in the form of quarterly data over a period of 3 years. The samples used in this study were 17 health sector companies listed on the Indonesia Stock Exchange. As for the data collection method by means of documentation and sampling using purposive sampling method. The results of this study indicate that the stock price variable has a significant level of value on stock returns with the results of the t test which is worth 0.000 so it can be interpreted that the stock price variable has a significant effect on stock returns. The stock trading volume variable has a significant effect on stock returns, this can be seen by the significance value of the t test results of 0.042. The market capitalization variable has no significant effect on stock returns, this can be proven by the significance value of the t-test results of 0.212.

STOCK MARKET RESPONSE TO METEOROLOGICAL DISASTER RISK: FROM LIQUIDITY PERSPECTIVE

This study investigates the impact of meteorological disaster risk perception on stock liquidity of Chinese listed companies by constructing meteorological disaster risk perception indicators through the Baidu index. Empirical evidence reveals that an increase in meteorological disaster risk perception decreases investors’ risk appetite and increases investors’ loss aversion, which in turn negatively affects stock liquidity. In addition, the increase in meteorological disaster risk perception also shrinks stock trading volume by reducing investor sentiment. The negative effect of meteorological disaster risk perception on stock liquidity is more pronounced in summer and winter and for firms located in water-rich areas. The findings of this study provide empirical evidence from investors’ perspective for understanding the impact of meteorological disasters on stock market liquidity.

Analisis Reaksi Pasar Terhadap Keterlambatan Penyampaian Laporan Keuangan Interim

The late submission of interim financial reports causes companies listed on the Indonesia Stock Exchange (IDX) to pay a fairly large amount of fines. The Financial Services Authority (OJK) issued regulations for companies going public to report and publish audited annual financial reports, so that each company must submit accordingly and on time. Therefore, this research aims to determine the comparison of abnormal returns and stock trading volume before and when there is a delay in submitting financial reports. The data used in this research are the financial reports of companies registered on the IDX that are late in submitting financial reports. The results of this research show significant differences in abnormal returns and stock trading volume before and after the delay in submitting interim financial reports. The study uses the average difference test method, with the object of the financial statements of 35 listed companies that have not submitted financial reports for the period 2021 to 2022. After descriptive statistical analysis, there are company values that are recorded as poor in submitting their interim financial reporting. The results showed that there was a significant difference between the performance before and after the company's financial reporting on abnormal returns and stock trading volume on the submission of financial reports.

Analysis of Differences in Stock Trading Volume, Bid-Ask Spread, and Abnormal Returns Before and After a Stock Split: Empirical Evidence from Companies Listed on the Indonesian Stock Exchange

Analysis of Differences in Stock Trading Volume, Bid-Ask Spread, and Abnormal Returns Before and After a Stock Split: Empirical Evidence from Companies Listed on the Indonesian Stock Exchange

Volume and stock returns in the Chinese market

We propose and empirically investigate hypotheses regarding the volume-return relationship in the Chinese stock market, taking into account the impact of prevalent noise trading and short-selling restrictions. Our findings reveal a negative correlation between trading volume and returns specifically among overvalued stocks. However, no significant correlation is observed for undervalued stocks, nor is there a consistent volume amplification effect. In contrast to our findings, Han, Huang, Huang, and Zhou (2021) also reported a positive correlation between expected return and trading volume for undervalued stocks, and they highlighted the amplified impact of trading volume in the US market. Furthermore, we observe that stricter short-selling restrictions in the Chinese market for overvalued stocks result in a larger deviation from fundamental value as the trading volume increases accompanied by greater disagreement among noise investors. These findings suggest that comprehending market disparities necessitates considering noise trading and short-selling restrictions as crucial factors.

Analisis Perbedaan Return Saham, Abnormal Return, Harga Saham, dan Volume Perdagangan Saham di Masa Pandemi Covid-19

This study aimed to determine any significant difference between stock returns , abnormal returns , stock prices , and stock trading volumes before and after the COVID - 19 pandemic in transportation sector companies listed on the Indonesia Stock Exchange . This research used secondary data with descriptive analysis and quantitative analysis methods . Data analysis in this study used the Wilcoxon signed - rank test , and the data for this study were collected two years before ( 2019-2020 ) and two years after ( 2021-2022 ) the COVID - 19 pandemic in Indonesia . The results show no significant difference in stock returns and stock prices . However , there is a significant difference in abnormal returns and stock trading volumes before and after the COVID -

Harnessing the power of real-time forum opinion: Unveiling its impact on stock market dynamics using intraday high-frequency data in China

This research utilizes data mining and text analysis methods to extract investor attention, emotion, and opinion convergence from stock forums. A Restricted Reverse MIDAS model is constructed to explore the dynamic effects of real-time public opinion on intraday high-frequency stock index and trading volume. The empirical results demonstrate a positive impact of forum public opinion on high-frequency stock index and trading volume, with a time attenuation effect observed. Specifically, midday public opinion significantly influences the afternoon high-frequency stock index, exhibiting an initial increase and subsequent decrease in investor sentiment, while investor attention and opinion convergence exhibit a decreasing trend. Nighttime attention and sentiment primarily affect the next morning's high-frequency stock index. Moreover, the real-time emotional impact on the stock market varies across different environments.

Did Adjustment of Price Limits Enhance Stock Price Volatility? — Evidence from the Reform of Price Limits on China’s Growth Enterprise Market

The adjustment of price limits represents a crucial attempt in the gradual opening of China’s capital market, and the effectiveness of the price limit system has long been a contentious focus among scholars worldwide. Leveraging the quasi-natural experiment of the 2020 price limits reform in China’s Growth Enterprise Market (GEM), this paper employs the differences in difference method to assess the impact of adjusted price limits on stock price volatility and conducts mechanism tests to explore influencing factors. The research findings indicate that the adjustment of price limits significantly increases stock price volatility, with its effectiveness being influenced by stock liquidity, investor speculative desires, and stock trading volume.

The Effect of Stock Split on Stock Trading Volume and Stock Returns in Companies Listed on the Indonesia Stock Exchange (IDX) in the Years 2020-2023

This study aims to determine the effect of stock splits on stock trading volume and stock returns in companies listed on the Indonesian stock exchange. The population in this study were 35 companies, 31 of which were used as samples selected by purposive sampling method. The type of data used is secondary data, with the source of company financial report data which includes stock split data, stock trading volume, and stock returns published on the official website of the Indonesian stock exchange. With an observation period of 5 days before and 5 days after the stock split. The data analysis used is a paired sample difference test, namely the Wilcoxon signed rank-test test because the data is not normally distributed. The results showed that stock splits had no significant effect on stock trading volume with a significance value of 0.387> 0.05 while stock splits had a significant effect on stock returns with a significance value of 0.037 <0.05.

Reaksi Pasar Modal Syariah Sebelum dan Sesudah COVID-2019 pada Perusahaan Sub Sektor Pertambangan yang terdaftar dalam Indeks Saham Syariah Indonesia

This research aims to examine differences in returns, abnormal returns and stock trading volume before and after the event of determining COVID-2019 as an Indonesian National disaster in mining sub-sector companies that are members of the Indonesian Sharia Stock Index (ISSI). This research uses a quantitative approach with secondary data collection. Data analysis was carried out using Statistical Product and Service Solutions (SPSS) software version 26, using the paired sample t-test analysis technique. If the data is not normally distributed then use the Wilcoxon test. The results of the research show that there is a significant difference in stock returns before and after the event that declared Covid a national disaster in Indonesia, with a significance value (0.015) lower than the probability value (0.05). This can be seen from the stock return value which decreased over the period of time. observation. Besides that, there is also a significant difference in abnormal returns before and after the event that declared Covid a national disaster in Indonesia, with a significance value (0.000) lower than the probability value (0.05). This can be seen from the abnormal stock return value which decreased over the period of time. observation. However, there is no significant difference in stock trading volume before and after the event that declared Covid a national disaster in Indonesia, with a significance value (0.012) higher than the probability value (0.05). This can be seen from the absence of changes in trading volume during observation period. Keywords: Abnormal Return, Return, Trading Volume Activity

Kandungan Informasi Pengendalian Internal :Bukti Dari Pengungkapan Kelemahan Material

ABSTRACT This journal examines the information content of internal control. I use two conventional measures of information content – stock return volatility and trading volume – and find that both measures show a statistically greater event-period reaction to disclosure of a company's initial material weakness compared to non-period events. -adjacent events and against a sample of matched control companies. In a multivariate setting, I find significant and positive relationships between the material weakness variable and both measures of information content after controlling for several other event period news sources. Collectively, the evidence suggests that investors respond to the information contained in material weakness disclosures, consistent with these disclosures providing additional value-relevant news for investors to consider in making resource allocation decisions.

A Time-Varying Mixture Integer-Valued Threshold Autoregressive Process Driven by Explanatory Variables.

In this paper, a time-varying first-order mixture integer-valued threshold autoregressive process driven by explanatory variables is introduced. The basic probabilistic and statistical properties of this model are studied in depth. We proceed to derive estimators using the conditional least squares (CLS) and conditional maximum likelihood (CML) methods, while also establishing the asymptotic properties of the CLS estimator. Furthermore, we employed the CLS and CML score functions to infer the threshold parameter. Additionally, three test statistics to detect the existence of the piecewise structure and explanatory variables were utilized. To support our findings, we conducted simulation studies and applied our model to two applications concerning the daily stock trading volumes of VOW.