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Ari Rian Wibowo, Hendratno Hendratno

Abstract

Abstrak: Pasar modal mempunyai peranan penting dalam perekonomian suatu negara yang dapat memutar perekonomian suatu negara agar tetap tumbuh dan berkembang. Di Bursa Efek Indonesia pada pasar modal dengan indeks LQ45 terdapat likuiditas yang tinggi, seleksi atas emiten-emiten dan mempertimbangkan kapitalisasi pasar. Seiring berkembangnya perekenomian dan teknologi maka diperlukan perusahaan yang aktif diperdagangan dengan memiliki strategi manajemen yang efisien agar dapat mempertahankan tingkat return saham. Penelitian ini bertujuan untuk seberapa besar pengaruh Frekuensi Perdagangan Saham, Volume Perdagangan Saham dan Kapitalisasi Pasar terhadap Return Saham pada Indeks LQ45 di Bursa Efek Indonesia periode 2013-2017 secara parsial atau simultan. Data diperoleh dari Bursa Efek Indonesia dengan 45 emiten dengan kriteria purposive and sampling yang telah didapatkan 24 perusahaan yang dijadikan sampel. Penelitian ini menggunakan metode kuantitatif dengan penggunaan data sekunder periode 2013-2017. Hasil penelitian ini menunjukkan bahwa secara parsial variabel frekuensi perdagangan dan kapitalisasi pasar terbukti berpengaruh signifikan secara positif pada return saham, sedangkan variabel volume perdagangan terbukti berpengaruh tidak signifikan pada return saham. Secara simultan variabel Frekuensi Perdagangan Saham, Volume Perdagangan Saham, dan Kapitalisasi Pasar berpengaruh signifikan terhadap return saham pada perusahaan LQ45 di Bursa Efek Indonesia 2013-2017. Kata kunci: Frekuensi Perdagangan Saham, Volume Perdagangan Saham, Kapitalisasi Pasar, Return Saham Abstract: Capital markets have an important role in the economy of a country that can turn the economy of a country in order to continue to grow and develop. On the Indonesia Stock Exchange on the capital market with the LQ45 index there is high liquidity, selection of issuers and considering market capitalization. Along with the development of economics and technology, companies that are actively trading are needed by having efficient management strategies in order to maintain the level of stock returns. This study aims to determine the effect of Stock Trading Frequency, Stock Trading Volume and Market Capitalization on Stock Returns on the Indonesia Stock Exchange LQ45 Index for the 2013-2017 period partially or simultaneously. Data is obtained from the Indonesia Stock Exchange with 45 issuers with purposive and sampling criteria which have obtained 24 companies sampled. This study uses quantitative methods with secondary data usage for the period 2013-2017. The results of this study indicate that partially trading frequency variables and market capitalization proved to have a significantly positive effect on stock returns, while the trading volume variable proved to have a significant effect on stock returns. Simultaneously, the Frequency of Stock Trading, Stock Trading Volume, and Market Capitalization have a significant effect on stock returns in LQ45 companies in the Indonesia Stock Exchange 2013-2017. ISSN : 2355-9357 e-Proceeding of Management : Vol.6, No.1 April 2019 | Page 336 Keywords: Frequency of Stock Trading, Stock Trading Volume, Market Capitalization, Stock Return

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