PENGARUH LIKUIDITAS SAHAM DAN VOLATILITAS HARGA SAHAM TERHADAP RETURN SAHAM PADA PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2020–2024
DOI:
https://doi.org/10.61722/jaem.v3i4.13075Keywords:
Stock Liquidity, Trading Volume Activity, Stock Price Volatility, Stock Return, Energy SectorAbstract
The energy sector is one of the sectors in the Indonesian capital market that is sensitive to changes in commodity prices, global economic conditions, and geopolitical uncertainty. These conditions may affect stock liquidity, stock price volatility, and ultimately stock returns. This study aims to analyze the effect of stock liquidity and stock price volatility on stock returns of energy sector companies listed on the Indonesia Stock Exchange during the 2020–2024 period. This research employed a quantitative method with a descriptive-verificative approach. The sample consisted of seven energy sector companies selected using purposive sampling. Quarterly panel data produced 133 observations. Stock liquidity was measured using Trading Volume Activity (TVA), while stock return was calculated from changes in closing prices and stock price volatility was measured using the high–low price range approach specified in the research design. Panel data regression was estimated using EViews 12. The Chow, Hausman, and Lagrange Multiplier tests resulted in the Common Effect Model as the final model. The results show that stock liquidity has a positive and significant effect on stock returns, while stock price volatility has no significant effect. Simultaneously, stock liquidity and stock price volatility significantly affect stock returns. The R-squared value of 0.629621 indicates that 62.96% of the variation in stock returns is explained by the two independent variables, while the remainder is explained by factors outside the model.
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