The effect of trading volume, trading frequency, and order imbalance on the stock price volatility of LQ45 company in 2017-2019

Authors

  • SITI HAMIDAH UNIVERSITAS HASANUDDIN
  • Cepi Pahlevi Universitas Hasanuddin
  • Andi Aswan Universitas Hasanuddin

Keywords:

Volatility, Trading Volume, Frequency, Order Imbalance

Abstract

The Effect of Trading Volume, Trading Frequency, and Order Imbalance on the Stock Price Volatility of LQ45 Company in 2017-2019 (Supervised by Cepi Pahlevi and Andi Aswan). The volatility of a stock will also reflect the risks and opportunities that investors can obtain. The Risks can come from the external of the company, and the specific risks are called non-systematic risk. Non-systematic risk can be avoided through diversification, while systematic risk is unavoidable, and every company will definitely be affected. Besides paying attention to risk, investors also need to pay attention to other indicators in technical analysis that will affect stock price volatility, such as trading volume, trading frequency, and the absolute differences between demand and supply volume (order imbalance). These indicators will assist investors in making decisions to make transactions in the capital market. This research aimed to analyze the effect of trading volume, trading frequency, and order imbalance on the stock price volatility of LQ45 company in 2017-2019. The research design used in this research was quantitative research. This research was conducted on LQ45 company in the IDX. The population in this research was all the companies listed on LQ45 in 2017-2019. The sampling technique used the purposive sampling technique. The results showed that there was an effect of trading volume, trading frequency, and order imbalance on stock price volatility of LQ45 company in 2017-2019; therefore, it is recommended that the potential investors who want to invest in stocks need to pay attention to the factors that influence stock price volatility, those are trading volume and orders imbalance because those factors are proven to have a significant effect on stock price volatility in companies listed in the LQ45 index.

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Published

2022-08-18