Pengaruh Return Indeks terhadap Volume Perdagangan Indeks dalam Indeks Pefindo 25 dan LQ 45 Periode Tahun 2012–2016

In this paper, writers want to analyze the effect of return and transaction volume to the transaction volume on Indonesia Stock Exchange (IDX). Writer uses PEFINDO 25 and LQ 45 index from Indonesia Stock Exchange as sample to represent the majority of biggest and smallest shares’ market capitalization in Indonesia’s market. Writer use 1221 daily data for each index starting from 2012 to 2016. To analyze the data, writer chooses Autoregressive Distributed Lag. From the regression output, writer can conclude that return and transaction volume at time t-1 through t-4 affects transaction volume at time t significantly. From the regression, writer also state that return and trading volume at time t-1 through t-4 affects significantly to trading volume at time t in LQ 45 as well as in PEFINDO 25. The research output is supported by Sequential Arrival of Information (SAI) by Karpoff (1987).