PRASETYO, ANGGA DWI (2026) PENGARUH VOLUME PERDAGANGAN, VOLATILITAS HARGA SAHAM, DAN KAPITALISASI PASAR TERHADAP RETURN SAHAM SEKTOR TEKNOLOGI DI BURSA EFEK INDONESIA. S1 thesis, Universitas Mercu Buana Jakarta.
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Abstract
This study aims to analyze the effects of trading volume, stock price volatility, and market capitalization on stock returns for technology sector companies listed on the Indonesia Stock Exchange during the period from October 2024 to March 2025. This study employs a quantitative approach using panel data regression. The sample consists of 35 companies selected via purposive sampling, yielding 210 observations. The results indicate that the constructed model is appropriate, though its explanatory power regarding the phenomenon is relatively limited. Trading volume and stock price volatility have a positive and significant effect on stock returns. Meanwhile, market capitalization has a positive but insignificant effect on stock returns. The variable with the greatest influence on stock returns is trading volume. These findings indicate that trading activity and price dynamics play a stronger role than firm size in explaining stock return movements in the technology sector. Keywords : Trading Volume, Price Volatility, Market Capitalization, Stock Returns, Panel Data Regression, Technology Sector, Indonesia Stock Exchange. Penelitian ini bertujuan untuk menganalisis pengaruh volume perdagangan, volatilitas harga saham, dan kapitalisasi pasar terhadap return saham pada perusahaan sektor teknologi yang terdaftar di Bursa Efek Indonesia selama periode Oktober 2024 hingga Maret 2025. Penelitian ini menggunakan pendekatan kuantitatif dengan metode regresi data panel. Sampel penelitian terdiri atas 35 perusahaan yang dipilih melalui teknik purposive sampling, sehingga diperoleh 210 observasi. Hasil penelitian menunjukkan bahwa model penelitian yang dibangun sesuai, namun kemampuan menjelaskan fenomena masalah relatif kecil. Volume perdagangan dan volatilitas harga saham berpengaruh positif dan signifikan terhadap return saham. Sementara itu, kapitalisasi pasar berpengaruh positif namun tidak signifikan terhadap return saham. Variabel yang memiliki pengaruh paling besar terhadap return saham adalah volume perdagangan. Temuan ini mengindikasikan bahwa faktor aktivitas perdagangan dan dinamika harga memiliki peran yang lebih kuat dibandingkan ukuran perusahaan dalam menjelaskan pergerakan return saham pada sektor teknologi. Kata Kunci : Volume Perdagangan, Volatilitas Harga, Kapitalisasi Pasar, Return Saham, Regresi Data Panel, Sektor Teknologi, Bursa Efek Indonesia.
| Item Type: | Thesis (S1) |
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| NIM/NIDN Creators: | 43122010128 |
| Uncontrolled Keywords: | Volume Perdagangan, Volatilitas Harga, Kapitalisasi Pasar, Return Saham, Regresi Data Panel, Sektor Teknologi, Bursa Efek Indonesia. |
| Subjects: | 300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan > 332.6 Investment/Investasi 300 Social Science/Ilmu-ilmu Sosial > 380 Commerce, Communications, Transportation (Perdagangan, Komunikasi, Transportasi) > 382 International Commerce, Foreign Trade/Perdagangan Internasional > 382.3 Commercial Policy/Politik Perdagangan 600 Technology/Teknologi > 600. Technology/Teknologi |
| Divisions: | Fakultas Ekonomi dan Bisnis > Manajemen |
| Depositing User: | khalimah |
| Date Deposited: | 18 Aug 2026 07:11 |
| Last Modified: | 18 Aug 2026 07:11 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/103295 |
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