Analysis of Transaction Volume and Stock Return on the Indonesia Stock Exchange

Abstract

This study is intended to examine the Rupiah Exchange Rate, Inflation, Oil Price as part of macro fundamental variables and Return on Equity, Firm Size, Debt to Equity Ratio, Dividend Payout Ratio, Foreign Value as part of micro fundamentals on Stock Transaction Volume and its implications for Stock Returns. The objects in this study are automotive companies and their components listed on the Indonesia Stock Exchange for the period 2011-2017 by using panel data regression in conducting the analysis. The variables in the first research model that have a significant effect are Rupiah Exchange Rate, Oil Price, Dividend Payout Ratio with a negative correlation to Stock Transaction Volume, while Return on Equity, Debt to Equity Ratio have a positive correlation. In the second research model,