ANALISIS PENGARUH FREKUENSI PERDAGANGAN, VOLUME PERDAGANGAN, KAPITALISASI PASAR, DAN TRADING DAY TERHADAP RETURN SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BEI PERIODE TAHUN 2006-2008

Abstract

In a capital market transaction, the investor has the objective to obtain an appropriate investment return. Stock return is the advantage rate that enjoyed by the investor for an investment that the investor does. When the investor invest their funds, they are need informations that useful to predict their investment outcome in capital markets. One of information are required by investors in capital markets is information that have technical characteristic. Technical information is an attempt to predict stock prices in the future by observing changes in the share price in the past. In this research will discuss how much trading frequency, trading volume, market capitalization, and trading day influence the stock return. This research be accepted because there are still differences between each other researchs and there are some differences between the real condition from research data with existing theory. This research use secondary data. The sampling technique of this research use purposive sampling. The number of samples obtain 39 companies. The analysis method of this research use multiple linear regression analysis. From this research obtain conclusions as follows: trading frequency variable significant negative effect on stock return, trading volume and market capitalization variable has significant positive effect on stock returns and trading day variable are not significant negative effect on stock returns. Regression equation obtained is RETURN = 0.014 - 7,670.10-6 Freq + 2,828.10-10 VOL + 2,466.10-15 MV - 0.001 TRAD + e. Coefficient of determination (adjusted R2) is approximately 3.3% which means 3.3 percent of stock return is influenced by the independent variable, whereas the remaining balance of 96.7 percent is explained by other variables not presented in the study.