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All Journal Agregat: Jurnal Ekonomi dan Bisnis
Rizky Meisyah Putra
Universitas Pancasakti Tegal
Economics, Econometrics & Finance

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Trading Volume, Earnings Volatility, and Growth Opportunity as Determinants of Stock Price Volatility: The Moderating Role of Firm Size in Indonesian Property Companies Rizky Meisyah Putra; Yuni Utami; Mohammad Arridho Nur Amin
Agregat: Jurnal Ekonomi dan Bisnis Vol. 10 No. 1 (2026)
Publisher : Universitas Muhammadiyah Prof. DR HAMKA.

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22236/agregat_vol10.i1/23549

Abstract

This study examines the effects of earnings volatility, trading volume, and growth opportunity on stock price volatility, with firm size serving as a moderating variable in property and real estate companies listed on the Indonesia Stock Exchange during the 2021–2025 period. A quantitative approach was employed using secondary data obtained from annual financial statements and stock trading records. The sample consisted of 32 companies selected through purposive sampling, resulting in 160 balanced panel observations. Panel data were analyzed using the Fixed Effect Model (FEM) with Moderated Regression Analysis (MRA) in Stata. The results indicate that trading volume activity has a positive and statistically significant effect on stock price volatility, whereas earnings volatility and growth opportunity do not exhibit significant direct effects. Regarding the moderating relationships, firm size does not significantly moderate the effects of earnings volatility and trading volume activity on stock price volatility, but it significantly weakens the relationship between growth opportunity and stock price volatility. Although the model explains a relatively modest proportion of the variation in stock price volatility, the findings indicate that trading activity provides stronger empirical evidence than the examined firm-specific fundamental variables in explaining stock price volatility within the sampled firms
Co-Authors Mohammad Arridho Nur Amin Yuni Utami