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Agus Prayitno
Mahasiswa Program Studi Agribisnis Fakultas Pertanian Universitas Wahid Hasyim
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Journal : Journal of Social Commerce

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Determinants of Stock Volatility: Trading Volume, Profitability, Earnings Volatility, and Book-to-Market Ratio Hidayah, Amelia Nurlaeli; Usman, Usman; Prayitno, Agus; Kadarningsih, Ana
Journal of Social Commerce Vol. 6 No. 1 (2026): Journal of Social Commerce
Publisher : Celebes Scholar pg

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56209/jommerce.v6i1.246

Abstract

This study aims to analyze the effect of Trading Volume, Profitability, Earnings Volatility, and Book-to-Market Ratio on stock price volatility of technology sector companies listed on the Indonesia Stock Exchange during the 2022–2024 period. This research is motivated by the high level of stock price fluctuations in the rapidly growing technology sector, which is accompanied by considerable market uncertainty. This study employs a quantitative explanatory approach using secondary data obtained from financial statements and stock trading records. The sample was selected using a purposive sampling method based on data availability and consistency throughout the observation period. Panel data regression analysis was applied to examine the impact of the independent variables on stock price volatility. The results indicate that trading volume has a significant negative effect on stock price volatility, suggesting that higher market liquidity contributes to price stability. Profitability does not have a significant effect on stock price volatility, indicating that earnings information is largely anticipated by investors and does not trigger substantial market reactions. Earnings volatility has a significant positive effect on stock price volatility, implying that unstable earnings increase perceived risk and market uncertainty. Furthermore, the book-to-market ratio has a significant positive effect on stock price volatility, reflecting that firms with higher fundamental risk tend to experience greater price fluctuations.
Co-Authors Adilla Kustya Ulfa Afifah, Inkha Rizqi Nurul Agus Qomaruddin Munir Ali, Shujahat Budi Hermawan Budiraharja, Jason Budiyanti, Erfina Vesnia Chasanah, Amalia Nur Darmanto Darmanto Darmanto Daud Andang Pasalli, Daud Andang Dewi Agustini Santoso Diana Puspitasari Dina Fitri Septarini, Dina Fitri Dwi Eko Waluyo Fitri, Yolanda Dwi Ana Halim, Jeffry Haningtyas, Selly Lofiana Henry, William Hertiana Ikasari HERU Heru Ismanto Hesi Rahmaningtyas, Nisrina Hidayah, Amelia Nurlaeli Indra Gamayanto Jayanti, Rafika Josefphine, Christina Azazya Juli Ratnawati Kaghoo, Noifke Karis Widyatmoko Kurniadi, Agung Kurniawan, Vernando Junio Kusni Ingsih Kustiadi, Josse Kustiadi, Kustiadi Limanjaya, Jonathan Rafael Ma'rifah, Inayatul Made Gede Wirakusuma Mertha Agung Durya, Ngurah Pandji Neni Kurniawati Nggego, Dedy Abdianto Oktavia, Vicky Oktoriza, Linda Ayu Pamungkas, Natalinda Patawaran, Nilfred Prawitasari, Dian Puji Purwatiningsih, Aris Rafiif, Benizar Rahayu, Maria Helena Sri Ramasamy, Suganthi Reynold, O. T Ricardo, Reyner Ririn Dina Mutfianti Riskawati, Nelis Robby Kurniawan Robby Kurniawan Budhi S, Dewi Agustini Safitri, Maria Salsabila, Hida Mona Samasta, Almira Santi Santoso, Samuel Larry Sasono Wibowo Setiawan, Aries Sih Darmi Astuti Sugiarto, Stephen Sugiyanto, Yohannes Suharnawi Suharnawi Suhita Whini Setyahuni Tanoto, Gilbert Giovanni Usman Usman Utami, Olivia Whini Setyahuni, Suhita Wibowo, Mochammad Eric Suryakencana Widianto Yonatan, Widianto Yenny Ernitawati Yuliana Kolyaan Yulita Setiawanta Yulius Hari