Harga Saham Masa Lalu Dapatkah Memediasi Volume dan Frekuensi Perdagangan terhadap Volatilitas Harga Saham - Angelin Devani Magung Kothan; M. E. Perseveranda; Hedwigh Hendrikus Temai Lejap (Economics and Digital Business Review, 2025)
Penelitian ini dilakukan guna melihat perbandingan peran volume, frekuensi, dan volatilitas harga saham terhadap volatilitas harga saham dimediasi oleh harga saham masa lalu pada Bank Mandiri dan Bank Central Asia (BCA). Data penelitian dikumpulkan dari laporan keuangan Bank Mandiri dan BCA, dan dianalisis menggunakan SEM-PLS. Hasil penelitian menunjukkan pada Bank Mandiri Volume perdagangan tidak berpengaruh signifikan terhadap Harga saham masa lalu. Sedanhkan Frekuensi perdagangan berpengaruh signifikan terhadap Harga saham masa lalu. Berikutnya Harga saham masa lalu dan volume perdagangan berpengaruh signifikan terhadap Volatilitas harga saham. Frekuensi perdagangan tidak berpengaruh signifikan terhadap Volatilitas harga saham. Harga saham masa lalu dapat memediasi pengaruh Frekuensi perdagangan terhadap Volatilitas harga saham. Namun, Harga Saham masa lalu tidak dapat memediasi pengaruh Volume perdagangan terhadap Volatilitas harga saham. Sedangkan hasil pada Bank Central Asia, Volume perdagangan berpengaruh signifikan terhadap Harga saham masa lalu. Frekuensi perdagangan tidak berpengaruh signifikan terhadap Harga saham masa lalu. Harga saham masa lalu berpengaruh signifikan terhadap Volatilitas harga saham. Frekuensi perdagangan dan volume perdagangan tidak berpengaruh signifikan terhadap Volatilitas harga saham. Harga saham masa lalu tidak dapat memediasi pengaruh Frekuensi perdagangan terhadap Volatilitas harga saham. Selanjutnya Harga saham masa lalu tidak dapat memediasi pengaruh Volume perdagangan terhadap Volatilitas harga saham. This study was conducted to see the comparison of the role of volume, frequency, and volatility of stock prices on stock price volatility mediated by past stock prices at Bank Mandiri and Bank Central Asia (BCA). The research data were collected from the financial statements of Bank Mandiri and BCA, and analyzed using SEM-PLS. The results showed that at Bank Mandiri, trading volume did not have a significant effect on past stock prices. While trading frequency had a significant effect on past stock prices. Next, past stock prices and trading volume had a significant effect on stock price volatility. Trading frequency had no significant effect on stock price volatility. Past stock prices could mediate the effect of trading frequency on stock price volatility. However, past stock prices could not mediate the effect of trading volume on stock price volatility. While the results at Bank Central Asia, trading volume had a significant effect on past stock prices. Trading frequency had no significant effect on past stock prices. Past stock prices had a significant effect on stock price volatility. Trading frequency and trading volume had no significant effect on stock price volatility. Past stock prices could not mediate the effect of trading frequency on stock price volatility. Furthermore, past stock prices cannot mediate the influence of trading volume on stock price volatility.