The Effect of Microeconomic and Macroeconomic Variables on Stock Returns with Stock Liquidity as a Mediating Variable in Banking Companies Listed on the Indonesia Stock Exchange

Naufa Afzuni Viola (Universitas Negeri Padang)
Rosyeni Rasyid (Universitas Negeri Padang)

Formosa Journal of Multidisciplinary Research (FJMR)
Vol. 4 No. 6 (2025): June 2025

The purpose of this study is to study how microeconomic variables (ROA and LDR) and macroeconomic variables (exchange rate and interest rate) impact stock returns with stock liquidity, represented by trading volume activity (TVA) as a mediating variable in banking companies listed on the Indonesia Stock Exchange. Purposive sampling method was used to obtain research samples from one hundred companies. The results showed that ROA had a significant positive effect on TVA and stock returns. In contrast, LDR and interest rates did not have a significant effect. TVA and stock returns were both positively affected by exchange rates. Sobel's mediation test showed that TVA mediated the relationship between ROA and stock returns and LDR and stock returns, but did not mediate the effect of interest rates and exchange rates on stock returns.