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The effect of trading volume, trading frequency, and order imbalance on the stock price volatility of LQ45 company in 2017-2019

Hasanuddin Journal of Applied Business and Entrepreneurship · Vol. 5 No. 3 (2022) · pp. 1–11

ISSN
2598-0890, 2598-0882
Published
2022-08-18
Publisher
Master of Management, Faculty of Economics and Business, Hasanuddin University.
Language
en

Abstract

The Effect of Trading Volume, Trading Frequency, and Order Imbalance on the Stock Price Volatility of LQ45 Company in 2017-2019 (Supervised by Cepi Pahlevi and Andi Aswan). The volatility of a stock will also reflect the risks and opportunities that investors can obtain. The Risks can come from the external of the company, and the specific risks are called non-systematic risk. Non-systematic risk can be avoided through diversification, while systematic risk is unavoidable, and every company will definitely be affected. Besides paying attention to risk, investors also need to pay attention to other indicators in technical analysis that will affect stock price volatility, such as trading volume, trading frequency, and the absolute differences between demand and supply volume (order imbalance). These indicators will assist investors in making decisions to make transactions in the capital market. This research aimed to analyze the effect of trading volume, trading frequency, and order imbalance on the stock price volatility of LQ45 company in 2017-2019. The research design used in this research was quantitative research. This research was conducted on LQ45 company in the IDX. The population in this research was all the companies listed on LQ45 in 2017-2019. The sampling technique used the purposive sampling technique. The results showed that there was an effect of trading volume, trading frequency, and order imbalance on stock price volatility of LQ45 company in 2017-2019; therefore, it is recommended that the potential investors who want to invest in stocks need to pay attention to the factors that influence stock price volatility, those are trading volume and orders imbalance because those factors are proven to have a significant effect on stock price volatility in companies listed in the LQ45 index.

Keywords

Collaboration network of the authors

40 authors · 66 co-authorship links · showing the 40 most connected

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  • University of Mataram
  • Affiliation unknown
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Co-authorOrganisationJoint articles
Fauzi R. RahimAffiliation unknown2
Mochammad BakriAffiliation unknown2
Andi Ratna Sari DewiAffiliation unknown2
Fakhryadi AmranAffiliation unknown2
M SobarsyahAffiliation unknown1
Mutmainnah MuslimAffiliation unknown1
Andi Kabila T SoseAffiliation unknown1
Rakhman LabaAffiliation unknown1
Indriani MentarukAffiliation unknown1
Teguh PernandaAffiliation unknown1
HasdianaAffiliation unknown1
Ria MardianaAffiliation unknown1
Nawal Ulfah Indah sari NawalAffiliation unknown1
Erlina PakkiAffiliation unknown1
Riska Prayoga YogaAffiliation unknown1
Dian ParawansaAffiliation unknown1
Rezaldy Giffary P. Ilham EcaAffiliation unknown1
Muhammad SobarsyahAffiliation unknown1
Ibrahim Nurwardana IbrahimAffiliation unknown1
Hamka Yudha PratamaAffiliation unknown1
Andi Ratna Sari DewiAffiliation unknown1
Ardian LeghariAffiliation unknown1
Abd Rakhman LabaAffiliation unknown1
Sanny Feria JulianaAffiliation unknown1
Muhammad Yunus AmarAffiliation unknown1
Irnaini ImranAffiliation unknown1
Budi SantosoUniversity of Mataram1
Fadli AkbarAffiliation unknown1
Sukarmi SukarmiAffiliation unknown1
Afrizal Mukti WibowoAffiliation unknown1
Yuliati YuliatiAffiliation unknown1
Muhammad Saiful RizalAffiliation unknown1
Abdul Rahmad BudionoAffiliation unknown1
Bambang WinarnoAffiliation unknown1
Rizki Tri Anugrah BhaktiAffiliation unknown1
Eko SuhartonoAffiliation unknown1
Nanang Miftah FajariAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.unhas.ac.id/index.php/hjabe/oai, first harvested 2 Nov 2026, last seen 8 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en">The effect of  trading volume, trading frequency, and order imbalance on the stock price volatility of LQ45 company in 2017-2019</dc:title>
	<dc:creator xml:lang="en">HAMIDAH, SITI</dc:creator>
	<dc:creator xml:lang="en">Pahlevi, Cepi </dc:creator>
	<dc:creator xml:lang="en">Aswan, Andi</dc:creator>
	<dc:subject xml:lang="en">Volatility</dc:subject>
	<dc:subject xml:lang="en">Trading Volume</dc:subject>
	<dc:subject xml:lang="en">Frequency</dc:subject>
	<dc:subject xml:lang="en">Order Imbalance</dc:subject>
	<dc:description xml:lang="en">


The Effect of Trading Volume, Trading Frequency, and Order Imbalance on the Stock Price Volatility of LQ45 Company in 2017-2019 (Supervised by Cepi Pahlevi and Andi Aswan). The volatility of a stock will also reflect the risks and opportunities that investors can obtain. The Risks can come from the external of the company, and the specific risks are called non-systematic risk. Non-systematic risk can be avoided through diversification, while systematic risk is unavoidable, and every company will definitely be affected. Besides paying attention to risk, investors also need to pay attention to other indicators in technical analysis that will affect stock price volatility, such as trading volume, trading frequency, and the absolute differences between demand and supply volume (order imbalance). These indicators will assist investors in making decisions to make transactions in the capital market. This research aimed to analyze the effect of trading volume, trading frequency, and order imbalance on the stock price volatility of LQ45 company in 2017-2019. The research design used in this research was quantitative research. This research was conducted on LQ45 company in the IDX. The population in this research was all the companies listed on LQ45 in 2017-2019. The sampling technique used the purposive sampling technique. The results showed that there was an effect of trading volume, trading frequency, and order imbalance on stock price volatility of LQ45 company in 2017-2019; therefore, it is recommended that the potential investors who want to invest in stocks need to pay attention to the factors that influence stock price volatility, those are trading volume and orders imbalance because those factors are proven to have a significant effect on stock price volatility in companies listed in the LQ45 index.


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	<dc:publisher xml:lang="en">Master of Management, Faculty of Economics and Business, Hasanuddin University.</dc:publisher>
	<dc:date>2022-08-18</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
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	<dc:type xml:lang="en">Peer-reviewed Article</dc:type>
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	<dc:identifier>https://journal.unhas.ac.id/index.php/hjabe/article/view/21644</dc:identifier>
	<dc:source xml:lang="en">Hasanuddin Journal of Applied Business and Entrepreneurship; Vol. 5 No. 3 (2022): Hasanuddin Journal of Applied Business and Entrepreneurship; 1-11</dc:source>
	<dc:source>2598-0890</dc:source>
	<dc:source>2598-0882</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/hjabe/article/view/21644/8534</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2022 Hasanuddin Journal of Applied Business and Entrepreneurship</dc:rights>
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