The Effect of Systematic Risk, Trade Volume, Size, and Market Value on Share Prices (A Study on Transportation Industry Sub-Sectors Listed on the Indonesia Stock Exchange for the 2015-2019 Period)

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Hani Hanifah*, John Henry Wijaya, Muhamad Alwi Armani, Muhammad Fadhila Izzatur Aziz, Derry Riadi


The transportation industry sub-sector is a sector with promising returns because it is supported by a variety of adequate infrastructure in Indonesia. In addition, this sector is also in accordance with the needs of the community in supporting their mobility. This study aims to assess and analyze the effect of systematic risk, trading volume, size, and market value on the stock prices in transportation industry sub-sector companies listed on the Indonesia Stock Exchange (IDX) in 2015-2019. The method used is descriptive and associative analysis methods. The population in this study is the transportation industry sub-sector companies listed on the Indonesia Stock Exchange in 2015-2019, with a total of 27 companies. Based on the sample selection criteria, there are 9 companies in the transportation industry sector that will be used as research samples. The analysis model used is a classical assumption test, including; normality test, multicollinearity test, heteroscedasticity test, and autocorrelation test. The steps taken in the hypothetical test are the model test followed by the t-statistical hypothesis test to test the partial regression coefficient, and the model test with the f-statistic with a significance level of 5%. The results of this study indicate that only Systematic Risk and Market Value variables have an effect on stock prices. Furthermore, the decline in performance during the study period resulted in the risks faced by both companies and investors becoming a fundamental issue that would become a priority. Although the Trading Volume and Company Size variables do not affect stock prices, it does not mean that these two variables are not the concern of companies and investors. However, this will still be one of the determining indicators for both parties.


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