Pengaruh Volatilitas Harga Saham, Volume Perdagangan Saham dan Kapitalisasi Pasar terhadap Return Saham di Moderasi Reputasi Perusahaan pada Perusahaan Sektor Perbankan yang Terdaftar di Bursa Efek Indonesia

Abstract

This study aims to analyze the effect of stock price volatility,stock trading volume, and market capitalization on stock returns of banking companies listed on the Indonesia Stock Exchange during the 2019–2023 period. In addition, this study examines the role of corporate reputation as a moderation variable. The research sample was determined using the purposive sampling, resulting in 22 companies selected as the research sample. The analytical method employed in this study is Moderate Regression Analysis (MRA). The results indicate that stock price volatility has a positive and significant effect on stock returns,while stock trading volume has a negative but insignificant effect on stock returns. Furthermore, market capitalization has a positive and significant effect on stock returns. Other findings reveal that corporate reputation negatively and significantly moderates the effect of stock price volatility on stock returns. However, corporate reputation does not significantly moderate the effect of stock trading volume on stock returns, nor does it significantly moderate the effect of market capitalization on stock returns. These findings imply that strategic management of stock price volatility and the development of corporate reputation are important in enhancing stock returns, while stock trading volume and market capitalization require a more comprehensive analytical approach in investment decision-making within banking companies.