PENGARUH INFLASI, SENTIMEN INVESTOR, FREKUENSI DAN VOLUME PERDAGANGAN TERHADAP RETURN SAHAM

Abstract

This research examines how stock returns are affected by inflation, investor sentiment, trading frequency, and trading volume, while incorporating firm size as a control variable. The focus is placed on property and real estate firms listed on the Indonesia Stock Exchange from 2020 to 2024. The investigation is driven by discrepancies in prior literature and a scarcity of studies concurrently analyzing macroeconomic elements and market activities in this specific sector. Employing a quantitative method with panel data regression via the Common Effect Model (CEM), this study observes 175 data points from 35 purposively selected corporations. The empirical outcomes indicate that inflation and trading volume partially influence stock returns. Conversely, investor sentiment and trading frequency show no significant partial impact. When tested collectively, all independent variables—including firm size—exhibit a significant simultaneous effect on stock returns. Ultimately, these insights offer fresh empirical support regarding the dynamics between macroeconomic indicators, trading activities, and equity returns in the real estate domain.

Keywords: inflation; investor sentiment; trading frequency; trading volume; stock return, firm size