Marena, Ayu Fita (2026) Analisis Pengaruh Volume Perdagangan dan Risiko Pasar Terhadap Return Saham Perusahaan yang Terdaftar di Bursa Efek Indonesia (BEI). Other thesis, Universitas Islam Riau.

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Abstract

This study aims to analyze the effect of trading volume and market risk on stock returns of food and beverage companies listed on the Indonesia Stock Exchange (IDX) during the 2020–2023 period. This research employs a quantitative approach using panel data, which combines cross-sectional and time-series data. The sample consists of 20 companies selected through purposive sampling, resulting in 80 observations. Panel data regression analysis was applied in this study. Model selection was conducted using the Chow test, Hausman test, and Lagrange Multiplier test. The results indicate that the Fixed Effect Model (FEM) is the most appropriate model, as it accounts for firm-specific characteristics that are constant over time and correlated with the independent variables. The findings reveal that trading volume and market risk have a positive and significant effect on stock returns. Simultaneously, both variables are able to explain variations in stock returns of food and beverage companies during the observation period. This study is expected to contribute to the development of capital market literature and provide useful insights for investors in making investment decisions.

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