Pengaruh Volume Perdagangan dan Closing Price terhadap Return Saham pada PT. Bank Rakyat Indonesia (BRI), Tbk tahun 2014-2024
Keywords:
Teori Pasar Efisien, Volume Perdagangan, Harga Penutupan, Return Saham, Sektor PerbankanAbstract
Penelitian ini menganalisis pengaruh volume perdagangan dan harga penutupan terhadap return saham PT. Bank Rakyat Indonesia (BRI) periode 2014–2024. Menggunakan pendekatan kuantitatif asosiatif dengan data time series bulanan, hasil regresi linier berganda menunjukkan bahwa volume perdagangan berpengaruh negatif signifikan (β = -1,659; p = 0,003), sementara harga penutupan tidak signifikan (β = 0,420; p = 0,468). Temuan ini mengindikasikan bahwa peningkatan aktivitas perdagangan saham BRI justru berdampak kontraproduktif terhadap return, diduga akibat perilaku spekulatif investor ritel dan ketidakefisienan informasi di pasar modal Indonesia. Nilai Adjusted R² sebesar 5,3% mengonfirmasi kompleksitas faktor penentu return saham di luar model, termasuk variabel makroekonomi dan kepercayaan publik. Penelitian ini memperluas aplikasi Teori Pasar Efisien (Fama, 1970) dalam konteks pasar emerging dengan menekankan paradoks likuiditas-return pada saham blue-chip. Implikasi praktisnya, investor perlu mempertimbangkan volume perdagangan sebagai indikator risiko likuiditas, sementara manajemen perusahaan disarankan meningkatkan transparansi informasi untuk memitigasi volatilitas harga.
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