Effects of Stock Trading Volume, Leverage, and Dividend Payout Ratio on Stock Price Volatility
Main Article Content
This study aims to analyze the impact of stock trading volume, leverage, and dividend payout ratio (DPR) on stock price volatility among companies included in the Kompas100 Index and listed on the Indonesia Stock Exchange (IDX) from 2018 to 2022. The data used in this research were obtained from the financial statements available on the official IDX website and additional data from Yahoo Finance. A purposive sampling method was used to select the research sample based on specific criteria. The results of the study indicate that stock trading volume and leverage have a significant positive impact on stock price volatility, while DPR also influences volatility by showing changes that can elicit sharp market reactions. These findings provide important insights for investors and company management regarding factors that can increase risk and uncertainty in stock prices in the market.
Keywords:
Stock Market, Volatility Stock Price, Leverage, Dividend Payout Ratio, Stock Trading Volume
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Ali, M., Saeed, M., & Khalid, M. A. (2023). The Role of Dividend Policy on Stock Price Volatility: An analysis and Evidence from Pakistan. Research Journal for Societal Issues, 5(2), 157–170. https://doi.org/10.56976/rjsi.v5i2.106
Anak, R., Hardin, S., Binti, N., & Kadri, H. (2023). Impact Of Company Dividend Policy On Stock Price Volatility In Food And Beverage Industry In Malaysia. In Unimas Review Of Accounting And Finance (Vol. 7, Issue 1).
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Camilleri, S. J., Grima, L., & Grima, S. (2019). The effect of dividend policy on share price volatility: an analysis of Mediterranean banks’ stocks. Managerial Finance, 45(2), 348–364. https://doi.org/10.1108/MF-11-2017-0451
Dewi, S., & Paramitha, R. A. S. (2019). Pengaruh Kebijakan Dividen, Volume Perdagangan, Earning Volatiliy, Leverage, dan Firm Size Terhadap Volatilitas Harga Saham Perusahaan LQ45. In Jurnal Ilmu Manajemen (Vol. 7).
Eka, P., Widiantari, P., & Sukartha, I. M. (2021). The Effect Of Dividend Payout Ratio, Leverage And Assets Growth On Stock Price Volatility (Empirical Study On Lq45 Company On The Indonesia Stock Exchange 2016-2019). In American Journal of Humanities and Social Sciences Research (Issue 5). www.ajhssr.com
Fiorenza, S., Wijaya, L. I., & Sutejo, B. S. (2023). The Effect of Dividend Policy, Profitability, and Leverage on Share Price Volatility of Service Sector Enterprise Indexed on the Indonesia Stock Exchange During 2015–2019 (pp. 126–133). https://doi.org/10.2991/978-94-6463-008-4_17
Ghozali, I. (2016). Aplikasi Analisis Multivariete Dengan Program IBM SPSS 23 (Vol. 8). Badan Penerbit Universitas Dipenogoro.
Hanh, N. T. Van, & Dut, V. Van. (2022). The Effect of Liquidity on Stock Price Volatility: Empirical Study on Listed Commercial Banks on Vietnamese Stock Exchange. VNU JOURNAL OF ECONOMICS AND BUSINESS, 2(1). https://doi.org/10.57110/jeb.v2i1.4586
Hidayati, N., & Sukmaningrum, P. S. (2021). Faktor Yang Mempengaruhi Volatilitas Harga Saham Pada Emiten Yang Terdaftar Di Jakarta Islamic Index. Jurnal Ekonomi Syariah Teori Dan Terapan, 8(6), 706. https://doi.org/10.20473/vol8iss20216pp706-713
Hieu Nguyen, T., Nguyen, H. A., Tran, Q. C., & Le, Q. L. (2020). Dividend Policy And Share Price Volatility: Empirical Evidence From Vietnam. Accounting, 6(2), 67–78. https://doi.org/10.5267/j.ac.2019.12.006
Hossin, Md. S., & Ahmed, Md. F. (2020). Dividend Policy and Stock Price Volatility in the Bangladesh Capital Market: An Experimental Analysis. Saudi Journal of Economics and Finance, 4(7), 359–367. https://doi.org/10.36348/sjef.2020.v04i07.008
Kayode I., K., Gbenga, O., & Ayobami, R. L. (2022). Effect of Dividend Policy on Share Price Movement: Focusing on Companies Listed on the Nigerian Stock Exchange Market. Financial Markets, Institutions and Risks, 6(4), 101–118. https://doi.org/10.21272/fmir.6(4).101-118.2022
Khan, M. A. (2019). Impact Of Dividend Policy On Share Price Volatility For Companies Listed On Pakistan Stock Exchange. Management, & Applied Sciences & Technologies, 10(17). https://doi.org/10.14456/ITJEMAST.2019.236
Koleosho, A. O., Akintoye, I. R., & Ajibade, A. T. (2022). The Effect of Dividend Policy on Share Price Volatility of Some Selected Companies on the Nigerian Exchange. Journal of Accounting, Business and Finance Research, 15(1), 10–20. https://doi.org/10.55217/102.v15i1.525
Marini, N. L. P. S., & Sutrisna Dewi, S. K. (2019). Pengaruh Kebijakan Dividen, Leverage, Dan Ukuran Perusahaan Terhadap Volatilitas Harga Saham. E-Jurnal Manajemen Universitas Udayana, 8(10), 5887. https://doi.org/10.24843/ejmunud.2019.v08.i10.p01
Martha, A., & Lukman, H. (2022). Faktor Yang Mempengaruhi Stock Price Volatility Perusahaan PErtambangan di BEI (2015-2019). Fakultas Ekonomi Universitas Taruma Negara, IV(1), 327–335.
Mupondo, N. C. (2022). Liquidity, Trading Activity, and Stock Price Volatility. Finance & Economics Review, 4(2), 12–25. https://doi.org/10.38157/fer.v4i2.482
Nurleli, D., & Wibisono, M. (2021). The Effect of IFRS Application, Stock Price Volatility, and Fundamental Variables on Jakarta Islamic Index. Jurnal Manajemen Dan Keuangan, 10(1), 1–14. https://doi.org/10.33059/jmk.v10i1.2559
Phan, T. K. H., & Tran, N. H. (2019). Dividend policy and stock price volatility in an emerging market: Does ownership structure matter? Cogent Economics and Finance, 7(1). https://doi.org/10.1080/23322039.2019.1637051
Priana, I. W. K., & Muliartha, K. R. (2017). Pengaruh Volume Perdagangan Saham, Leverage, dan Dividend Payout Ratio Pada Volatilitas Harga Saham.
Puji Estuti, E., Hendrayanti, S., & Semarang, S. (2020). Dampak Volume Perdagangan Saham, Profitabilitas Dan Dividen Terhadap Volatilitas Harga Saham.
Ria Selpiana, K., & Bagus Badjra, I. (2018). Pengaruh Kebijakan Dividen, Nilai Tukar, Leverage, Dan Firm Size Terhadap Volatilitas Harga Saham. 7(3), 1682–1712. https://doi.org/10.24843/EJMUNUD.2018.v7.i03.p020
Ridloah, S., Putri, R. D., Noekent, V., & Waliuddin, A. N. (2022). Dividend Policy and Stock Price Volatility: A Study on Indonesian Manufacturing Companies. In Management Analysis Journal. http://maj.unnes.ac.id
Rosyida, H., Firmansyah, A., & Wicaksono, S. B. (2020). Volatilitas Harga Saham: Leverage, Ukuran Perusahaan, Pertumbuhan Aset. JAS (Jurnal Akuntansi Syariah), 4(2), 196–208. https://doi.org/10.46367/jas.v4i2.256
Rusiana, I., & Program, R. K. (2018). Inflasi Terhadap Volatilitas Harga Saham.
Safrani, D. R., & Kusumawati, E. (2022). Pengaruh Volume Perdagangan Saham, Dividend Yield, Earning Volatility, Firm Size, dan Nilai Tukar Terhadap Volatilitas Harga Saham (Studi Empiris Perusahaan yang Terdaftar Indeks LQ45 Periode 2016-2020). E-QIEN: Jurnal Ekonomi dan Bisnis, 9(2), 123-134
Septyadi, M. A., & Bwarleling, T. H. (2020a). Pengaruh Volume Perdagangan Saham, Leverage, dan Kebijakan Dividen Terhadap Volatilitas Harga Saham. AKURASI: Jurnal Riset Akuntansi Dan Keuangan, 2(3), 149–162. https://doi.org/10.36407/akurasi.v2i3.251
Septyadi, M. A., & Bwarleling, T. H. (2020b). Pengaruh Volume Perdagangan Saham, Leverage, dan Kebijakan Dividen Terhadap Volatilitas Harga Saham. AKURASI: Jurnal Riset Akuntansi Dan Keuangan, 2(3), 149–162. https://doi.org/10.36407/akurasi.v2i3.251
Siawan, R. M., & Lukman, H. (2023). The Determinants Of Stock Price Volatility In Plantation Industry In Indonesia During 2016-2020. International Journal of Application on Economics and Business (IJAEB), 1(3), 2987–1972. https://doi.org/10.24912/ijaeb.v1.i3.1371-1381
Singh, N. P., & Tandon, A. (2019). The Effect of Dividend Policy on Stock Price: Evidence from the Indian Market. Asia-Pacific Journal of Management Research and Innovation, 15(1–2), 7–15. https://doi.org/10.1177/2319510x19825729
Sirait, J., Purwohedi, U., & Noviarini, D. (2021). Pengaruh Volatilitas Laba, Leverage Keuangan, Kebijakan Dividen, Dan Price To Book Value Terhadap Volatilitas Harga Saham. 2(1).
Siti Asriyah. (2022). Pengaruh Volume Perdagangan, Dividend Yield Dan Firm Size Terhadap Volatilitas Harga Saham : Studi Pada Perusahaan Subsektor Makanan dan Minuman Yang Terdaftar di BEI Periode 2017-2021 Siti Asriyah. www.idx.com.
Sugathadasa, D. (2018). The Impact of Dividend Policy on Share Price Volatility: Empirical Evidence with Colombo Stock Exchange in Sri Lanka. 7(8). https://doi.org/10.24940/ijir
Sugiyono. (2019). Metode Penelitian Kuantitatif, Kualitatif dan R&D. Alfabet.
Susanto, H., Prasetyo, I., Indrawati, T., Aliyyah, N., Rusdiyanto, Tjaraka, H., Kalbuana, N., Syafi’ur Rochman, A., Gazali, & Zainurrafiqi. (2021). The Impacts Of Earnings Volatility, Net Income And Comprehensive Income On Share Price: Evidence From Indonesia Stock Exchange. Accounting, 7(5), 1009–1016. https://doi.org/10.5267/j.ac.2021.3.008
Tati, P., Pertiwi, D., Luh, N., & Wiagustini, P. (2020). The Impact of Dividend Payout Ratio (DPR), Leverage and Firm Size on Stock Price Volatility in Manufacturing Companies Listed on the Indonesia Stock Exchange. In American Journal of Humanities and Social Sciences Research. www.ajhssr.com
Utami, A., & Purwohandoko. (2021). Pengaruh Kebijakan Dividen, Leverage, Earning Volatility, dan Volume Perdagangan Terhadap Volatilitas Harga Saham Pada Perusahaan Sektor Finance yang Terdapat di BEI Tahun 2014-2018. Ilmu Manajemen Fakultas Ekononomi Universitas Negeri Surabaya, 9(1).
Zainudin, R., Mahdzan, N. S., & Yet, C. H. (2018). Dividend Policy And Stock Price Volatility Of Industrial Products Firms In Malaysia. International journal of Emerging Markets, 13(1), 203–217. https://doi.org/10.1108/IJoEM-09-2016-0250.
Ali, M., Saeed, M., & Khalid, M. A. (2023). The Role of Dividend Policy on Stock Price Volatility: An analysis and Evidence from Pakistan. Research Journal for Societal Issues, 5(2), 157–170. https://doi.org/10.56976/rjsi.v5i2.106
Anak, R., Hardin, S., Binti, N., & Kadri, H. (2023). Impact Of Company Dividend Policy On Stock Price Volatility In Food And Beverage Industry In Malaysia. In Unimas Review Of Accounting And Finance (Vol. 7, Issue 1).
Andiani, N. W. S., & Gayatri, G. (2018). Pengaruh Volume Perdagangan Saham, Volatilitas Laba, Dividend Yield, dan Ukuran Perusahaan Pada Volatilitas Harga Saham. E-Jurnal Akuntansi, 2148. https://doi.org/10.24843/eja.2018.v24.i03.p19
Camilleri, S. J., Grima, L., & Grima, S. (2019). The effect of dividend policy on share price volatility: an analysis of Mediterranean banks’ stocks. Managerial Finance, 45(2), 348–364. https://doi.org/10.1108/MF-11-2017-0451
Dewi, S., & Paramitha, R. A. S. (2019). Pengaruh Kebijakan Dividen, Volume Perdagangan, Earning Volatiliy, Leverage, dan Firm Size Terhadap Volatilitas Harga Saham Perusahaan LQ45. In Jurnal Ilmu Manajemen (Vol. 7).
Eka, P., Widiantari, P., & Sukartha, I. M. (2021). The Effect Of Dividend Payout Ratio, Leverage And Assets Growth On Stock Price Volatility (Empirical Study On Lq45 Company On The Indonesia Stock Exchange 2016-2019). In American Journal of Humanities and Social Sciences Research (Issue 5). www.ajhssr.com
Fiorenza, S., Wijaya, L. I., & Sutejo, B. S. (2023). The Effect of Dividend Policy, Profitability, and Leverage on Share Price Volatility of Service Sector Enterprise Indexed on the Indonesia Stock Exchange During 2015–2019 (pp. 126–133). https://doi.org/10.2991/978-94-6463-008-4_17
Ghozali, I. (2016). Aplikasi Analisis Multivariete Dengan Program IBM SPSS 23 (Vol. 8). Badan Penerbit Universitas Dipenogoro.
Hanh, N. T. Van, & Dut, V. Van. (2022). The Effect of Liquidity on Stock Price Volatility: Empirical Study on Listed Commercial Banks on Vietnamese Stock Exchange. VNU JOURNAL OF ECONOMICS AND BUSINESS, 2(1). https://doi.org/10.57110/jeb.v2i1.4586
Hidayati, N., & Sukmaningrum, P. S. (2021). Faktor Yang Mempengaruhi Volatilitas Harga Saham Pada Emiten Yang Terdaftar Di Jakarta Islamic Index. Jurnal Ekonomi Syariah Teori Dan Terapan, 8(6), 706. https://doi.org/10.20473/vol8iss20216pp706-713
Hieu Nguyen, T., Nguyen, H. A., Tran, Q. C., & Le, Q. L. (2020). Dividend Policy And Share Price Volatility: Empirical Evidence From Vietnam. Accounting, 6(2), 67–78. https://doi.org/10.5267/j.ac.2019.12.006
Hossin, Md. S., & Ahmed, Md. F. (2020). Dividend Policy and Stock Price Volatility in the Bangladesh Capital Market: An Experimental Analysis. Saudi Journal of Economics and Finance, 4(7), 359–367. https://doi.org/10.36348/sjef.2020.v04i07.008
Kayode I., K., Gbenga, O., & Ayobami, R. L. (2022). Effect of Dividend Policy on Share Price Movement: Focusing on Companies Listed on the Nigerian Stock Exchange Market. Financial Markets, Institutions and Risks, 6(4), 101–118. https://doi.org/10.21272/fmir.6(4).101-118.2022
Khan, M. A. (2019). Impact Of Dividend Policy On Share Price Volatility For Companies Listed On Pakistan Stock Exchange. Management, & Applied Sciences & Technologies, 10(17). https://doi.org/10.14456/ITJEMAST.2019.236
Koleosho, A. O., Akintoye, I. R., & Ajibade, A. T. (2022). The Effect of Dividend Policy on Share Price Volatility of Some Selected Companies on the Nigerian Exchange. Journal of Accounting, Business and Finance Research, 15(1), 10–20. https://doi.org/10.55217/102.v15i1.525
Marini, N. L. P. S., & Sutrisna Dewi, S. K. (2019). Pengaruh Kebijakan Dividen, Leverage, Dan Ukuran Perusahaan Terhadap Volatilitas Harga Saham. E-Jurnal Manajemen Universitas Udayana, 8(10), 5887. https://doi.org/10.24843/ejmunud.2019.v08.i10.p01
Martha, A., & Lukman, H. (2022). Faktor Yang Mempengaruhi Stock Price Volatility Perusahaan PErtambangan di BEI (2015-2019). Fakultas Ekonomi Universitas Taruma Negara, IV(1), 327–335.
Mupondo, N. C. (2022). Liquidity, Trading Activity, and Stock Price Volatility. Finance & Economics Review, 4(2), 12–25. https://doi.org/10.38157/fer.v4i2.482
Nurleli, D., & Wibisono, M. (2021). The Effect of IFRS Application, Stock Price Volatility, and Fundamental Variables on Jakarta Islamic Index. Jurnal Manajemen Dan Keuangan, 10(1), 1–14. https://doi.org/10.33059/jmk.v10i1.2559
Phan, T. K. H., & Tran, N. H. (2019). Dividend policy and stock price volatility in an emerging market: Does ownership structure matter? Cogent Economics and Finance, 7(1). https://doi.org/10.1080/23322039.2019.1637051
Priana, I. W. K., & Muliartha, K. R. (2017). Pengaruh Volume Perdagangan Saham, Leverage, dan Dividend Payout Ratio Pada Volatilitas Harga Saham.
Puji Estuti, E., Hendrayanti, S., & Semarang, S. (2020). Dampak Volume Perdagangan Saham, Profitabilitas Dan Dividen Terhadap Volatilitas Harga Saham.
Ria Selpiana, K., & Bagus Badjra, I. (2018). Pengaruh Kebijakan Dividen, Nilai Tukar, Leverage, Dan Firm Size Terhadap Volatilitas Harga Saham. 7(3), 1682–1712. https://doi.org/10.24843/EJMUNUD.2018.v7.i03.p020
Ridloah, S., Putri, R. D., Noekent, V., & Waliuddin, A. N. (2022). Dividend Policy and Stock Price Volatility: A Study on Indonesian Manufacturing Companies. In Management Analysis Journal. http://maj.unnes.ac.id
Rosyida, H., Firmansyah, A., & Wicaksono, S. B. (2020). Volatilitas Harga Saham: Leverage, Ukuran Perusahaan, Pertumbuhan Aset. JAS (Jurnal Akuntansi Syariah), 4(2), 196–208. https://doi.org/10.46367/jas.v4i2.256
Rusiana, I., & Program, R. K. (2018). Inflasi Terhadap Volatilitas Harga Saham.
Safrani, D. R., & Kusumawati, E. (2022). Pengaruh Volume Perdagangan Saham, Dividend Yield, Earning Volatility, Firm Size, dan Nilai Tukar Terhadap Volatilitas Harga Saham (Studi Empiris Perusahaan yang Terdaftar Indeks LQ45 Periode 2016-2020). E-QIEN: Jurnal Ekonomi dan Bisnis, 9(2), 123-134
Septyadi, M. A., & Bwarleling, T. H. (2020a). Pengaruh Volume Perdagangan Saham, Leverage, dan Kebijakan Dividen Terhadap Volatilitas Harga Saham. AKURASI: Jurnal Riset Akuntansi Dan Keuangan, 2(3), 149–162. https://doi.org/10.36407/akurasi.v2i3.251
Septyadi, M. A., & Bwarleling, T. H. (2020b). Pengaruh Volume Perdagangan Saham, Leverage, dan Kebijakan Dividen Terhadap Volatilitas Harga Saham. AKURASI: Jurnal Riset Akuntansi Dan Keuangan, 2(3), 149–162. https://doi.org/10.36407/akurasi.v2i3.251
Siawan, R. M., & Lukman, H. (2023). The Determinants Of Stock Price Volatility In Plantation Industry In Indonesia During 2016-2020. International Journal of Application on Economics and Business (IJAEB), 1(3), 2987–1972. https://doi.org/10.24912/ijaeb.v1.i3.1371-1381
Singh, N. P., & Tandon, A. (2019). The Effect of Dividend Policy on Stock Price: Evidence from the Indian Market. Asia-Pacific Journal of Management Research and Innovation, 15(1–2), 7–15. https://doi.org/10.1177/2319510x19825729
Sirait, J., Purwohedi, U., & Noviarini, D. (2021). Pengaruh Volatilitas Laba, Leverage Keuangan, Kebijakan Dividen, Dan Price To Book Value Terhadap Volatilitas Harga Saham. 2(1).
Siti Asriyah. (2022). Pengaruh Volume Perdagangan, Dividend Yield Dan Firm Size Terhadap Volatilitas Harga Saham : Studi Pada Perusahaan Subsektor Makanan dan Minuman Yang Terdaftar di BEI Periode 2017-2021 Siti Asriyah. www.idx.com.
Sugathadasa, D. (2018). The Impact of Dividend Policy on Share Price Volatility: Empirical Evidence with Colombo Stock Exchange in Sri Lanka. 7(8). https://doi.org/10.24940/ijir
Sugiyono. (2019). Metode Penelitian Kuantitatif, Kualitatif dan R&D. Alfabet.
Susanto, H., Prasetyo, I., Indrawati, T., Aliyyah, N., Rusdiyanto, Tjaraka, H., Kalbuana, N., Syafi’ur Rochman, A., Gazali, & Zainurrafiqi. (2021). The Impacts Of Earnings Volatility, Net Income And Comprehensive Income On Share Price: Evidence From Indonesia Stock Exchange. Accounting, 7(5), 1009–1016. https://doi.org/10.5267/j.ac.2021.3.008
Tati, P., Pertiwi, D., Luh, N., & Wiagustini, P. (2020). The Impact of Dividend Payout Ratio (DPR), Leverage and Firm Size on Stock Price Volatility in Manufacturing Companies Listed on the Indonesia Stock Exchange. In American Journal of Humanities and Social Sciences Research. www.ajhssr.com
Utami, A., & Purwohandoko. (2021). Pengaruh Kebijakan Dividen, Leverage, Earning Volatility, dan Volume Perdagangan Terhadap Volatilitas Harga Saham Pada Perusahaan Sektor Finance yang Terdapat di BEI Tahun 2014-2018. Ilmu Manajemen Fakultas Ekononomi Universitas Negeri Surabaya, 9(1).
Zainudin, R., Mahdzan, N. S., & Yet, C. H. (2018). Dividend Policy And Stock Price Volatility Of Industrial Products Firms In Malaysia. International journal of Emerging Markets, 13(1), 203–217. https://doi.org/10.1108/IJoEM-09-2016-0250.
