THE EFFECT OF NET FOREIGN BUY/SELL, FREE FLOAT, AND STOCK VOLATILITY ON STOCK RETURNS IN COMPANIES THAT ARE CONSISTENTLY LISTED IN THE LQ45 INDEX FOR THE PERIOD 2022–2025

Muhammad Faqih Ramadhan; Rizaldi Yusfiarto

doi:10.61677/count.v4i2.1086

Authors

Muhammad Faqih Ramadhan Sharia Financial Management Program, Faculty of Islamic Economics and Business, Sunan Kalijaga State Islamic University
Rizaldi Yusfiarto Sharia Financial Management Program, Faculty of Islamic Economics and Business, Sunan Kalijaga State Islamic University

DOI:

https://doi.org/10.61677/count.v4i2.1086

Keywords:

Net foreign buy/sell, free float, stock volatility, stock return, LQ45.

Abstract

Stock returns in companies that are members of the LQ45 index can be related to investors' trading activities and stock trading characteristics. This study aims to analyze the relationship between Net Foreign Buy/Sell, free float, and stock volatility with stock returns in companies that are consistently incorporated in the LQ45 index during the period 2022–2025. This study uses a quantitative approach with secondary data from 27 companies resulting in 108 company-year observations. Net Foreign Buy/Sell and free float data are obtained from the Indonesia Stock Exchange, while stock price data is obtained from Yahoo Finance. Stock returns are measured based on annual price changes, while stock volatility is measured using the annualized standard deviation of daily stock returns. Data analysis was carried out using panel data regression. The results of the model selection test showed that the Common Effect Model was suitable, while the final estimate used standard errors clustered by company to provide robust statistical inference in the presence of heteroscedasticity. The results showed that Net Foreign Buy/Sell was positively and significantly related to stock returns, while free float was negatively related but not significant. Stock volatility was positively and significantly related to stock returns. Simultaneously, the three independent variables were significantly related to stock returns with an R-squared value of 20.20%. These findings show that net foreign buy/sell activity and stock volatility have a significant relationship with the stock returns of LQ45 companies during the study period, while free float does not show a significant relationship.

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