Trading Volume Activity, Earning Quality and Stock Return Volatility of Listed Consumer Non-Cyclicals Companies in Indonesia: Does Corporate Reputation Play a Role?

Abstract

This study aims to investigate the impact of trading volume activity and earning quality on stock return volatility, with corporate reputation as a moderating factor, within 175 consumer non-cyclicals companies listed on the Indonesia Stock Exchange (IDX) from 2017 to 2021. Findings indicate that trading volume activity positively influences stock return volatility, while earning quality negatively affects it. Moreover, corporate reputation amplifies the positive relationship between trading volume activity and stock return volatility, and it also enhances the negative relationship between earning quality and stock return volatility. The negative effect of earning quality on stock return volatility is reinforced by corporate reputation. The originality of this study is to add the corporate reputation variable as a moderating variable in moderating the effect of trading volume activity and earning quality on return volatility. This research is expected to be useful for investors when investing in the stock market. Besides that, it is also expected to be useful for companies to be more careful in carrying out the company's operational activities because it will be related to the provision of capital by investors.