THE EFFECT OF STOCK PRICE FLUCTUATION AND TRADING VOLUME ON STOCK RETURN IN THE BUILDING CONSTRUCTION SECTOR (J211 IDX-IC) WITH STOCK LIQUIDITY AS A MEDIATING VARIABLE 10 10

Abstract

This study examines the effect of stock price fluctuation and trading volume on stock return in the building construction sector (J211 IDX-IC), with stock liquidity as a mediating variable. The construction sector plays a strategic role in national development but shows high price volatility and unstable trading activity, exposing investors to elevated risk and warranting empirical testing of the market factors behind fluctuating returns. Using a quantitative panel data regression approach, the study draws on 25 construction issuers listed on the Indonesia Stock Exchange during 2024, selected through purposive sampling based on data completeness, yielding 100 quarterly observations. Stock price fluctuation is proxied by return volatility, trading volume by the log of average transaction value, return by capital gain, and liquidity by the Amihud illiquidity ratio. Following model selection through the Chow and Lagrange Multiplier tests, hypotheses were tested with a Common Effect Model and a causal-step mediation approach. The results show that neither stock price fluctuation nor trading volume significantly affects stock return, and price fluctuation does not significantly affect liquidity, while trading volume significantly improves it. Liquidity fails to mediate either relationship, so construction-sector returns appear shaped more by fundamental and external factors than by technical indicators alone.