Impact of Stock Liquidity to Momentum Return (Studies on Consumer Goods Companies Listed in Indonesian Stock Exchange (IDX) in 2016 – 2020)

Abstract

The purpose of this research is to analyze the impact between bid ask spread, trading volume activity, turnover, depth, and price impact to momentum return in consumer goods stock listed in Indonesia Stock Exchange (IDX) in 2016 – 2020. The independent variables in this research are bid ask spread, trading volume activity, turnover, depth, and price impact, while the dependent variable in this research are momentum return. Sample in this research were selected using purposive sampling method with some selected criteria. Consumer goods companies listed in IDX in 2016 – 2020 were chosen 58 compannies as a sample. The statistic method that used in this research are descriptive analysis, classical assumption test (Normality test, Heteroscedasticity test, Multicollinearity test, and Autocorrelation test), multiple regression analysis, and hypothesis test (F-statistic test, determinant coefficient, and T-statistic test). The results showed that bid ask spread has a positive significant on momentum return, trading volume activity has a positive significant on momentum return, price impact has a negative significant on momentum return, depth has a negative insignificant on momentum return, and turnover has a negative insignificant on momentum return.