The Relationship Between Earnings, Stock Returns, And Trading Volume In Manufacturing Company (Listed In Indonesian Stock Exchange From 2006-2010)

Abstract

This research analyzes the relationship of earning variables, stock returns, and trading volumes in manufacturing companies in Indonesia. The samples consist of 171 companies listed in Indonesian Stock Exchange during the period of 2006-2010. This study tests four hypotheses related to the relationship among earning variables, stock returns, and trading volumes. Data obtained were analyzed by using multiple regression analysis. The result of this study indicates that: (1) Disaggregated of earnings increases the value relevance in predicting stock returns. (2) Sign of earnings increases the value relevance in predicting stock returns. (3) Both stock returns and trading volumes are stationary. (4) There is a significant relationship between stock return and trading volume. Key Words: Disaggregated earnings, sign of earnings, stock returns, trading volumes, manufacturing company