HUBUNGAN ANTARA VOLATILITAS HARGA SAHAM DAN VOLUME PERDAGANGAN SAHAM DI BURSA EFEK INDONESIA

Testing the relationship of stock price volatility with trading volume by using dynamic regression, vector auto regression (VAR) model, IRF and VC. The relationship of price with volume contemporer is not only positive but also negative. Granger casuality testing proves that price with volume has a bi-directional casuality. To find out the long term relationship of price with the volume used IRF and VC. The test results found that volume is not an explanatory factor of price movement. The research population is the company that entered in the list of LQ45, with puposive random sampling obtained sample research 21 companies. Keywords : price, volume, bi-direction casuality, explanantory facto