ABSTRAK Ishaki, Pengaruh Volatilitas, Trading Turnover, Book to Market Dan Firm Size Terhadap Return Saham Pada Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia Periode 2014-2018. Dibawah bimbingan (Alm) Dr. Chairul Anam, SE, M.Kes dan Drs. Ec. H Makhmud Zulkifli, Msi. Penelitian ini bertujuan untuk mengetahui dan menganalisis Pengaruh Volatilitas, Trading Turnover, Book to Market Dan Firm Size Terhadap Return Saham Pada Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia Periode 2014-2018. Jenis penelitian ini adalah penelitian kuantitatif. Jumlah populasi dalam penelitian ini adalah sebanyak 26 perusahaan. Teknik pengambilan sampel yang digunakan dalam penelitian ini adalah purposive sampling dan jumlah sampel yang dipilih adalah 14 perusahaan dari jumlah 26 populasi. Berdasarkan hasil penelitian secara parsial, menunjukkan bahwa volatilitas tidak berpengaruh signifikan terhadap return saham. T-hitung volatilitas sebesar 2,011 lebih kecil dari pada t-tabel (2,011<2,040) dan nilai probabilitas lebih besar dari 0,05. Trading turnover tidak berpengaruh signifikan terhdap return saham. T-hitung trading sebesar -0,577 lebih kecil dari pada t-tabel (0,577<-2,040) dan nilai probabilitas lebih besar dari 0,05. Book to market berpengaruh negatif signifikan terhadap return saham. T-hitung book to market sebesar -2,090 lebih besar dari pada t-tabel (-2,090>-2,040) dan nilai probabilitas lebih kecil dari 0,05. Firm size tidak berpengaruh signifikan terhadap return saham. T-hitung firm size sebesar -1,548 lebih kecil dari pada t-tabel (-1,548<2,040) dan nilai probabilitas lebih besar dari 0,05. Hasil penelitian secara simultan, menunjukkan bahwa volatilitas, trading turnover, book to market dan firm size berpengaruh terhadap return saham. Berdasarkan nilai F hitung 3,653 dan probabilitas yang diperoleh lebih kecil dari 0,05 maka secara simultan volatilitas, trading turnover, book to market dan firm size berpengaruh positif terhadap return saham. Kata kunci : Volatilitas, Trading Turnover, Book to Market, Firm Size, return saham

ABSTRACT Ishaki, The influence of volatility, trading trunover, book to market and firm size on stock returns in manufacturing companies that listed on the Indonesian Stock Exchange in the 2014-2018 period. Under guidance of (Alm)Dr.Chairul Anam, SE,M.Kes and Drs. Ec. H. Makhmud Zulkifli, Msi. This study aims to determine the effect of volatility, trading turnover, book to market and firm size on stock return in manufacturing companies that listed on the Indonesian Stock Exchange in the 2014-2018. The type of this reseacrh is quantitative research.the population of this study is 26 campanies.The sampling technique ini this study was purposive sampling and the number of samples that was chosen is 14 campanies out of 26 companies. Based on the partial research results, shows that volatility has no significant effect on stock return.T count of volatility of 2,011 is smaller than t table (2,011<2,040) and the probability value was greater than 0,05. Trading turnover has no significant effect on stock return.T count of trading turnover is 0,577 ,smaller than t table (-0,577<-2,040) and the probability value was greater than 0,05. Book to market has a significant negative effect on stock return.T count of book to market is -2,090 ,greater than t table (-2,090>-2,040) and the probability value was smaller than 0,05. Firm Size has no significant effect on stock return.T count of firm size volatility is -1,548 ,smaller than t table (-1,548<2,040) and the probability value was greater than 0,05. Based on the simultan research result, shows that volatility, trading turnover, book to market and firm size has a significant effect on the stock return.based on the value of F count (3,653) and the probability obtained, smaller than 0,05 then based on it, volatility, trading turnover, book to market and firm size has a significant positive effect on the stock return in manufacturing companies that listed on the Indonesian Stock Exchange in the 2014-2018 period. Keywords: volatility, trading turnover, book to market, firm size, stock return

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