The Effect of Stock Volatility and Profitability on Stock Returns with Stock Liquidity as a Mediating Variable: Evidence from Energy Sector Companies Listed on the Indonesia Stock Exchange, 2021–2025
DOI:
https://doi.org/10.30601/humaniora.v10i2.8141Keywords:
Stock volatility, Profitability, Stock liquidity, Stock return, Energy sector, Sobel testAbstract
Energy sector stocks on the Indonesia Stock Exchange (IDX) offer high returns but are exposed to commodity prices and macroeconomic shocks, and evidence on whether firm fundamentals and market behaviour drive their returns remains mixed. This study examines the effect of stock volatility and profitability on stock returns, with stock liquidity as a mediating variable, in energy sector companies listed on the main board of the IDX in 2021–2025. Using purposive sampling and panel data, two structural equations were estimated in EViews 13 and mediation was tested with the Sobel test. The final panel comprised 85 firm-year observations from 26 companies; the return equation, estimated with an AR(1) correction, used 59 observations. Stock volatility has a positive and significant effect on liquidity (p = 0.0000), whereas profitability does not (p = 0.7559). Profitability (p = 0.0037) and liquidity (p = 0.0003) have positive and significant effects on returns, while volatility has a positive but insignificant effect (p = 0.0607). Liquidity mediates the effect of volatility on returns (Sobel z = 2.884, p = 0.004) but not that of profitability (z = −0.311, p = 0.756). The findings suggest that investors in energy stocks reward earnings fundamentals directly, whereas price volatility affects returns only through trading activity.Downloads
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