THE EFFECT OF INVESTOR ATTENTION AND INFORMATION ASYMMETRY ON STOCK RETURN VOLATILITY: THE MEDIATING ROLE OF TRADING VOLUME

Abstract

This study aims to examine the effects of investor attention and information asymmetry on stock return volatility, with trading volume as a mediating variable. The study was conducted on companies included in the IDX Small-Mid Cap (IDX SMC) Index listed on the Indonesia Stock Exchange during the period of November 2025-March 2026. The sample was selected using a purposive sampling method, resulting in 60 companies with 1,242 observations after outlier removal. Investor attention was measured using the Abnormal Search Volume Index (ASVI) derived from Google Trends; information asymmetry was measured using the relative bid-ask spread; trading volume was measured using trading volume activity; and stock return volatility was measured using the GARCH model. Data were analyzed using Structural Equation Modeling-Partial Least Squares (SEM-PLS) with the assistance of SmartPLS. The results indicate that investor attention does not have a significant effect on stock return volatility, but has a positive effect on trading volume. Trading volume is proven to have a positive effect on stock return volatility and fully mediates the relationship between investor attention and stock return volatility. In addition, information asymmetry is proven to have a positive effect on stock return volatility. These findings indicate that stock return volatility among IDX SMC companies is influenced more by trading activity and information conditions in the market than by investor attention directly. The implication is that companies need to enhance information transparency, while investors should consider trading volume and the level of information asymmetry when making investment decisions.