ABSTRACT

This research aims to examine the relationship between market returns and trading volume as well as market returns and changes in trading volume on the JKSE from January 1st, 2008 to September 30th, 2013. This research used GARCH (1, 2) to examine the relationship. The researchers found that market returns and trading volume were significantly positive, as well as market returns and the change of trading volume. The results showed that past information, such as trading volume, could provide new information to the market in the future.