Relations between trade volume and frequency of domestic investors with stock volatility: Analysis before and during the COVID-19 pandemic

This study aimed to examine the effect of the trade volume and frequency conducted by domestic individual retailers and domestic institutional investors on volatility before and after the announcement of COVID-19 as a pandemic by the WHO. The data was obtained from stock prices, trade volume and frequency of buying and selling positions for investors from September 2, 2019, to September 29, 2020 from IDX. The results showed that the buying frequency of individual investors' significantly affected volatility before the announcement. However, institutional investors' buying frequency had a more significant effect on volatility after the announcement.