The research aims to examine the
effect of trading activity to return
volatility controlled by the change of
incumbent government. The proxies of
trading activies are trading volume,
value and frequency. By using GARCH
technique, and sample of 7 firms in
consumer goods industry listed in JSX,
during 20 May 1998 to 31 October 2006,
the study showed that there was no
effect of trading volatility to stock return
except for Indofood Sukses Makmur
Tbk and HM Sampoerna Tbk, and only
for frequency volatility. The results also
reveal that there was no weekend effect,
except for Ultrajaya Tbk. However, the
change of incumbent government can
explain the stock return volatility.
