Beta, Trading Volume, and Expected Return: A Case Study of the R-LQ45X ETF on the Indonesia Stock Exchange

Abstract

This study examines the effect of Beta and Trading Volume on the Expected Return of the R-LQ45X Exchange-Traded Fund (ETF), a single index-based ETF listed on the Indonesia Stock Exchange (IDX), over the 2020–2024 period. The study uses secondary data consisting of the monthly closing prices and trading volumes of the R-LQ45X ETF, yielding 60 monthly observations obtained from the official IDX website and Yahoo Finance. The data were analyzed using descriptive statistics and multiple linear regression with SPSS. The results show that Beta has a positive regression coefficient (0.000) but is not statistically significant (t-test p = 0.815 > 0.05), indicating that Beta has no statistically significant effect on Expected Return. Trading Volume has a positive regression coefficient (3.244E-8) and is statistically significant (t-test p = 0.001 < 0.05), indicating a significant positive effect on Expected Return. Jointly, Beta and Trading Volume significantly affect Expected Return (F = 6.143; p = 0.004 < 0.05). However, the model's explanatory power is low, with an R² of 17,7%, meaning that Beta and Trading Volume together explain only a small proportion of the variation in Expected Return, with the remainder attributable to factors outside the model