Many traders still using trading volume to observe price movement. The trading
volume can be decomposed into two components: number of transactions and trade
size (Gopinath and Krishnamurti, 2001; Sukamulja, 2002). Stock price changes also
due to information received by traders but differ in interpreting the information led
the trade. This study to determine the effect of number of transactions, volatility, firm
size and information on companies listed in LQ45. Sample is formed into 4 portfolios
based on market capitalization. The datas in this study used weekly datas. This study
used simple regression analysis to examine the effect of number of transactions and
volatility and used multiple regression analysis to examine of firm-specific
information and marketwide information on number of transactions, in the multiple
regression analysis conduc testing to determine the effect of firm-specific information
and marketwide information on number of transactions partially. The results of this
study provide a number of transactions has significant effect on volatility for all
portfolio size. Firm-specific information and marketwide information significant
effect on number of transactions for all size portfolios, firm-specific information has
significant effect on number of transactions for portfolio I to Portfolio III and not
significant on number of transactions for portfolio IV and marketwide information
has significant effect on number of transactions for all portfolios formed.