A variable value may be affected by variable another at the same period. However, a variable may also be affected by itself or other variable at different period of time. This paper presents modification of Paital and Sharma model [12] by adding the return variable on Indonesian stock data with case study of LQ-45 Index. This paper empirically examines the relationship among trading volume, bid-ask spread, volatility and stock return. Regression results show that there are weak contemporaneous relationship between stock trading variables. Thus, it indicates that Indonesian market is inefficient. Based on Granger causality test, it is found that LQ-45 intraday stock sample trading tend to follow the mixture of distribution hypothesis theory
Contemporaneous and causal relationship, stocks
