A variable value that is affected by other variable value at a same time is called a contemporaneous relationship. However, a variable value could also be affected by the variable value itself as well as other variable at different period of time. The objective of this research is to determine the contemporaneous connection between trading volume and stock return, and to understand whether the trading volume and stock return is consistent with the weak form of the efficient market hypothesis (EMH) in the Indonesian stock data with the LQ-45 index case study. The linear regression outcome showed that stock that owned monthly market average capitalization between 50 trillion rupiah and 90 trillion rupiah (moderate capitalized stock) dominated (at 33.33% or 4 out of 12 stocks) the contemporaneous relationship between trade volume and the significant return stock statistically. It is indicated that the Indonesian stock market does not contradict with the weak form of EMH.