Lampiran

  Lampiran Lampiran 1  Kurs tengah valas BI PERIODE EURO GBP JPY USD SID +7 11656.93 17310.54 8131.61 9740 5804.4 +6 11525.88 17114.28 8055.475 9735 5785.905 +5 11501.66 17062.67 8079.475 9745 5787.56 +4 11490.09 17014.57 8118.31 9810 5820.105 +3 11630.32 17171.59 8160.28 9880 5859.945 +2 11732.07 17337.26 8229.45 9955 5907.565 +1 11706.48 17322.76 8245.78 10005 5922.42 11767.14 17366.2 8326.125 10035 5932.69 - 1 11822.99 17340.02 8373.02 10030 5931.27 - 2 11821.28 17242.77 8392.275 10035 5925.465 - 3 11868.39 17310.07 8414.42 10040 5933.545 - 4 11770.63 17225.24 8399.065 10062 5931.62 - 5 11838.23 17318.39 8438.285 10060 5947.81 - 6 11875.66 17322.28 8471.075 10050 5938.7 - 7 11875.75 17313.92 8476.88 10065 5939.325 - 8 11786.17 17251.93 8440.82 10050 5911.27 - 9 11893.33 17334.78 8466.46 10100 5940.345 - 10 11810.81 17290.45 8451.41 10055 5925.105 - 11 11690.91 17200.69 8413.505 10020 5886.24 - 12 11715.72 17345.95 8401.68 9995 5873.625 - 13 11719.97 17417.39 8434.75 10020 5877.265 - 14 11738.63 17426.88 8483.675 10000 5878.075 - 15 11657.03 17371.46 8465.345 9970 5859.62 - 16 11743.04 17396.24 8479.975 9980 5865.5 - 17 11812.69 17492.57 8559.36 10040 5898.34 - 18 12163.33 17955.22 8715.48 10150 5988.29 - 19 12176.24 17912.93 8724.635 10090 5966.805 - 20 12135.51 17830.91 8672.13 9995 5925.105 - 21 12071.39 17777.1 8623.245 9980 5904.71 - 22 12060.76 17779.13 8656.095 9970 5901.075 - 23 12023.45 17751.47 8707.76 10050 5935.945 - 24 12015.71 17786.58 8691.51 10073 5939.485 - 25 12123.78 17886.78 8737.03 10075 5952.415 - 26 12088.79 17786.73 8739.01 10100 5957.915 - 27 12057.82 17650.67 8729.14 10110 5966.23 - 28 12146.61 17724.8 8778.34 10120 5979.54 - 29 12220.22 17879.14 8866.895 10098 5986.35 - 30 12187.85 17785.18 8851.74 10140 5999.155 - 31 12141.44 17696.73 8825.25 10130 5980.5 - 32 12107.31 17633 8824.74 10110 5979.15

• - 33 12158.92 17708.63 8857.485 10105 5995.175 - 34 12174.08 17675.05 8825.31 10040 5965.98 - 35 12237.56 17859.31 8866.92 10055 5976.84 - 36 12088.26 17779.81 8803.325 10030 5940.27 - 37 12085.79 17836.35 8885.14 10125 5985.895 - 38 12232.37 18022.9 8995.37 10265 6062.18 - 39 12293.69 18060.66 9016.595 10300 6076.785 - 40 12419.53 18166.37 9124.36 10310 6105.375 - 41 12555.39 18417.49 9214.835 10415 6164.945 - 42 12375.18 18208.38 9093.415 10295 6084.965 - 43 12314.27 18149.34 9082.13 10235 6053.795 - 44 12293.57 18125.47 9098.675 10225 6066.675 - 45 12402.19 18276.29 9149.22 10205 6066.685 - 46 12452.71 18446.56 9137.755 10210 6076.745 - 47 12404.18 18375.09 9121.815 10210 6069.505 - 48 12357.23 18322.06 9121.62 10160 6051.67 - 49 12357.19 18324.27 9105.645 10155 6038.055 - 50 12393.54 18290.51 9136.09 10120 6022.755 - 51 12237.86 18214.86 9056.4 10015 5961.885 - 52 12299.97 18268.03 9053.475 10004 5964.08 - 53 12431.8 18404.87 9163.56 10105 6021.42 - 54 12498.62 18565.15 9223.255 10110 6042.405 - 55 12807.67 18952.98 9335.025 10310 6143.945 - 56 12867.71 19019.04 9404.99 10360 6179.265 - 57 12881.7 19014.26 9419.635 10345 6170.68 - 58 12932.43 19071.01 9475.96 10350 6183.96 - 59 12947.58 19025.8 9433.745 10295 6157.89 - 60 12891.77 18832.65 9437.495 10450 6210.485

  Lampiran 2  Retun sesungguhnya (actual return) PERIODE EURO GBP JPY USD SID +7 0.011370065 0.011467617 0.009451336 0.000513611 0.003196561 +6 0.002105783 0.003024732 -0.00297049 -0.001026167 -0.000285958 +5 0.001006955 0.002827284 -0.004783631 -0.006625892 -0.005591824 +4 -0.012056853 -0.00914446 -0.005143206 -0.00708502 -0.006798699 +3 -0.008673235 -0.00955543 -0.008405179 -0.007533903 -0.008060851 +2 0.002186397 0.00083676 -0.001980407 -0.004997501 -0.002508265 +1 -0.005155458 -0.00250112 -0.009649747 -0.002989537 -0.001731087 -0.004723847 0.001509803 -0.005600727 0.000498504 0.000239409 - 1 0.000144654 0.005640047 -0.002294372 -0.000498256 0.00097967 - 2 -0.003968948 -0.00388791 -0.002631792 -0.000498008 -0.001361749 - 3 0.008304993 0.00492446 0.00182818 -0.002186444 0.000324532 - 4 -0.005710313 -0.00537868 -0.004647864 0.000198807 -0.00272201 - 5 -0.003151825 -0.00022457 -0.003870819 0.000995025 0.001534006 - 6 -0.000007157 0.000483137 -0.000684804 -0.001490313 -0.000105231 - 7 0.007600437 0.003592931 0.004272097 0.001492537 0.004746019 - 8 -0.009010513 -0.00477941 -0.00302842 -0.004950495 -0.004894497 - 9 0.006987246 0.002563843 0.001780768 0.004475385 0.002572106 - 10 0.010255404 0.005218688 0.004505257 0.003493014 0.006602687 - 11 -0.002117242 -0.00837429 0.001407457 0.002501251 0.002147737 - 12 -0.000363056 -0.00410193 -0.003920685 -0.00249501 -0.000619336 - 13 -0.001589198 -0.00054427 -0.005766958 0.002 -0.0001378 - 14 0.007000071 0.003190291 0.002165299 0.003009027 0.003149522 - 15 -0.007324764 -0.00142445 -0.001725241 -0.001002004 -0.001002472 - 16 -0.005895781 -0.00550691 -0.009274642 -0.005976096 -0.005567668 - 17 -0.028828043 -0.02576716 -0.017912955 -0.010837438 -0.015020983 - 18 -0.001059851 0.002361144 -0.001049328 0.005946482 0.003600755 - 19 0.003356267 0.004599879 0.006054453 0.009504752 0.00703785 - 20 0.005311735 0.003026647 0.00566898 0.001503006 0.003454022 - 21 0.000880956 -0.00011418 -0.003795014 0.001003009 0.000615989 - 22 0.00310352 0.001558463 -0.005933214 -0.007960199 -0.005874381 - 23 0.000644157 -0.00197396 0.001869641 -0.002283332 -0.000596011 - 24 -0.008914299 -0.0056019 -0.005210008 -0.000198511 -0.002172228 - 25 0.002894417 0.005624699 -0.00022657 -0.002475248 -0.000923142 - 26 0.002568873 0.007708489 0.001130696 -0.00098912 -0.001393677 - 27 -0.007309861 -0.00418199 -0.005604704 -0.000988142 -0.002225924 - 28 -0.006024032 -0.00863269 -0.009987149 0.002178649 -0.001137588 - 29 0.002656335 0.00528305 0.001712093 -0.004142012 -0.002134467 - 30 0.003822448 0.004998099 0.003001615 0.000987167 0.003119304 - 31 0.002818959 0.003614246 0.000057792 0.001978239 0.000225785 - 32 -0.004245032 -0.0042708 -0.003696873 0.000494805 -0.002672983

• - 33 -0.001245269 0.001900137 0.003645764 0.006474104 0.00489358 - 34 -0.005187309 -0.01031759 -0.004692723 -0.001491795 -0.001817014 - 35 0.012351245 0.004471646 0.007223975 0.002492522 0.006156286 - 36 0.000204372 -0.00317021 -0.009208071 -0.009382716 -0.007622085 - 37 -0.011982965 -0.01035072 -0.012254082 -0.013638578 -0.012583757 - 38 -0.004988331 -0.00209073 -0.002353993 -0.003398058 -0.002403409 - 39 -0.01013203 -0.00581899 -0.011810691 -0.000969932 -0.004682759 - 40 -0.010820855 -0.01363487 -0.009818407 -0.010081613 -0.009662698 - 41 0.014561808 0.011484273 0.013352519 0.011656144 0.013143872 - 42 0.004946702 0.003253011 0.00124255 0.005862237 0.005148836 - 43 0.0016834 0.001316931 -0.001818397 0.000977995 -0.002123074 - 44 -0.008758131 -0.00825195 -0.005524515 0.001959824 -0.000001648 - 45 -0.004056548 -0.00923045 0.001254685 -0.000489716 -0.001655492 - 46 0.003911988 0.003889506 0.001747459 0.001192849 - 47 0.003799801 0.002894052 0.000021378 0.00492126 0.00294712 - 48 0.000002832 -0.00012033 0.001754406 0.000492368 0.002254865 - 49 -0.002932577 0.001845766 -0.003332388 0.003458498 0.002540366 - 50 0.012721184 0.004153204 0.008799302 0.010484274 0.010209858 - 51 -0.005050012 -0.00291082 0.00032308 0.00109956 -0.000368037 - 52 -0.010604257 -0.00743499 -0.012013344 -0.009995052 -0.009522671 - 53 -0.005345792 -0.00863311 -0.006472227 -0.00049456 -0.003472955 - 54 -0.024130462 -0.02046275 -0.011973187 -0.019398642 -0.016526841 - 55 -0.004665943 -0.00347362 -0.007439136 -0.004826255 -0.00571589 - 56 -0.001085649 0.00025139 -0.001554731 0.001449976 0.001391257 - 57 -0.003923083 -0.00297572 -0.005943989 -0.000483092 -0.002147491 - 58 -0.001170103 0.002376247 0.004474893 0.005342399 0.004233593 - 59 0.004329118 0.010256393 -0.000397351 -0.014832536 -0.008468743 - 60 0.029272351 0.028700698 0.024571824 0.020507813 0.021379034

  Lampiran 3  Expected Return dengan metode mean adjusted model selama priode estimasi. Ekpekted return EURO

  t

  1 Ri , t 

  E[Ri,t] =

  j  t

  1 T

• 0.05867579

  9

  =

  53

  = -0.001107091 Ekpekted return GBP

  

t

  

1

Ri , t



  E[Ri,t] =

_

j t

  1 T = -0.057609998 / 53 = -0.001086981

  Ekpekted return JPY

  

t

  

1

Ri , t



j  t

  1 T E[Ri,t] = = -0.085973107 / 53

  = -0.001622134

  Ekpekted return USD

  

t

  

1

Ri , t



j  t

  1 T E[Ri,t] = = -0.017526392 / 53

  = -0.000330687

  Ekpekted return SID

  E[Ri,t] = T Ri t

t

t j

  



_

  

1

  1 ,

  = -0.027130448 / 53 = -0.000511895

  Lampiran 4  Abnormal Return periode 60 hari sebelum dan 7 hari sesudah peristiwa PERIODE EURO GBP JPY USD SID +7 0.012477156 0.012554598 0.01107347 0.000844298 0.003708456 +6 0.003212874 0.004111713 -0.001348356 -0.00069548 0.000225937 +5 0.002114046 0.003914265 -0.003161497 -0.006295205 -0.005079929 +4 -0.010949762 -0.008057479 -0.003521072 -0.006754333 -0.006286804 +3 -0.007566144 -0.008468449 -0.006783045 -0.007203216 -0.007548956 +2 0.003293488 0.001923741 -0.000358273 -0.004666814 -0.00199637 +1 -0.004048367 -0.001414139 -0.008027613 -0.00265885 -0.001219192 -0.003616756 0.002596784 -0.003978593 0.000829191 0.000751304 - 1 0.001251745 0.006727028 -0.000672238 -0.000167569 0.001491565 - 2 -0.002861857 -0.002800929 -0.001009658 -0.000167321 -0.000849854 - 3 0.009412084 0.006011441 0.003450314 -0.001855757 0.000836427 - 4 -0.004603222 -0.004291699 -0.00302573 0.000529494 -0.002210115 - 5 -0.002044734 0.000862411 -0.002248685 0.001325712 0.002045901 - 6 0.001099934 0.001570118 0.00093733 -0.001159626 0.000406664 - 7 0.008707528 0.004679912 0.005894231 0.001823224 0.005257914 - 8 -0.007903422 -0.003692429 -0.001406286 -0.004619808 -0.004382602 - 9 0.008094337 0.003650824 0.003402902 0.004806072 0.003084001 - 10 0.011362495 0.006305669 0.006127391 0.003823701 0.007114582 - 11 -0.001010151 -0.007287309 0.003029591 0.002831938 0.002659632 - 12 0.000744035 -0.003014949 -0.002298551 -0.002164323 -0.000107441 - 13 -0.000482107 0.000542711 -0.004144824 0.002330687 0.000374095 - 14 0.008107162 0.004277272 0.003787433 0.003339714 0.003661417 - 15 -0.006217673 -0.000337469 -0.000103107 -0.000671317 -0.000490577 - 16 -0.00478869 -0.004419929 -0.007652508 -0.005645409 -0.005055773 - 17 -0.027720952 -0.024680179 -0.016290821 -0.010506751 -0.014509088 - 18 0.00004724 0.003448125 0.000572806 0.006277169 0.00411265 - 19 0.004463358 0.00568686 0.007676587 0.009835439 0.007549745

• - 20 0.006418826 0.004113628 0.007291114 0.001833693 0.003965917 - 21 0.001988047 0.000972801 -0.00217288 0.001333696 0.001127884 - 22 0.004210611 0.002645444 -0.00431108 -0.007629512 -0.005362486 - 23 0.001751248 -0.000886979 0.003491775 -0.001952645 -0.000084116 - 24 -0.007807208 -0.004514919 -0.003587874 0.000132176 -0.001660333 - 25 0.004001508 0.00671168 0.001395564 -0.002144561 -0.000411247 - 26 0.003675964 0.00879547 0.00275283 -0.000658433 -0.000881782 - 27 -0.00620277 -0.003095009 -0.00398257 -0.000657455 -0.001714029 - 28 -0.004916941 -0.007545709 -0.008365015 0.002509336 -0.000625693 - 29 0.003763426 0.006370031 0.003334227 -0.003811325 -0.001622572 - 30 0.004929539 0.00608508 0.004623749 0.001317854 0.003631199 - 31 0.00392605 0.004701227 0.001679926 0.002308926 0.00073768 - 32 -0.003137941 -0.003183819 -0.002074739 0.000825492 -0.002161088 - 33 -0.000138178 0.002987118 0.005267898 0.006804791 0.005405475 - 34 -0.004080218 -0.009230609 -0.003070589 -0.001161108 -0.001305119 - 35 0.013458336 0.005558627 0.008846109 0.002823209 0.006668181 - 36 0.001311463 -0.002083229 -0.007585937 -0.009052029 -0.00711019 - 37 -0.010875874 -0.009263739 -0.010631948 -0.013307891 -0.012071862 - 38 -0.00388124 -0.001003749 -0.000731859 -0.003067371 -0.001891514 - 39 -0.009024939 -0.004732009 -0.010188557 -0.000639245 -0.004170864 - 40 -0.009713764 -0.012547889 -0.008196273 -0.009750926 -0.009150803 - 41 0.015668899 0.012571254 0.014974653 0.011986831 0.013655767 - 42 0.006053793 0.004339992 0.002864684 0.006192924 0.005660731 - 43 0.002790491 0.002403912 -0.000196263 0.001308682 -0.001611179 - 44 -0.00765104 -0.007164969 -0.003902381 0.002290511 0.000510247 - 45 -0.002949457 -0.008143469 0.002876819 -0.000159029 -0.001143597 - 46 0.005019079 0.004976487 0.003369593 0.000330687 0.001704744 - 47 0.004906892 0.003981033 0.001643512 0.005251947 0.003459015 - 48 0.001109923 0.000966651 0.00337654 0.000823055 0.00276676 - 49 -0.001825486 0.002932747 -0.001710254 0.003789185 0.003052261 - 50 0.013828275 0.005240185 0.010421436 0.010814961 0.010721753 - 51 -0.003942921 -0.001823839 0.001945214 0.001430247 0.000143858 - 52 -0.009497166 -0.006348009 -0.01039121 -0.009664365 -0.009010776 - 53 -0.004238701 -0.007546129 -0.004850093 -0.000163873 -0.00296106 - 54 -0.023023371 -0.019375769 -0.010351053 -0.019067955 -0.016014946 - 55 -0.003558852 -0.002386639 -0.005817002 -0.004495568 -0.005203995 - 56 0.000021442 0.001338371 0.000067403 0.001780663 0.001903152 - 57 -0.002815992 -0.001888739 -0.004321855 -0.000152405 -0.001635596 - 58 -0.000063012 0.003463228 0.006097027 0.005673086 0.004745488 - 59 0.005436209 0.011343374 0.001224783 -0.014501849 -0.007956848 - 60 0.030379442 0.029787679 0.026193958 0.0208385 0.021890929

  Lampiran 5  Rata-rata Abnormal Return periode 60 hari sebelum dan 7 hari sesudah peristiwa PERIODE EURO GBP JPY USD SID +7 0.002495431 0.00251092 0.005536735 0.00016886 0.000741691 +6 0.000642575 0.000822343 -0.000674178 -0.000139096 0.000045187 +5 0.000422809 0.000782853 -0.001580749 -0.001259041 -0.001015985 +4 -0.002189952 -0.001611496 -0.001760536 -0.001350867 -0.001257361 +3 -0.001513229 -0.00169369 -0.003391523 -0.001440643 -0.001509791 +2 0.000658698 0.000384748 -0.000179137 -0.000933363 -0.000399275 +1 -0.000809673 -0.000282828 -0.004013807 -0.00053177 -0.000243839 -0.000723351 0.000519357 -0.001989297 0.000165838 0.000150261 - 1 0.000250349 0.001345406 -0.000336119 -0.000033513 0.000298313 - 2 -0.000572371 -0.000560186 -0.000504829 -0.000033464 -0.000169971 - 3 0.001882417 0.001202288 0.001725157 -0.000371151 0.000167285 - 4 -0.000920644 -0.00085834 -0.001512865 0.000105899 -0.000442023 - 5 -0.000408947 0.000172482 -0.001124343 0.000265142 0.00040918 - 6 0.000219987 0.000314024 0.000468665 -0.000231925 0.000081333 - 7 0.001741506 0.000935982 0.002947116 0.000364645 0.001051583 - 8 -0.001580684 -0.000738486 -0.000703143 -0.000923962 -0.000876521 - 9 0.001618867 0.000730165 0.001701451 0.000961214 0.0006168 - 10 0.002272499 0.001261134 0.003063696 0.00076474 0.001422916 - 11 -0.00020203 -0.001457462 0.001514796 0.000566388 0.000531926 - 12 0.000148807 -0.00060299 -0.001149276 -0.000432865 -0.000021489 - 13 -0.000096421 0.000108542 -0.002072412 0.000466137 0.000074819 - 14 0.001621432 0.000855454 0.001893717 0.000667943 0.000732283 - 15 -0.001243535 -0.000067494 -0.000051554 -0.000134263 -0.000098115 - 16 -0.000957738 -0.000883986 -0.003826254 -0.001129082 -0.001011155 - 17 -0.00554419 -0.004936036 -0.008145411 -0.00210135 -0.002901817 - 18 0.000009448 0.000689625 0.000286403 0.001255434 0.00082253 - 19 0.000892672 0.001137372 0.003838294 0.001967088 0.001509949 - 20 0.001283765 0.000822726 0.003645557 0.000366739 0.000793183 - 21 0.000397609 0.00019456 -0.00108644 0.000266739 0.000225577 - 22 0.000842122 0.000529089 -0.00215554 -0.001525902 -0.001072497 - 23 0.00035025 -0.000177396 0.001745888 -0.000390529 -0.000016823 - 24 -0.001561442 -0.000902984 -0.001793937 0.000026435 -0.000332067 - 25 0.000800302 0.001342336 0.000697782 -0.000428912 -0.000082249 - 26 0.000735193 0.001759094 0.001376415 -0.000131687 -0.000176357 - 27 -0.001240554 -0.000619002 -0.001991285 -0.000131491 -0.000342805 - 28 -0.000983388 -0.001509142 -0.004182508 0.000501867 -0.000125139 - 29 0.000752685 0.001274006 0.001667114 -0.000762265 -0.000324515 - 30 0.000985908 0.001217016 0.002311875 0.000263571 0.00072624 - 31 0.00078521 0.000940245 0.000839963 0.000461785 0.000147536 - 32 -0.000627588 -0.000636764 -0.00103737 0.000165098 -0.000432217

• - 33 -0.000027636 0.000597424 0.002633949 0.001360958 0.001081095 - 34 -0.000816044 -0.001846122 -0.001535295 -0.000232222 -0.000261023 - 35 0.002691667 0.001111725 0.004423055 0.000564642 0.001333636 - 36 0.000262293 -0.000416646 -0.003792969 -0.001810406 -0.001422039 - 37 -0.002175175 -0.001852748 -0.005315974 -0.002661578 -0.002414373 - 38 -0.000776248 -0.00020075 -0.00036593 -0.000613474 -0.000378303 - 39 -0.001804988 -0.000946402 -0.005094279 -0.000127849 -0.000834173 - 40 -0.001942753 -0.002509578 -0.004098137 -0.001950185 -0.001830161 - 41 0.00313378 0.002514251 0.007487327 0.002397366 0.002731153 - 42 0.001210759 0.000867998 0.001432342 0.001238585 0.001132146 - 43 0.000558098 0.000480782 -0.000098132 0.000261736 -0.000322235 - 44 -0.001530208 -0.001432994 -0.001951191 0.000458102 0.000102049 - 45 -0.000589891 -0.001628694 0.00143841 -0.000031806 -0.000228719 - 46 0.001003816 0.000995297 0.001684797 0.000066137 0.000340949 - 47 0.000981378 0.000796207 0.000821756 0.001050389 0.000691803 - 48 0.000221985 0.00019333 0.00168827 0.000164611 0.000553352 - 49 -0.000365097 0.000586549 -0.000855127 0.000757837 0.000610452 - 50 0.002765655 0.001048037 0.005210718 0.002162992 0.002144351 - 51 -0.000788584 -0.000364768 0.000972607 0.000286049 0.000028771 - 52 -0.001899433 -0.001269602 -0.005195605 -0.001932873 -0.001802155 - 53 -0.00084774 -0.001509226 -0.002425047 -0.000032775 -0.000592213 - 54 -0.004604674 -0.003875154 -0.005175527 -0.003813591 -0.003202989 - 55 -0.00071177 -0.000477328 -0.002908501 -0.000899114 -0.001040799 - 56 0.000004288 0.000267674 0.000033702 0.000356133 0.00038063 - 57 -0.000563198 -0.000377748 -0.002160928 -0.000030481 -0.000327119 - 58 -0.000012602 0.000692646 0.003048514 0.001134617 0.000949098 - 59 0.001087242 0.002268675 0.000612392 -0.00290037 -0.001591369 - 60 0.006075888 0.005957536 0.013096979 0.0041677 0.004378186

  2

  Lampiran 6  Standar Deviasi selama periode estimasi (53 hari) Standar Deviasi EURO PERIODE Ri,t E(Ri,t) [Ri,t-E(Ri,t)]

• -8 -0.00901051 -0.001107091 0.000062464 -9 0.006987246 -0.001107091 0.000065518 -10 0.010255404 -0.001107091 0.000129106 -11 -0.00211724 -0.001107091 0.000001020 -12 -0.00036306 -0.001107091 0.000000554 -13 -0.0015892 -0.001107091 0.000000232 -14 0.007000071 -0.001107091 0.000065726 -15 -0.00732476 -0.001107091 0.000038659 -16 -0.00589578 -0.001107091 0.000022932 -17 -0.02882804 -0.001107091 0.000768451 -18 -0.00105985 -0.001107091 0.000000002 -19 0.003356267 -0.001107091 0.000019922 -20 0.005311735 -0.001107091 0.000041201 -21 0.000880956 -0.001107091 0.000003952 -22 0.00310352 -0.001107091 0.000017729 -23 0.000644157 -0.001107091 0.000003067 -24 -0.0089143 -0.001107091 0.000060953 -25 0.002894417 -0.001107091 0.000016012 -26 0.002568873 -0.001107091 0.000013513 -27 -0.00730986 -0.001107091 0.000038474 -28 -0.00602403 -0.001107091 0.000024176 -29 0.002656335 -0.001107091 0.000014163 -30 0.003822448 -0.001107091 0.000024300 -31 0.002818959 -0.001107091 0.000015414 -32 -0.00424503 -0.001107091 0.000009847 -33 -0.00124527 -0.001107091 0.000000019 -34 -0.00518731 -0.001107091 0.000016648 -35 0.012351245 -0.001107091 0.000181127 -36 0.000204372 -0.001107091 0.000001720 -37 -0.01198297 -0.001107091 0.000118285 -38 -0.00498833 -0.001107091 0.000015064 -39 -0.01013203 -0.001107091 0.000081450 -40 -0.01082086 -0.001107091 0.000094357 -41 0.014561808 -0.001107091 0.000245514 -42 0.004946702 -0.001107091 0.000036648 -43 0.0016834 -0.001107091 0.000007787 -44 -0.00875813 -0.001107091 0.000058538 -45 -0.00405655 -0.001107091 0.000008699 -46 0.003911988 -0.001107091 0.000025191 -47 0.003799801 -0.001107091 0.000024078
• -48 0.000002832 -0.001107091 0.000001232 -49 -0.00293258 -0.001107091 0.000003332 -50 0.012721184 -0.001107091 0.000191221 -51 -0.00505001 -0.001107091 0.000015547 -52 -0.01060426 -0.001107091 0.000090196 -53 -0.00534579 -0.001107091 0.000017967 -54 -0.02413046 -0.001107091 0.000530076 -55 -0.00466594 -0.001107091 0.000012665 -56 -0.00108565 -0.001107091 0.000000000 -57 -0.00392308 -0.001107091 0.000007930 -58 -0.0011701 -0.001107091 0.000000004 -59 0.004329118 -0.001107091 0.000029552 -60 0.029272351 -0.001107091 0.000922910 Σ

  0.004195147

  DSi EURO =

  2

  1

  2

  1

  2 ) , ( _{ }

   

  T R t Ri t t j

  =

  53 7 0.00419514 = 4 0.00007915 = 0.00889

  Standar Deviasi GBP PERIODE Ri,t E(Ri,t) [Ri,t-E(Ri,t)]

  2

• -8 -0.00477941 -0.001086981 0.000013634 -9 0.002563843 -0.001086981 0.000013329 -10 0.005218688 -0.001086981 0.000039761 -11 -0.00837429 -0.001086981 0.000053105 -12 -0.00410193 -0.001086981 0.000009090 -13 -0.00054427 -0.001086981 0.000000295 -14 0.003190291 -0.001086981 0.000018295 -15 -0.00142445 -0.001086981 0.000000114 -16 -0.00550691 -0.001086981 0.000019536 -17 -0.02576716 -0.001086981 0.000609111 -18 0.002361144 -0.001086981 0.000011890 -19 0.004599879 -0.001086981 0.000032340 -20 0.003026647 -0.001086981 0.000016922 -21 -0.00011418 -0.001086981 0.000000946 -22 0.001558463 -0.001086981 0.000006998 -23 -0.00197396 -0.001086981 0.000000787 -24 -0.0056019 -0.001086981 0.000020384 -25 0.005624699 -0.001086981 0.000045047
• -26 0.007708489 -0.001086981 0.000077360 -27 -0.00418199 -0.001086981 0.000009579 -28 -0.00863269 -0.001086981 0.000056938 -29 0.00528305 -0.001086981 0.000040577 -30 0.004998099 -0.001086981 0.000037028 -31 0.003614246 -0.001086981 0.000022102 -32 -0.0042708 -0.001086981 0.000010137 -33 0.001900137 -0.001086981 0.000008923 -34 -0.01031759 -0.001086981 0.000085204 -35 0.004471646 -0.001086981 0.000030898 -36 -0.00317021 -0.001086981 0.000004340 -37 -0.01035072 -0.001086981 0.000085817 -38 -0.00209073 -0.001086981 0.000001008 -39 -0.00581899 -0.001086981 0.000022392 -40 -0.01363487 -0.001086981 0.000157450 -41 0.011484273 -0.001086981 0.000158036 -42 0.003253011 -0.001086981 0.000018836 -43 0.001316931 -0.001086981 0.000005779 -44 -0.00825195 -0.001086981 0.000051337 -45 -0.00923045 -0.001086981 0.000066316 -46 0.003889506 -0.001086981 0.000024765 -47 0.002894052 -0.001086981 0.000015849 -48 -0.00012033 -0.001086981 0.000000934 -49 0.001845766 -0.001086981 0.000008601 -50 0.004153204 -0.001086981 0.000027460 -51 -0.00291082 -0.001086981 0.000003326 -52 -0.00743499 -0.001086981 0.000040297 -53 -0.00863311 -0.001086981 0.000056944 -54 -0.02046275 -0.001086981 0.000375420 -55 -0.00347362 -0.001086981 0.000005696 -56 0.00025139 -0.001086981 0.000001791 -57 -0.00297572 -0.001086981 0.000003567 -58 0.002376247 -0.001086981 0.000011994 -59 0.010256393 -0.001086981 0.000128672 -60 0.028700698 -0.001086981 0.000887306 Σ

  0.003454263

  DSi GBP =

  2

  1

  2

  1

  2 ) , ( _{ }

   

  T R t Ri t t j

  =

  53 3 0.00345426 = 5 0.00006517

  Standar Deviasi JPY PERIODE Ri,t E(Ri,t) [Ri,t-E(Ri,t)]

  = 0.00807

  2

• -8 -0.00302842 -0.001622134 0.000001978 -9 0.001780768 -0.001622134 0.000011580 -10 0.004505257 -0.001622134 0.000037545 -11 0.001407457 -0.001622134 0.000009178 -12 -0.00392069 -0.001622134 0.000005283 -13 -0.00576696 -0.001622134 0.000017180 -14 0.002165299 -0.001622134 0.000014345 -15 -0.00172524 -0.001622134 0.000000011 -16 -0.00927464 -0.001622134 0.000058561 -17 -0.01791296 -0.001622134 0.000265391 -18 -0.00104933 -0.001622134 0.000000328 -19 0.006054453 -0.001622134 0.000058930 -20 0.00566898 -0.001622134 0.000053160 -21 -0.00379501 -0.001622134 0.000004721 -22 -0.00593321 -0.001622134 0.000018585 -23 0.001869641 -0.001622134 0.000012192 -24 -0.00521001 -0.001622134 0.000012873 -25 -0.00022657 -0.001622134 0.000001948 -26 0.001130696 -0.001622134 0.000007578 -27 -0.0056047 -0.001622134 0.000015861 -28 -0.00998715 -0.001622134 0.000069973 -29 0.001712093 -0.001622134 0.000011117 -30 0.003001615 -0.001622134 0.000021379 -31 0.000057792 -0.001622134 0.000002822 -32 -0.00369687 -0.001622134 0.000004305 -33 0.003645764 -0.001622134 0.000027751 -34 -0.00469272 -0.001622134 0.000009428 -35 0.007223975 -0.001622134 0.000078254 -36 -0.00920807 -0.001622134 0.000057546 -37 -0.01225408 -0.001622134 0.000113038 -38 -0.00235399 -0.001622134 0.000000536 -39 -0.01181069 -0.001622134 0.000103807 -40 -0.00981841 -0.001622134 0.000067179 -41 0.013352519 -0.001622134 0.000224240 -42 0.00124255 -0.001622134 0.000008206 -43 -0.0018184 -0.001622134 0.000000039 -44 -0.00552452 -0.001622134 0.000015229 -45 0.001254685 -0.001622134 0.000008276 -46 0.001747459 -0.001622134 0.000011354 -47 0.000021378 -0.001622134 0.000002701 -48 0.001754406 -0.001622134 0.000011401 -49 -0.00333239 -0.001622134 0.000002925
• -50 0.008799302 -0.001622134 0.000108606 -51 0.00032308 -0.001622134 0.000003784 -52 -0.01201334 -0.001622134 0.000107977 -53 -0.00647223 -0.001622134 0.000023523 -54 -0.01197319 -0.001622134 0.000107144 -55 -0.00743914 -0.001622134 0.000033838 -56 -0.00155473 -0.001622134 0.000000005 -57 -0.00594399 -0.001622134 0.000018678 -58 0.004474893 -0.001622134 0.000037174 -59 -0.00039735 -0.001622134 0.000001500 -60 0.024571824 -0.001622134 0.000686123 Σ

  0.002587087

  DSi JPY =

  2

  1

  2

  1

  2 ) , ( _{ }

   

  T R t Ri t t j

  =

  53 7 0.00258708 = 3 0.00004881 = 0.00699

  Standar Deviasi USD PERIODE Ri,t E(Ri,t) [Ri,t-E(Ri,t)]

  2

• -8 -0.0049505 -0.000330687 0.000021343 -9 0.004475385 -0.000330687 0.000023098 -10 0.003493014 -0.000330687 0.000014621 -11 0.002501251 -0.000330687 0.000008020 -12 -0.00249501 -0.000330687 0.000004684 -13 0.002 -0.000330687 0.000005432 -14 0.003009027 -0.000330687 0.000011154 -15 -0.001002 -0.000330687 0.000000451 -16 -0.0059761 -0.000330687 0.000031871 -17 -0.01083744 -0.000330687 0.000110392 -18 0.005946482 -0.000330687 0.000039403 -19 0.009504752 -0.000330687 0.000096736 -20 0.001503006 -0.000330687 0.000003362 -21 0.001003009 -0.000330687 0.000001779 -22 -0.0079602 -0.000330687 0.000058209 -23 -0.00228333 -0.000330687 0.000003813 -24 -0.00019851 -0.000330687 0.000000017 -25 -0.00247525 -0.000330687 0.000004599 -26 -0.00098912 -0.000330687 0.000000434 -27 -0.00098814 -0.000330687 0.000000432
• -28 0.002178649 -0.000330687 0.000006297 -29 -0.00414201 -0.000330687 0.000014526 -30 0.000987167 -0.000330687 0.000001737 -31 0.001978239 -0.000330687 0.000005331 -32 0.000494805 -0.000330687 0.000000681 -33 0.006474104 -0.000330687 0.000046305 -34 -0.0014918 -0.000330687 0.000001348 -35 0.002492522 -0.000330687 0.000007971 -36 -0.00938272 -0.000330687 0.000081939 -37 -0.01363858 -0.000330687 0.000177100 -38 -0.00339806 -0.000330687 0.000009409 -39 -0.00096993 -0.000330687 0.000000409 -40 -0.01008161 -0.000330687 0.000095080 -41 0.011656144 -0.000330687 0.000143684 -42 0.005862237 -0.000330687 0.000038352 -43 0.000977995 -0.000330687 0.000001713 -44 0.001959824 -0.000330687 0.000005246 -45 -0.00048972 -0.000330687 0.000000025 -46 -0.000330687 0.000000109 -47 0.00492126 -0.000330687 0.000027583 -48 0.000492368 -0.000330687 0.000000677 -49 0.003458498 -0.000330687 0.000014358 -50 0.010484274 -0.000330687 0.000116963 -51 0.00109956 -0.000330687 0.000002046 -52 -0.00999505 -0.000330687 0.000093400 -53 -0.00049456 -0.000330687 0.000000027 -54 -0.01939864 -0.000330687 0.000363587 -55 -0.00482626 -0.000330687 0.000020210 -56 0.001449976 -0.000330687 0.000003171 -57 -0.00048309 -0.000330687 0.000000023 -58 0.005342399 -0.000330687 0.000032184 -59 -0.01483254 -0.000330687 0.000210304 -60 0.020507813 -0.000330687 0.000434243 Σ

  0.002395889

  DSi USD =

  2

  1

  2

  1

  2 ) , ( _{ }

   

  T R t Ri t t j

  =

  53 9 0.00239588 = 5 0.00004520 = 0.00672

  Standar Deviasi SID

  2

  PERIODE Ri,t E(Ri,t) [Ri,t-E(Ri,t)]

• -8 -0.0048945 -0.000511895 0.000019207 -9 0.002572106 -0.000511895 0.000009511 -10 0.006602687 -0.000511895 0.000050617 -11 0.002147737 -0.000511895 0.000007074 -12 -0.00061934 -0.000511895 0.000000012 -13 -0.0001378 -0.000511895 0.000000140 -14 0.003149522 -0.000511895 0.000013406 -15 -0.00100247 -0.000511895 0.000000241 -16 -0.00556767 -0.000511895 0.000025561 -17 -0.01502098 -0.000511895 0.000210514 -18 0.003600755 -0.000511895 0.000016914 -19 0.00703785 -0.000511895 0.000056999 -20 0.003454022 -0.000511895 0.000015728 -21 0.000615989 -0.000511895 0.000001272 -22 -0.00587438 -0.000511895 0.000028756 -23 -0.00059601 -0.000511895 0.000000007 -24 -0.00217223 -0.000511895 0.000002757 -25 -0.00092314 -0.000511895 0.000000169 -26 -0.00139368 -0.000511895 0.000000778 -27 -0.00222592 -0.000511895 0.000002938 -28 -0.00113759 -0.000511895 0.000000391 -29 -0.00213447 -0.000511895 0.000002633 -30 0.003119304 -0.000511895 0.000013186 -31 0.000225785 -0.000511895 0.000000544 -32 -0.00267298 -0.000511895 0.000004670 -33 0.00489358 -0.000511895 0.000029219 -34 -0.00181701 -0.000511895 0.000001703 -35 0.006156286 -0.000511895 0.000044465 -36 -0.00762209 -0.000511895 0.000050555 -37 -0.01258376 -0.000511895 0.000145730 -38 -0.00240341 -0.000511895 0.000003578 -39 -0.00468276 -0.000511895 0.000017396 -40 -0.0096627 -0.000511895 0.000083737 -41 0.013143872 -0.000511895 0.000186480 -42 0.005148836 -0.000511895 0.000032044 -43 -0.00212307 -0.000511895 0.000002596 -44 -0.00000165 -0.000511895 0.000000260 -45 -0.00165549 -0.000511895 0.000001308 -46 0.001192849 -0.000511895 0.000002906 -47 0.00294712 -0.000511895 0.000011965 -48 0.002254865 -0.000511895 0.000007655 -49 0.002540366 -0.000511895 0.000009316
• -50 0.010209858 -0.000511895 0.000114956 -51 -0.00036804 -0.000511895 0.000000021 -52 -0.00952267 -0.000511895 0.000081194 -53 -0.00347296 -0.000511895 0.000008768 -54 -0.01652684 -0.000511895 0.000256478 -55 -0.00571589 -0.000511895 0.000027082 -56 0.001391257 -0.000511895 0.000003622 -57 -0.00214749 -0.000511895 0.000002675 -58 0.004233593 -0.000511895 0.000022520 -59 -0.00846874 -0.000511895 0.000063311 -60 0.021379034 -0.000511895 0.000479213 Σ

  0.002174777

  DSi SID =

  2

  1

  2

  1

  2 ) , ( _{ }

   

  T R t Ri t t j

  =

  53 7 0.00217477 = 4 0.00004103 = 0.00641

  Lampiran 7  Rata-rata return tidak normal untuk t-hiyung (15 hari) RRTNt =

  k Valas k i j

   _

  PERIODE EURO GBP JPY USD SID RRTNt +7 0.002495431 0.00251092 0.005536735 0.00016886 0.000741691 0.002290727 +6 0.000642575 0.000822343 -0.000674178 -0.000139096 0.000045187 0.000139366 +5 0.000422809 0.000782853 -0.001580749 -0.001259041 -0.001015985 -0.000530023 +4 -0.002189952 -0.001611496 -0.001760536 -0.001350867 -0.001257361 -0.001634042 +3 -0.001513229 -0.00169369 -0.003391523 -0.001440643 -0.001509791 -0.001909775 +2 0.000658698 0.000384748 -0.000179137 -0.000933363 -0.000399275 -0.000093666 +1 -0.000809673 -0.000282828 -0.004013807 -0.00053177 -0.000243839 -0.001176383 -0.000723351 0.000519357 -0.001989297 0.000165838 0.000150261 -0.000375438 - 1 0.000250349 0.001345406 -0.000336119 -0.000033513 0.000298313 0.000304887 - 2 -0.000572371 -0.000560186 -0.000504829 -0.000033464 -0.000169971 -0.000368164 - 3 0.001882417 0.001202288 0.001725157 -0.000371151 0.000167285 0.000921199 - 4 -0.000920644 -0.00085834 -0.001512865 0.000105899 -0.000442023 -0.000725595 - 5 -0.000408947 0.000172482 -0.001124343 0.000265142 0.00040918 -0.000137297 - 6 0.000219987 0.000314024 0.000468665 -0.000231925 0.000081333 0.000170417 - 7 0.001741506 0.000935982 0.002947116 0.000364645 0.001051583 0.001408166