145
D. Heteroskedastisitas
Heteroskedasticity Test: Glejser F-statistic
10.07720 Prob. F3,668 0.0000
ObsR-squared 29.09584 Prob. Chi-Square3
0.0000 Scaled explained SS
49.73288 Prob. Chi-Square3 0.0000
Test Equation: Dependent Variable: ARESID
Method: Least Squares Sample: 1 672
Included observations: 672 Variable
Coefficient Std. Error
t-Statistic Prob.
C 0.008007
0.000522 15.33083
0.0000 RETURN SAHAM
-0.012207 0.004141
-2.947949 0.0033
VOLUME PERDAGANGAN -0.453560
0.178015 -2.547871
0.0111 VARIAN RETURN
2.012601 0.430995
4.669657 0.0000
3. Model Regresi Linear Berganda
Dependent Variable: BID ASK SPREAD Method: Least Squares
Sample: 1 672 Included observations: 672
Variable Coefficient
Std. Error t-Statistic
Prob. C
0.014521 0.000676
21.49645 0.0000
RETURN SAHAM -0.011421
0.005356 -2.132534
0.0333 VOLUME PERDAGANGAN
-0.372379 0.230243
-1.617331 0.1063
VARIAN RETURN 1.563778
0.557443 2.805269
0.0052
4. Uji Hipotesis A.
Uji Simultan Uji F
R-squared 0.018253
Adjusted R-squared 0.013844
S.E. of regression 0.014243
Sum squared resid 0.135517
Log likelihood 1905.469
F-statistic 4.139994
ProbF-statistic 0.006378
146
B. Uji Parsial Uji t
Dependent Variable: BID ASK SPREAD Method: Least Squares
Sample: 1 672 Included observations: 672
Variable Coefficient
Std. Error t-Statistic
Prob. C
0.014521 0.000676
21.49645 0.0000
RETURN SAHAM -0.011421
0.005356 -2.132534
0.0333 VOLUME PERDAGANGAN
-0.372379 0.230243
-1.617331 0.1063
VARIAN RETURN 1.563778
0.557443 2.805269
0.0052
Lampiran 5 Hasil Penelitian Sesudah Transformasi Data
1.Uji Asumsi Klasik A.
Uji Normalitas
10 20
30 40
50 60
70
-120 -80
-40 40
80 120
Series: Residuals Sample 2 672
Observations 671
Mean -1.90e-12
Median 1.716257
Maximum 142.0325
Minimum -119.8715
Std. Dev. 44.75836
Skewness 0.164833
Kurtosis 2.714807
Jarque-Bera 5.312477
Probability 0.070212
147
B. Uji Multikolinearitas
RETURN SAHAM VOLUME PERDAGANGAN
VARIAN RETURN RETURN SAHAM
1 0.05143672634146091
-0.04824266233911698 VOLUME
PERDAGANGAN 0.05143672634146091
1 0.1946509670421299
VARIAN RETURN -0.04824266233911698
0.1946509670421299 1
C. Autokorelasi
Mean dependent var 99.73603
S.D. dependent var 49.20935
Akaike info criterion 10.45385
Schwarz criterion 10.48744
Hannan-Quinn criter. 10.46686
Durbin-Watson stat 2.164176
D. Heteroskedastisitas
Heteroskedasticity Test: Glejser F-statistic
1.407916 Prob. F3,667 0.2393
ObsR-squared 4.222339 Prob. Chi-Square3
0.2384 Scaled explained SS
3.731497 Prob. Chi-Square3 0.2920
Test Equation: Dependent Variable: ARESID
Method: Least Squares Sample: 2 672
Included observations: 671 Variable
Coefficient Std. Error
t-Statistic Prob.
C 37.93836
1.399813 27.10244
0.0000 RETURN SAHAM
-0.032424 0.018390
-1.763086 0.0783
VOLUME PERDAGANGAN -0.000009
0.000037 -0.243610
0.8076 VARIAN RETURN
-0.000273 0.000271
-1.010539 0.3126
148
2. Model Regresi Linear Berganda