IHSG Small Capitalization IHSG

63 APPENDIX 1. Classical Assumption Normality Test a. Big Capitalization

b. IHSG

One-Sample Kolmogorov-Smirnov Test 3159 ,023 ,023 -,016 1,289 ,072 N Mean Std. Dev iat ion Normal Parameters a,b Absolute Positiv e Negativ e Most Extreme Dif f erences Kolmogorov -Smirnov Z Asy mp. Sig. 2-tailed Return Test distribution is Normal. a. Calculated f rom data. b. One-Sample Kolmogorov-Smirnov Test 3154 ,023 ,023 -,023 1,313 ,064 N Mean Std. Dev iat ion Normal Parameters a,b Absolute Positiv e Negativ e Most Extreme Dif f erences Kolmogorov -Smirnov Z Asy mp. Sig. 2-tailed Return Test distribution is Normal. a. Calculated f rom data. b. 64

c. Small Capitalization

Multicolinearity test-Tolerance and VIF a. Big Capitalization One-Sample Kolmogorov-Smirnov Test 3168 ,023 ,022 -,023 1,296 ,070 N Mean Std. Dev iat ion Normal Parameters a,b Absolute Positiv e Negativ e Most Extreme Dif f erences Kolmogorov -Smirnov Z Asy mp. Sig. 2-tailed Return Test distribution is Normal. a. Calculated f rom data. b. Coefficients a ,001 ,000 1,924 ,054 ,010 ,005 ,038 2,157 ,031 ,999 1,001 ,001 ,003 ,004 ,251 ,802 ,997 1,003 -,001 ,003 -,004 -,249 ,803 ,998 1,002 -,001 ,003 -,009 -,502 ,616 ,998 1,002 -,002 ,003 -,009 -,512 ,608 ,998 1,002 ,000 ,003 ,001 ,037 ,971 ,998 1,002 -,001 ,003 -,007 -,377 ,706 ,997 1,003 -,001 ,003 -,008 -,428 ,669 ,998 1,002 ,003 ,003 ,019 1,069 ,285 ,998 1,002 ,000 ,003 -,001 -,057 ,955 ,998 1,002 -,004 ,003 -,021 -1,166 ,244 ,998 1,002 ,002 ,003 ,009 ,521 ,602 ,998 1,002 ,004 ,004 ,020 1,130 ,258 ,999 1,001 Constant D1 D2 D3 D4 D5 D6 D7 D8 D9 D10 D11 D12 D13 Model 1 B Std. Error Unstandardized Coeff icients Beta Standardized Coeff icients t Sig. Tolerance VIF Collinearity Statistics Dependent Variable: Return a. 65

b. IHSG

Coefficientsa Mode l Unstandardized Coefficients Standardize d Coefficients T Sig. Collinearity Statistics B Std. Error Beta Toleranc e VIF B Std. Error 1 Constan t ,001 ,000 5,305 ,000 D1 ,005 ,003 ,035 1,959 ,050 ,999 1,001 D2 ,002 ,002 ,018 ,988 ,323 ,997 1,003 D3 -,001 ,002 -,009 -,478 ,633 ,998 1,002 D4 ,001 ,002 ,013 ,752 ,452 ,998 1,002 D5 ,000 ,002 -,001 -,059 ,953 ,998 1,002 D6 -,002 ,002 -,015 -,853 ,394 ,998 1,002 D7 -,002 ,002 -,016 -,893 ,372 ,997 1,003 D8 ,001 ,002 ,006 ,327 ,744 ,998 1,002 D9 ,004 ,002 ,045 2,529 ,011 ,997 1,003 D10 -,002 ,002 -,017 -,927 ,354 ,998 1,002 D11 -,004 ,002 -,033 -1,830 ,067 ,998 1,002 D12 ,001 ,002 ,006 ,325 ,745 ,998 1,002 D13 ,002 ,002 ,019 1,067 ,286 ,998 1,002 a Dependent Variable: Return

c. Small Capitalization

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