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Lampiran 5 Uji Stasioneritas Data Transaksi Asing BersihForeign Net Purchase FNP Null Hypothesis: FNP has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 Automatic based on SIC, MAXLAG=22 t-Statistic Prob. Augmented Dickey-Fuller test statistic -32.81149 0.0000 Test critical values: 1 level -3.965018 5 level -3.413221 10 level -3.128631 MacKinnon 1996 one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: DFNP Method: Least Squares Date: 100112 Time: 03:50 Sample adjusted: 2 1320 Included observations: 1319 after adjustments Variable Coefficient Std. Error t-Statistic Prob. FNP-1 -0.901018 0.027460 -32.81149 0.0000 C 90.66429 38.35753 2.363664 0.0182 TREND1 -0.021180 0.050217 -0.421761 0.6733 R-squared 0.449971 Mean dependent var -0.964787 Adjusted R-squared 0.449135 S.D. dependent var 935.5829 S.E. of regression 694.3924 Akaike info criterion 15.92622 Sum squared resid 6.35E+08 Schwarz criterion 15.93802 Log likelihood -10500.34 Hannan-Quinn criter. 15.93064 F-statistic 538.3000 Durbin-Watson stat 2.005239 ProbF-statistic 0.000000 Lampiran 6 Uji Stasioneritas Data Volume Perdagangan Saham di Bursa Efek Indonesia BEI Null Hypothesis: VOL has a unit root Exogenous: Constant, Linear Trend Lag Length: 21 Automatic based on SIC, MAXLAG=22 t-Statistic Prob. Augmented Dickey-Fuller test statistic -5.731452 0.0000 Test critical values: 1 level -3.965131 5 level -3.413277 10 level -3.128663 MacKinnon 1996 one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: DVOL Method: Least Squares Date: 100112 Time: 03:50 Sample adjusted: 23 1320 Included observations: 1298 after adjustments Variable Coefficient Std. Error t-Statistic Prob. VOL-1 -0.088244 0.015396 -5.731452 0.0000 DVOL-1 -0.023696 0.028974 -0.817842 0.4136 DVOL-2 -0.240437 0.028979 -8.296987 0.0000 DVOL-3 -0.237893 0.029625 -8.030025 0.0000 DVOL-4 0.065538 0.030343 2.159898 0.0310 DVOL-5 0.068647 0.030205 2.272688 0.0232 DVOL-6 0.390620 0.029886 13.07046 0.0000 DVOL-7 -0.215960 0.031764 -6.798946 0.0000 DVOL-8 0.324512 0.030034 10.80485 0.0000 DVOL-9 0.052732 0.031337 1.682714 0.0927 DVOL-10 0.129530 0.031211 4.150100 0.0000 DVOL-11 0.087283 0.031422 2.777779 0.0056 DVOL-12 -0.024879 0.031496 -0.789923 0.4297 DVOL-13 0.146658 0.031488 4.657636 0.0000 DVOL-14 -0.339279 0.031058 -10.92418 0.0000 DVOL-15 0.159642 0.031341 5.093743 0.0000 DVOL-16 -0.082488 0.030505 -2.704107 0.0069 DVOL-17 -0.033866 0.030587 -1.107194 0.2684 DVOL-18 0.046216 0.030595 1.510569 0.1311 DVOL-19 -0.009331 0.029227 -0.319249 0.7496 DVOL-20 0.073121 0.027739 2.636014 0.0085 DVOL-21 -0.164224 0.027637 -5.942119 0.0000 C 1065.113 2299.153 0.463263 0.6433 TREND1 0.803004 2.990516 0.268517 0.7883 R-squared 0.439957 Mean dependent var 1.146701 Adjusted R-squared 0.429846 S.D. dependent var 53376.87 S.E. of regression 40304.09 Akaike info criterion 24.06461 Sum squared resid 2.07E+12 Schwarz criterion 24.16018 Log likelihood -15593.93 Hannan-Quinn criter. 24.10047 F-statistic 43.51415 Durbin-Watson stat 1.976226 ProbF-statistic 0.000000

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