Analisis Faktor-Faktor yang Memengaruhi Return Saham Perusahaan Sektor Industri Barang Konsumsi yang Terdaftar di Bursa Efek Indonesia
LAMPIRAN
LAMPIRAN 1
DATA RETURN, ROA, DER, EPS, PER, PBV PERUSAHAAN SEKTOR
INDUSTRI BARANG KONSUMSI YANG TERDAFTAR DI BURSA EFEK
INDONESIA PERIODE 2011-2015
KOD
TAHU RETUR
E
N
N
ROA
DER
EPS
PER
PBV
ADES
2011
(0,38)
8,22
1,51
44,02 22,94
4,74
2012
0,90
21,43
0,86
141,34 33,58
5,42
2013
0,04
12,62
0,67
94,35 21,20
4,46
2014
(0,31)
9,14
1,71
52,59 26,15
2,74
2015
(0,26)
10,03
0,99
55,67 18,23
1,82
RMB
2011
(0,01)
4,83
1,82
42,26 18,69
2,55
A
2012
(0,27) (4,66)
1,60
(44,66) (5,99)
2,18
2013
(0,02) (1,29)
1,47
(143,93) (4,60)
4,68
2014
(0,09) (1,23) (1,34)
(314,74) (5,45) (2,70)
2015
(0,02) (1,94) (1,02)
(226,32) (6,30) (1,17)
DVLA
2011
(0,02)
10,10
1,27
107,96 18,06
1,77
2012
0,47
13,86
0,28
132,95 22,71
2,25
2013
0,30
12,57
0,30
112,32 46,63
2,69
2014
(0,23)
6,55
1,28
72,26 23,39
1,97
2015
(0,23)
7,84
1,41
96,33 13,49
1,50
DLTA
2011
(0,07)
21,79
1,22
9.474,39 15,15
3,12
2012
1,29
28,64
0,25 13.327,84 44,31
6,83
2013
0,49
25,20
0,28 16.892,21 58,58
8,99
2014
0,03
12,04
0,30 17.989,77 37,50
8,17
2015
(0,99)
7,50
0,22
239,86 21,68
4,90
GGR
M
2011
0,55
12,68
0,59
2.576,86 48,80
4,86
2012
(0,09)
11,80
0,56
2.114,62 11,36
4,07
2013
(0,25)
12,63
0,73
2.278,45 25,30
2,75
2014
0,45
13,27
0,78
2.804,08 49,69
3,62
2015
(0,09)
19,16
0,67
3.353,71 24,11
2,78
HMSP
2011
0,39
41,72
0,88
1.839,93 27,70
0,59
2012
0,54
42,89
0,97
2.269,06 45,83
0,73
2013
0,04
44,48
0,94
2.468,28 33,30
0,62
2014
0,10
43,87
1,10
2.322,86 40,52
0,49
2015
0,37
42,26
0,19
2.227,36 36,26
0,66
INAF
2011
1,04
12,31
0,83
11,91 23,68
0,83
109
Universitas Sumatera Utara
ICBP
INDF
KLBF
KICI
KAEF
LMPI
TCID
MBTO
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
1,02
(0,54)
1,32
(0,53)
0,11
0,50
0,31
0,28
0,03
(0,06)
0,27
0,13
0,02
(0,23)
0,05
(0,69)
0,18
0,46
(0,28)
(0,03)
0,50
0,00
(0,01)
(0,07)
1,14
1,18
(0,20)
1,48
(0,41)
(0,24)
0,24
(0,16)
(0,19)
(0,35)
0,07
0,43
0,08
0,47
(0,06)
0,00
(0,07)
19,57
(4,19)
9,09
10,43
13,57
14,86
13,51
14,16
15,01
39,13
38,06
24,02
40,99
28,04
18,41
19,85
15,41
17,07
16,02
8,41
12,38
17,55
14,86
(9,71)
19,57
18,91
6,58
8,56
7,82
9,79
8,29
(1,46)
6,22
8,50
12,38
13,92
14,92
19,41
26,15
9,88
11,47
0,83
1,19
1,11
1,59
0,42
0,48
0,60
0,66
0,62
0,70
0,74
0,81
1,08
1,13
0,27
0,28
0,33
0,27
0,25
0,36
0,43
0,33
0,23
1,43
0,43
0,44
0,68
0,75
0,74
0,68
0,99
1,07
1,04
0,98
0,11
0,15
0,24
0,44
0,21
0,35
0,40
13,68
(17,50)
0,38
2,12
354,38
391,42
383,31
434,18
501,32
557,11
544,33
389,12
586,11
422,47
149,96
202,17
42,04
45,25
43,90
2,59
16,37
53,76
34,08
(94,21)
309,26
370,48
38,83
46,42
45,55
5,38
2,32
(11,94)
1,73
3,93
696,48
747,88
796,49
866,95
2.707,93
39,87
42,54
24,13
(7,32)
37,61
18,50
14,67
19,93
26,61
30,17
26,88
13,64
14,42
16,96
21,52
12,25
22,67
21,18
29,74
40,44
20,07
18,64
26,49
23,62
17,20
(8,88)
35,33
24,46
15,20
31,56
19,10
18,10
25,09
(9,01)
16,52
24,21
21,06
24,71
24,94
20,21
18,79
17,81
12,44
1,57
0,80
1,86
0,88
2,83
3,79
4,48
5,08
4,79
1,28
1,50
1,53
1,44
1,05
5,30
1,26
6,89
8,74
5,66
0,49
0,56
0,50
0,47
0,47
0,55
0,59
2,19
4,73
2,59
0,51
0,63
0,55
0,45
0,48
1,52
2,02
2,02
2,75
1,93
1,10
0,94
110
Universitas Sumatera Utara
MYO
R
MERK
SCPI
MLBI
MRAT
ROTI
PSDN
2013
2014
(0,20)
(0,34)
5,64
3,47
0,36
0,37
15,11
2,73
2015
(0,30)
(3,00)
1,08
(13,14)
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
0,33
0,40
0,30
(0,20)
0,46
0,37
0,15
0,24
(0,15)
(0,96)
17,33
18,97
31,44
13,98
11,06
39,56
18,93
25,17
25,32
22,22
1,72
1,71
1,49
1,51
1,18
0,18
0,37
0,36
0,29
0,35
630,70
971,10
1.133,29
458,24
134,44
10.319,58
4.812,86
7.832,36
8.101,44
6.363,64
2011
(0,34)
(8,13)
1,47
(7.061,21)
2012
0,25
(2,81)
1,48
(3.435,19)
2013
(0,07)
(1,63)
1,83
2014
2015
2011
2012
2013
2014
2015
2011
2012
0,00
0,00
0,31
1,06
0,62
(0,99)
(0,31)
(0,23)
(0,02)
(4,74)
9,22
31,56
29,36
45,72
15,63
14,27
10,60
10,75
(1,04)
1,98
1,30
0,49
0,80
1,03
1,74
0,18
0,18
(3.379,90)
(17.350,39
)
38.700,47
24.080,78
21.518,98
55.587,52
377,26
212,11
65,11
71,85
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
(0,05)
(0,25)
(0,41)
0,25
1,08
(0,85)
0,36
(0,09)
5,20
(0,34)
(1,52)
9,48
5,21
25,27
28,38
6,67
6,80
10,00
9,66
8,75
1,16
0,30
0,32
0,39
0,81
1,30
1,23
1,28
1,04
0,67
(15,66)
17,22
2,44
114,52
147,33
31,22
37,26
53,45
16,57
17,79
20,19
16,56
(12,27
)
0,72
0,47
22,59
30,60
28,58
15,61
34,44
49,32
44,48
40,26
18,22
15,06
(10,78
)
(12,92
)
(10,54
)
(12,16
)
29,76
28,19
46,45
43,74
22,40
18,66
21,50
20,74
(13,70
)
20,32
39,53
29,03
46,83
32,67
37,18
23,67
18,71
21,52
4,51
5,00
5,97
4,56
5,25
6,01
8,17
8,27
6,47
0,52
0,34
4,17
6,51
0,55
(2,38)
1,03
0,56
0,47
0,60
0,47
0,54
0,60
0,54
0,53
0,39
0,24
6,16
0,48
6,56
7,30
5,39
2,16
0,72
111
Universitas Sumatera Utara
PYFA
SKLT
STTP
AISA
TSPC
ULTJ
UNVR
CEKA
2013
(0,27)
8,13
0,63
14,81
2014
(0,05)
(4,54)
1,64
(19,57)
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
(0,15)
0,39
0,01
(0,17)
(0,08)
(0,17)
0,00
0,29
0,00
0,67
0,23
0,79
0,52
0,48
0,86
0,05
(0,31)
1,18
0,32
0,47
(0,42)
0,49
0,46
(0,13)
(0,12)
(0,39)
(0,11)
0,23
2,38
(0,17)
0,06
0,14
0,11
0,25
0,24
0,15
(0,14)
(6,87)
11,38
11,91
23,54
10,54
8,93
12,79
13,19
13,79
14,97
15,32
6,57
10,97
13,78
17,26
29,67
19,18
22,56
36,90
10,13
8,12
13,80
14,71
14,81
12,45
14,01
8,89
24,60
21,16
19,71
29,78
39,56
40,38
40,10
41,50
37,20
21,70
1,91
0,43
0,55
0,86
0,79
0,58
0,74
0,93
1,16
1,16
1,48
0,91
1,16
1,12
1,08
0,09
0,96
0,90
1,13
1,05
1,28
0,40
0,38
0,40
0,35
0,45
0,61
0,44
0,40
0,29
0,27
1,85
2,02
2,14
2,01
2,26
1,03
(29,60)
9,67
9,92
11,58
4,97
5,77
8,65
11,53
16,56
23,86
29,05
32,58
56,97
87,36
94,25
141,76
51,25
86,69
118,49
2,74
0,12
130,30
141,15
141,90
129,84
139,83
44,47
122,36
112,56
98,10
181,10
543,42
634,23
701,52
776,77
766,95
323,72
23,64
(17,20
)
(14,53
)
13,13
21,67
12,70
39,53
36,61
13,86
15,61
22,94
12,57
12,74
21,18
18,43
17,74
30,56
21,27
15,51
32,46
12,07
39,99
21,46
19,57
26,39
22,90
22,07
12,52
24,29
19,04
39,98
37,92
21,67
26,31
21,60
16,24
23,90
17,36
21,58
0,52
0,54
0,54
1,14
1,08
0,84
0,75
0,59
0,79
0,96
0,89
1,35
1,68
1,84
2,37
2,93
4,61
0,49
0,79
1,55
1,77
0,52
0,75
3,77
5,00
3,79
3,12
1,82
2,31
2,29
6,45
4,74
4,05
0,97
0,29
0,63
0,92
0,48
0,70
112
Universitas Sumatera Utara
2012
2013
2014
2015
0,37
(0,11)
0,29
(0,55)
15,68
16,08
13,19
17,17
1,22
1,02
1,39
1,32
196,12
218,72
137,82
179,07
42,98
14,90
18,14
21,74
0,83
0,65
0,83
0,63
113
Universitas Sumatera Utara
LAMPIRAN 2
HASIL PENGUJIAN MODEL DATA PANEL DENGAN COMMON
EFFECT MODEL (OLS)
Dependent Variable: RETURN?
Method: Pooled Least Squares
Date: 09/02/16 Time: 14:25
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
-0.175864
0.003100
0.007956
-2.07E-06
0.011167
0.015132
0.131862
0.005160
0.088796
8.17E-06
0.004722
0.024223
-1.333700
0.600818
0.089599
-0.253278
2.364803
0.624716
0.1844
0.5489
0.9287
0.8004
0.0194
0.5331
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.090362
0.058777
0.616990
54.81736
-137.3436
2.860951
0.017080
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.154660
0.635963
1.911249
2.031674
1.960174
1.771721
114
Universitas Sumatera Utara
LAMPIRAN 3
HASIL PENGUJIAN MODEL DATA PANEL DENGAN FIXED
EFFECT MODEL (FEM)
Dependent Variable: RETURN?
Method: Pooled Least Squares
Date: 09/02/16 Time: 14:25
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
Fixed Effects (Cross)
_ADES--C
_RMBA--C
_DVLA--C
_DLTA--C
_GGRM--C
_HMSP--C
_INAF--C
_ICBP--C
_INDF--C
_KLBF--C
_KICI--C
_KAEF--C
_LMPI--C
_TCID--C
_MBTO--C
_MYOR--C
_MERK--C
_SCPI--C
_MLBI--C
_MRAT--C
_ROTI--C
_PSDN--C
_PYFA--C
_SKLT--C
_STTP--C
_AISA--C
_TSPC--C
_ULTJ--C
_UNVR--C
_CEKA--C
-0.590524
0.022029
-0.153278
-1.73E-06
0.012042
0.113054
0.214889
0.009425
0.129330
1.05E-05
0.005323
0.039427
-2.748041
2.337355
-1.185170
-0.164694
2.262232
2.867403
0.0070
0.0212
0.2384
0.8695
0.0256
0.0049
-0.233450
0.489785
0.034663
-0.740602
-0.290785
-0.454549
0.649372
-0.149393
-0.338946
-0.756920
0.321903
0.507863
0.220345
-0.051238
0.152417
-0.214305
-1.064781
0.588551
-0.117938
0.048450
-0.439019
1.405576
-0.006207
0.371547
0.378349
0.159765
-0.237125
-0.121602
-0.120509
0.008785
Effects Specification
Cross-section fixed (dummy variables)
115
Universitas Sumatera Utara
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.355807
0.165350
0.581010
38.82089
-111.4650
1.868175
0.007670
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.154660
0.635963
1.952867
2.655349
2.238263
2.267490
116
Universitas Sumatera Utara
LAMPIRAN 4
HASIL PENGUJIAN MODEL DATA PANEL DENGAN RANDOM
EFFECT MODEL (REM)
Dependent Variable: RETURN?
Method: Pooled EGLS (Cross-section random effects)
Date: 09/02/16 Time: 14:27
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
Swamy and Arora estimator of component variances
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
Random Effects (Cross)
_ADES--C
_RMBA--C
_DVLA--C
_DLTA--C
_GGRM--C
_HMSP--C
_INAF--C
_ICBP--C
_INDF--C
_KLBF--C
_KICI--C
_KAEF--C
_LMPI--C
_TCID--C
_MBTO--C
_MYOR--C
_MERK--C
_SCPI--C
_MLBI--C
_MRAT--C
_ROTI--C
_PSDN--C
_PYFA--C
_SKLT--C
_STTP--C
_AISA--C
_TSPC--C
_ULTJ--C
_UNVR--C
_CEKA--C
-0.178071
0.003202
0.006361
-2.03E-06
0.011195
0.015659
0.125085
0.004894
0.084060
7.73E-06
0.004462
0.022965
-1.423600
0.654314
0.075669
-0.262343
2.509108
0.681857
0.1567
0.5140
0.9398
0.7934
0.0132
0.4964
-0.004580
0.001973
-0.002519
-0.004729
-0.003768
-0.002132
0.008322
0.001034
-0.002402
-0.007248
0.001036
0.010316
-0.003663
0.001001
-0.003588
-0.000125
-0.009658
0.003440
-0.002323
-0.005463
-0.004233
0.021489
-0.003715
0.003863
0.008525
0.001519
-0.002068
0.004610
-0.000688
-0.004230
Effects Specification
S.D.
Rho
117
Universitas Sumatera Utara
Cross-section random
Idiosyncratic random
0.039428
0.581010
0.0046
0.9954
Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.091377
0.059828
0.615613
2.896326
0.015989
Mean dependent var
S.D. dependent var
Sum squared resid
Durbin-Watson stat
0.152910
0.634898
54.57306
1.777294
Unweighted Statistics
R-squared
Sum squared resid
0.090349
54.81818
Mean dependent var
Durbin-Watson stat
0.154660
1.769347
118
Universitas Sumatera Utara
LAMPIRAN 5
HASIL UJI CHOW
Redundant Fixed Effects Tests
Pool: Untitled
Test cross-section fixed effects
Effects Test
Statistic
Cross-section F
Cross-section Chi-square
d.f.
Prob.
1.634024
51.757246
(29,115)
29
0.0358
0.0058
Cross-section fixed effects test equation:
Dependent Variable: RETURN?
Method: Panel Least Squares
Date: 09/02/16 Time: 14:27
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
-0.175864
0.003100
0.007956
-2.07E-06
0.011167
0.015132
0.131862
0.005160
0.088796
8.17E-06
0.004722
0.024223
-1.333700
0.600818
0.089599
-0.253278
2.364803
0.624716
0.1844
0.5489
0.9287
0.8004
0.0194
0.5331
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.090362
0.058777
0.616990
54.81736
-137.3436
2.860951
0.017080
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.154660
0.635963
1.911249
2.031674
1.960174
1.771721
119
Universitas Sumatera Utara
LAMPIRAN 6
HASIL UJI HAUSMAN
Correlated Random Effects - Hausman Test
Pool: Untitled
Test cross-section random effects
Chi-Sq.
Statistic
Chi-Sq. d.f.
Prob.
22.662997
5
0.0004
Random
Var(Diff.)
Prob.
0.003202
0.006361
-0.000002
0.011195
0.015659
0.000065
0.009660
0.000000
0.000008
0.001027
0.0194
0.1043
0.9671
0.7705
0.0024
Test Summary
Cross-section random
Cross-section random effects test comparisons:
Variable
ROA?
DER?
EPS?
PER?
PBV?
Fixed
0.022029
-0.153278
-0.000002
0.012042
0.113054
Cross-section random effects test equation:
Dependent Variable: RETURN?
Method: Panel Least Squares
Date: 09/02/16 Time: 14:28
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
-0.590524
0.022029
-0.153278
-1.73E-06
0.012042
0.113054
0.214889
0.009425
0.129330
1.05E-05
0.005323
0.039427
-2.748041
2.337355
-1.185170
-0.164694
2.262232
2.867403
0.0070
0.0212
0.2384
0.8695
0.0256
0.0049
Effects Specification
Cross-section fixed (dummy variables)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.355807
0.165350
0.581010
38.82089
-111.4650
1.868175
0.007670
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.154660
0.635963
1.952867
2.655349
2.238263
2.267490
120
Universitas Sumatera Utara
LAMPIRAN 7
HASIL PENGUJIAN PEMILIHAN MODEL DATA PANEL
DENGAN FIXED EFFECT MODEL (FEM)
Dependent Variable: RETURN?
Method: Pooled Least Squares
Date: 09/02/16 Time: 14:28
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
White cross-section standard errors & covariance (d.f. corrected)
WARNING: estimated coefficient covariance matrix is of reduced rank
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
Fixed Effects (Cross)
_ADES--C
_RMBA--C
_DVLA--C
_DLTA--C
_GGRM--C
_HMSP--C
_INAF--C
_ICBP--C
_INDF--C
_KLBF--C
_KICI--C
_KAEF--C
_LMPI--C
_TCID--C
_MBTO--C
_MYOR--C
_MERK--C
_SCPI--C
_MLBI--C
_MRAT--C
_ROTI--C
_PSDN--C
_PYFA--C
_SKLT--C
_STTP--C
_AISA--C
_TSPC--C
_ULTJ--C
_UNVR--C
_CEKA--C
-0.590524
0.022029
-0.153278
-1.73E-06
0.012042
0.113054
0.120999
0.008793
0.071747
5.20E-06
0.003823
0.023683
-4.880415
2.505288
-2.136365
-0.333206
3.149367
4.773573
0.0000
0.0136
0.0348
0.7396
0.0021
0.0000
-0.233450
0.489785
0.034663
-0.740602
-0.290785
-0.454549
0.649372
-0.149393
-0.338946
-0.756920
0.321903
0.507863
0.220345
-0.051238
0.152417
-0.214305
-1.064781
0.588551
-0.117938
0.048450
-0.439019
1.405576
-0.006207
0.371547
0.378349
0.159765
-0.237125
-0.121602
-0.120509
0.008785
Effects Specification
Cross-section fixed (dummy variables)
121
Universitas Sumatera Utara
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.355807
0.165350
0.581010
38.82089
-111.4650
1.868175
0.007670
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.154660
0.635963
1.952867
2.655349
2.238263
2.267490
122
Universitas Sumatera Utara
LAMPIRAN 8
ANALISIS DESKRIPTIF
RETURN
ROA
DER
EPS
PER
PBV
Mean
0.154660
15.73970
0.819183
1674.955
21.78404
2.340584
Median
0.024522
13.78637
0.782189
110.1392
21.59011
1.510839
Maximum
5.200000
45.72007
2.258498
55587.52
58.58105
8.994068
Minimum
-0.990042
-9.714339
-1.338314
-17350.39
-17.19549
-2.695203
Std. Dev.
0.635963
11.92168
0.584356
6773.597
14.34485
2.288365
Skewness
3.734806
0.611752
-0.223349
4.971970
-0.507545
0.941089
Kurtosis
28.68980
3.271348
4.229433
35.39909
3.846085
3.269771
Jarque-Bera
4473.505
9.816211
10.69404
7178.642
10.91417
22.59607
Probability
0.000000
0.007386
0.004762
0.000000
0.004266
0.000012
Sum
23.19900
2360.955
122.8774
251243.3
3267.606
351.0877
Sum Sq. Dev.
60.26283
21176.84
50.87938
6.84E+09
30660.44
780.2554
Observations
150
150
150
150
150
150
123
Universitas Sumatera Utara
LAMPIRAN 1
DATA RETURN, ROA, DER, EPS, PER, PBV PERUSAHAAN SEKTOR
INDUSTRI BARANG KONSUMSI YANG TERDAFTAR DI BURSA EFEK
INDONESIA PERIODE 2011-2015
KOD
TAHU RETUR
E
N
N
ROA
DER
EPS
PER
PBV
ADES
2011
(0,38)
8,22
1,51
44,02 22,94
4,74
2012
0,90
21,43
0,86
141,34 33,58
5,42
2013
0,04
12,62
0,67
94,35 21,20
4,46
2014
(0,31)
9,14
1,71
52,59 26,15
2,74
2015
(0,26)
10,03
0,99
55,67 18,23
1,82
RMB
2011
(0,01)
4,83
1,82
42,26 18,69
2,55
A
2012
(0,27) (4,66)
1,60
(44,66) (5,99)
2,18
2013
(0,02) (1,29)
1,47
(143,93) (4,60)
4,68
2014
(0,09) (1,23) (1,34)
(314,74) (5,45) (2,70)
2015
(0,02) (1,94) (1,02)
(226,32) (6,30) (1,17)
DVLA
2011
(0,02)
10,10
1,27
107,96 18,06
1,77
2012
0,47
13,86
0,28
132,95 22,71
2,25
2013
0,30
12,57
0,30
112,32 46,63
2,69
2014
(0,23)
6,55
1,28
72,26 23,39
1,97
2015
(0,23)
7,84
1,41
96,33 13,49
1,50
DLTA
2011
(0,07)
21,79
1,22
9.474,39 15,15
3,12
2012
1,29
28,64
0,25 13.327,84 44,31
6,83
2013
0,49
25,20
0,28 16.892,21 58,58
8,99
2014
0,03
12,04
0,30 17.989,77 37,50
8,17
2015
(0,99)
7,50
0,22
239,86 21,68
4,90
GGR
M
2011
0,55
12,68
0,59
2.576,86 48,80
4,86
2012
(0,09)
11,80
0,56
2.114,62 11,36
4,07
2013
(0,25)
12,63
0,73
2.278,45 25,30
2,75
2014
0,45
13,27
0,78
2.804,08 49,69
3,62
2015
(0,09)
19,16
0,67
3.353,71 24,11
2,78
HMSP
2011
0,39
41,72
0,88
1.839,93 27,70
0,59
2012
0,54
42,89
0,97
2.269,06 45,83
0,73
2013
0,04
44,48
0,94
2.468,28 33,30
0,62
2014
0,10
43,87
1,10
2.322,86 40,52
0,49
2015
0,37
42,26
0,19
2.227,36 36,26
0,66
INAF
2011
1,04
12,31
0,83
11,91 23,68
0,83
109
Universitas Sumatera Utara
ICBP
INDF
KLBF
KICI
KAEF
LMPI
TCID
MBTO
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
1,02
(0,54)
1,32
(0,53)
0,11
0,50
0,31
0,28
0,03
(0,06)
0,27
0,13
0,02
(0,23)
0,05
(0,69)
0,18
0,46
(0,28)
(0,03)
0,50
0,00
(0,01)
(0,07)
1,14
1,18
(0,20)
1,48
(0,41)
(0,24)
0,24
(0,16)
(0,19)
(0,35)
0,07
0,43
0,08
0,47
(0,06)
0,00
(0,07)
19,57
(4,19)
9,09
10,43
13,57
14,86
13,51
14,16
15,01
39,13
38,06
24,02
40,99
28,04
18,41
19,85
15,41
17,07
16,02
8,41
12,38
17,55
14,86
(9,71)
19,57
18,91
6,58
8,56
7,82
9,79
8,29
(1,46)
6,22
8,50
12,38
13,92
14,92
19,41
26,15
9,88
11,47
0,83
1,19
1,11
1,59
0,42
0,48
0,60
0,66
0,62
0,70
0,74
0,81
1,08
1,13
0,27
0,28
0,33
0,27
0,25
0,36
0,43
0,33
0,23
1,43
0,43
0,44
0,68
0,75
0,74
0,68
0,99
1,07
1,04
0,98
0,11
0,15
0,24
0,44
0,21
0,35
0,40
13,68
(17,50)
0,38
2,12
354,38
391,42
383,31
434,18
501,32
557,11
544,33
389,12
586,11
422,47
149,96
202,17
42,04
45,25
43,90
2,59
16,37
53,76
34,08
(94,21)
309,26
370,48
38,83
46,42
45,55
5,38
2,32
(11,94)
1,73
3,93
696,48
747,88
796,49
866,95
2.707,93
39,87
42,54
24,13
(7,32)
37,61
18,50
14,67
19,93
26,61
30,17
26,88
13,64
14,42
16,96
21,52
12,25
22,67
21,18
29,74
40,44
20,07
18,64
26,49
23,62
17,20
(8,88)
35,33
24,46
15,20
31,56
19,10
18,10
25,09
(9,01)
16,52
24,21
21,06
24,71
24,94
20,21
18,79
17,81
12,44
1,57
0,80
1,86
0,88
2,83
3,79
4,48
5,08
4,79
1,28
1,50
1,53
1,44
1,05
5,30
1,26
6,89
8,74
5,66
0,49
0,56
0,50
0,47
0,47
0,55
0,59
2,19
4,73
2,59
0,51
0,63
0,55
0,45
0,48
1,52
2,02
2,02
2,75
1,93
1,10
0,94
110
Universitas Sumatera Utara
MYO
R
MERK
SCPI
MLBI
MRAT
ROTI
PSDN
2013
2014
(0,20)
(0,34)
5,64
3,47
0,36
0,37
15,11
2,73
2015
(0,30)
(3,00)
1,08
(13,14)
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
0,33
0,40
0,30
(0,20)
0,46
0,37
0,15
0,24
(0,15)
(0,96)
17,33
18,97
31,44
13,98
11,06
39,56
18,93
25,17
25,32
22,22
1,72
1,71
1,49
1,51
1,18
0,18
0,37
0,36
0,29
0,35
630,70
971,10
1.133,29
458,24
134,44
10.319,58
4.812,86
7.832,36
8.101,44
6.363,64
2011
(0,34)
(8,13)
1,47
(7.061,21)
2012
0,25
(2,81)
1,48
(3.435,19)
2013
(0,07)
(1,63)
1,83
2014
2015
2011
2012
2013
2014
2015
2011
2012
0,00
0,00
0,31
1,06
0,62
(0,99)
(0,31)
(0,23)
(0,02)
(4,74)
9,22
31,56
29,36
45,72
15,63
14,27
10,60
10,75
(1,04)
1,98
1,30
0,49
0,80
1,03
1,74
0,18
0,18
(3.379,90)
(17.350,39
)
38.700,47
24.080,78
21.518,98
55.587,52
377,26
212,11
65,11
71,85
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
(0,05)
(0,25)
(0,41)
0,25
1,08
(0,85)
0,36
(0,09)
5,20
(0,34)
(1,52)
9,48
5,21
25,27
28,38
6,67
6,80
10,00
9,66
8,75
1,16
0,30
0,32
0,39
0,81
1,30
1,23
1,28
1,04
0,67
(15,66)
17,22
2,44
114,52
147,33
31,22
37,26
53,45
16,57
17,79
20,19
16,56
(12,27
)
0,72
0,47
22,59
30,60
28,58
15,61
34,44
49,32
44,48
40,26
18,22
15,06
(10,78
)
(12,92
)
(10,54
)
(12,16
)
29,76
28,19
46,45
43,74
22,40
18,66
21,50
20,74
(13,70
)
20,32
39,53
29,03
46,83
32,67
37,18
23,67
18,71
21,52
4,51
5,00
5,97
4,56
5,25
6,01
8,17
8,27
6,47
0,52
0,34
4,17
6,51
0,55
(2,38)
1,03
0,56
0,47
0,60
0,47
0,54
0,60
0,54
0,53
0,39
0,24
6,16
0,48
6,56
7,30
5,39
2,16
0,72
111
Universitas Sumatera Utara
PYFA
SKLT
STTP
AISA
TSPC
ULTJ
UNVR
CEKA
2013
(0,27)
8,13
0,63
14,81
2014
(0,05)
(4,54)
1,64
(19,57)
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
(0,15)
0,39
0,01
(0,17)
(0,08)
(0,17)
0,00
0,29
0,00
0,67
0,23
0,79
0,52
0,48
0,86
0,05
(0,31)
1,18
0,32
0,47
(0,42)
0,49
0,46
(0,13)
(0,12)
(0,39)
(0,11)
0,23
2,38
(0,17)
0,06
0,14
0,11
0,25
0,24
0,15
(0,14)
(6,87)
11,38
11,91
23,54
10,54
8,93
12,79
13,19
13,79
14,97
15,32
6,57
10,97
13,78
17,26
29,67
19,18
22,56
36,90
10,13
8,12
13,80
14,71
14,81
12,45
14,01
8,89
24,60
21,16
19,71
29,78
39,56
40,38
40,10
41,50
37,20
21,70
1,91
0,43
0,55
0,86
0,79
0,58
0,74
0,93
1,16
1,16
1,48
0,91
1,16
1,12
1,08
0,09
0,96
0,90
1,13
1,05
1,28
0,40
0,38
0,40
0,35
0,45
0,61
0,44
0,40
0,29
0,27
1,85
2,02
2,14
2,01
2,26
1,03
(29,60)
9,67
9,92
11,58
4,97
5,77
8,65
11,53
16,56
23,86
29,05
32,58
56,97
87,36
94,25
141,76
51,25
86,69
118,49
2,74
0,12
130,30
141,15
141,90
129,84
139,83
44,47
122,36
112,56
98,10
181,10
543,42
634,23
701,52
776,77
766,95
323,72
23,64
(17,20
)
(14,53
)
13,13
21,67
12,70
39,53
36,61
13,86
15,61
22,94
12,57
12,74
21,18
18,43
17,74
30,56
21,27
15,51
32,46
12,07
39,99
21,46
19,57
26,39
22,90
22,07
12,52
24,29
19,04
39,98
37,92
21,67
26,31
21,60
16,24
23,90
17,36
21,58
0,52
0,54
0,54
1,14
1,08
0,84
0,75
0,59
0,79
0,96
0,89
1,35
1,68
1,84
2,37
2,93
4,61
0,49
0,79
1,55
1,77
0,52
0,75
3,77
5,00
3,79
3,12
1,82
2,31
2,29
6,45
4,74
4,05
0,97
0,29
0,63
0,92
0,48
0,70
112
Universitas Sumatera Utara
2012
2013
2014
2015
0,37
(0,11)
0,29
(0,55)
15,68
16,08
13,19
17,17
1,22
1,02
1,39
1,32
196,12
218,72
137,82
179,07
42,98
14,90
18,14
21,74
0,83
0,65
0,83
0,63
113
Universitas Sumatera Utara
LAMPIRAN 2
HASIL PENGUJIAN MODEL DATA PANEL DENGAN COMMON
EFFECT MODEL (OLS)
Dependent Variable: RETURN?
Method: Pooled Least Squares
Date: 09/02/16 Time: 14:25
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
-0.175864
0.003100
0.007956
-2.07E-06
0.011167
0.015132
0.131862
0.005160
0.088796
8.17E-06
0.004722
0.024223
-1.333700
0.600818
0.089599
-0.253278
2.364803
0.624716
0.1844
0.5489
0.9287
0.8004
0.0194
0.5331
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.090362
0.058777
0.616990
54.81736
-137.3436
2.860951
0.017080
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.154660
0.635963
1.911249
2.031674
1.960174
1.771721
114
Universitas Sumatera Utara
LAMPIRAN 3
HASIL PENGUJIAN MODEL DATA PANEL DENGAN FIXED
EFFECT MODEL (FEM)
Dependent Variable: RETURN?
Method: Pooled Least Squares
Date: 09/02/16 Time: 14:25
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
Fixed Effects (Cross)
_ADES--C
_RMBA--C
_DVLA--C
_DLTA--C
_GGRM--C
_HMSP--C
_INAF--C
_ICBP--C
_INDF--C
_KLBF--C
_KICI--C
_KAEF--C
_LMPI--C
_TCID--C
_MBTO--C
_MYOR--C
_MERK--C
_SCPI--C
_MLBI--C
_MRAT--C
_ROTI--C
_PSDN--C
_PYFA--C
_SKLT--C
_STTP--C
_AISA--C
_TSPC--C
_ULTJ--C
_UNVR--C
_CEKA--C
-0.590524
0.022029
-0.153278
-1.73E-06
0.012042
0.113054
0.214889
0.009425
0.129330
1.05E-05
0.005323
0.039427
-2.748041
2.337355
-1.185170
-0.164694
2.262232
2.867403
0.0070
0.0212
0.2384
0.8695
0.0256
0.0049
-0.233450
0.489785
0.034663
-0.740602
-0.290785
-0.454549
0.649372
-0.149393
-0.338946
-0.756920
0.321903
0.507863
0.220345
-0.051238
0.152417
-0.214305
-1.064781
0.588551
-0.117938
0.048450
-0.439019
1.405576
-0.006207
0.371547
0.378349
0.159765
-0.237125
-0.121602
-0.120509
0.008785
Effects Specification
Cross-section fixed (dummy variables)
115
Universitas Sumatera Utara
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.355807
0.165350
0.581010
38.82089
-111.4650
1.868175
0.007670
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.154660
0.635963
1.952867
2.655349
2.238263
2.267490
116
Universitas Sumatera Utara
LAMPIRAN 4
HASIL PENGUJIAN MODEL DATA PANEL DENGAN RANDOM
EFFECT MODEL (REM)
Dependent Variable: RETURN?
Method: Pooled EGLS (Cross-section random effects)
Date: 09/02/16 Time: 14:27
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
Swamy and Arora estimator of component variances
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
Random Effects (Cross)
_ADES--C
_RMBA--C
_DVLA--C
_DLTA--C
_GGRM--C
_HMSP--C
_INAF--C
_ICBP--C
_INDF--C
_KLBF--C
_KICI--C
_KAEF--C
_LMPI--C
_TCID--C
_MBTO--C
_MYOR--C
_MERK--C
_SCPI--C
_MLBI--C
_MRAT--C
_ROTI--C
_PSDN--C
_PYFA--C
_SKLT--C
_STTP--C
_AISA--C
_TSPC--C
_ULTJ--C
_UNVR--C
_CEKA--C
-0.178071
0.003202
0.006361
-2.03E-06
0.011195
0.015659
0.125085
0.004894
0.084060
7.73E-06
0.004462
0.022965
-1.423600
0.654314
0.075669
-0.262343
2.509108
0.681857
0.1567
0.5140
0.9398
0.7934
0.0132
0.4964
-0.004580
0.001973
-0.002519
-0.004729
-0.003768
-0.002132
0.008322
0.001034
-0.002402
-0.007248
0.001036
0.010316
-0.003663
0.001001
-0.003588
-0.000125
-0.009658
0.003440
-0.002323
-0.005463
-0.004233
0.021489
-0.003715
0.003863
0.008525
0.001519
-0.002068
0.004610
-0.000688
-0.004230
Effects Specification
S.D.
Rho
117
Universitas Sumatera Utara
Cross-section random
Idiosyncratic random
0.039428
0.581010
0.0046
0.9954
Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.091377
0.059828
0.615613
2.896326
0.015989
Mean dependent var
S.D. dependent var
Sum squared resid
Durbin-Watson stat
0.152910
0.634898
54.57306
1.777294
Unweighted Statistics
R-squared
Sum squared resid
0.090349
54.81818
Mean dependent var
Durbin-Watson stat
0.154660
1.769347
118
Universitas Sumatera Utara
LAMPIRAN 5
HASIL UJI CHOW
Redundant Fixed Effects Tests
Pool: Untitled
Test cross-section fixed effects
Effects Test
Statistic
Cross-section F
Cross-section Chi-square
d.f.
Prob.
1.634024
51.757246
(29,115)
29
0.0358
0.0058
Cross-section fixed effects test equation:
Dependent Variable: RETURN?
Method: Panel Least Squares
Date: 09/02/16 Time: 14:27
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
-0.175864
0.003100
0.007956
-2.07E-06
0.011167
0.015132
0.131862
0.005160
0.088796
8.17E-06
0.004722
0.024223
-1.333700
0.600818
0.089599
-0.253278
2.364803
0.624716
0.1844
0.5489
0.9287
0.8004
0.0194
0.5331
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.090362
0.058777
0.616990
54.81736
-137.3436
2.860951
0.017080
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.154660
0.635963
1.911249
2.031674
1.960174
1.771721
119
Universitas Sumatera Utara
LAMPIRAN 6
HASIL UJI HAUSMAN
Correlated Random Effects - Hausman Test
Pool: Untitled
Test cross-section random effects
Chi-Sq.
Statistic
Chi-Sq. d.f.
Prob.
22.662997
5
0.0004
Random
Var(Diff.)
Prob.
0.003202
0.006361
-0.000002
0.011195
0.015659
0.000065
0.009660
0.000000
0.000008
0.001027
0.0194
0.1043
0.9671
0.7705
0.0024
Test Summary
Cross-section random
Cross-section random effects test comparisons:
Variable
ROA?
DER?
EPS?
PER?
PBV?
Fixed
0.022029
-0.153278
-0.000002
0.012042
0.113054
Cross-section random effects test equation:
Dependent Variable: RETURN?
Method: Panel Least Squares
Date: 09/02/16 Time: 14:28
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
-0.590524
0.022029
-0.153278
-1.73E-06
0.012042
0.113054
0.214889
0.009425
0.129330
1.05E-05
0.005323
0.039427
-2.748041
2.337355
-1.185170
-0.164694
2.262232
2.867403
0.0070
0.0212
0.2384
0.8695
0.0256
0.0049
Effects Specification
Cross-section fixed (dummy variables)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.355807
0.165350
0.581010
38.82089
-111.4650
1.868175
0.007670
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.154660
0.635963
1.952867
2.655349
2.238263
2.267490
120
Universitas Sumatera Utara
LAMPIRAN 7
HASIL PENGUJIAN PEMILIHAN MODEL DATA PANEL
DENGAN FIXED EFFECT MODEL (FEM)
Dependent Variable: RETURN?
Method: Pooled Least Squares
Date: 09/02/16 Time: 14:28
Sample: 2011 2015
Included observations: 5
Cross-sections included: 30
Total pool (balanced) observations: 150
White cross-section standard errors & covariance (d.f. corrected)
WARNING: estimated coefficient covariance matrix is of reduced rank
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROA?
DER?
EPS?
PER?
PBV?
Fixed Effects (Cross)
_ADES--C
_RMBA--C
_DVLA--C
_DLTA--C
_GGRM--C
_HMSP--C
_INAF--C
_ICBP--C
_INDF--C
_KLBF--C
_KICI--C
_KAEF--C
_LMPI--C
_TCID--C
_MBTO--C
_MYOR--C
_MERK--C
_SCPI--C
_MLBI--C
_MRAT--C
_ROTI--C
_PSDN--C
_PYFA--C
_SKLT--C
_STTP--C
_AISA--C
_TSPC--C
_ULTJ--C
_UNVR--C
_CEKA--C
-0.590524
0.022029
-0.153278
-1.73E-06
0.012042
0.113054
0.120999
0.008793
0.071747
5.20E-06
0.003823
0.023683
-4.880415
2.505288
-2.136365
-0.333206
3.149367
4.773573
0.0000
0.0136
0.0348
0.7396
0.0021
0.0000
-0.233450
0.489785
0.034663
-0.740602
-0.290785
-0.454549
0.649372
-0.149393
-0.338946
-0.756920
0.321903
0.507863
0.220345
-0.051238
0.152417
-0.214305
-1.064781
0.588551
-0.117938
0.048450
-0.439019
1.405576
-0.006207
0.371547
0.378349
0.159765
-0.237125
-0.121602
-0.120509
0.008785
Effects Specification
Cross-section fixed (dummy variables)
121
Universitas Sumatera Utara
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.355807
0.165350
0.581010
38.82089
-111.4650
1.868175
0.007670
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.154660
0.635963
1.952867
2.655349
2.238263
2.267490
122
Universitas Sumatera Utara
LAMPIRAN 8
ANALISIS DESKRIPTIF
RETURN
ROA
DER
EPS
PER
PBV
Mean
0.154660
15.73970
0.819183
1674.955
21.78404
2.340584
Median
0.024522
13.78637
0.782189
110.1392
21.59011
1.510839
Maximum
5.200000
45.72007
2.258498
55587.52
58.58105
8.994068
Minimum
-0.990042
-9.714339
-1.338314
-17350.39
-17.19549
-2.695203
Std. Dev.
0.635963
11.92168
0.584356
6773.597
14.34485
2.288365
Skewness
3.734806
0.611752
-0.223349
4.971970
-0.507545
0.941089
Kurtosis
28.68980
3.271348
4.229433
35.39909
3.846085
3.269771
Jarque-Bera
4473.505
9.816211
10.69404
7178.642
10.91417
22.59607
Probability
0.000000
0.007386
0.004762
0.000000
0.004266
0.000012
Sum
23.19900
2360.955
122.8774
251243.3
3267.606
351.0877
Sum Sq. Dev.
60.26283
21176.84
50.87938
6.84E+09
30660.44
780.2554
Observations
150
150
150
150
150
150
123
Universitas Sumatera Utara