Pengaruh Harga Saham, Volume Perdagangan, dan Varian Return Terhadap Bid-Ask Spread Pada Masa Sebelum dan Sesudah Stock Split Di Bursa Efek Indonesia
Lampiran 1
Sampel Penelitian
Daftar Perusahaan yang melakukan Stock Split tahun 2012-2014
No
Nama Perusahaan
Kode
Split Ratio
Tanggal Stock Split
1
Petrosea Tbk
PTRO
1:10
06 Maret 2012
2
Pakuwon Jati Tbk
PWON
1:4
30 Maret 2012
3
Astra International Tbk
ASII
1:10
05 Juni 2012
4
Indomobil Sukses Internasional Tbk
IMAS
1:2
07 Juni 2012
5
Indospring Tbk
INDS
5:7
19 Juni 2012
6
Mondren Internasional Tbk
MDRN
1:5
03 Juli 2012
7
Central Omega Resources Tbk
DKFT
1:5
03 Agustus 2012
8
Kresna Graha Sekurindo Tbk
KREN
1:4
07 Agustus 2012
9
Kalbe Farma Tbk
KLBF
1:5
08 Agustus 2012
10
Aces Hardware Indonesia Tbk
ACES
1:10
01 Nopember 2012
11
Japfa Comfeed Tbk
JPFA
1:5
19 April 2013
12
Summarecon Agung Tbk
SMRA
1:2
27 Juni 2013
13
Arwana Citra Mulia Tbk
ARNA
1:4
08 Juli 2013
14
Sarana Menara Nusantara Tbk
TOWR
1:10
22 Juli 2013
15
Sumber Alfaria Trijaya Tbk
AMRT
1:10
29 Juli 2013
16
Jaya Real Property Tbk
JRPT
1:5
01 Agustus 2013
17
Telekomunikasi Indonesia Tbk
TLKM
1:5
28 Agustus 2013
18
Jaya Konstruksi Tbk
JKON
1:5
26 September 2013
19
Alumindo Light Metal Tbk
ALMI
1:2
12 Februari 2014
20
Indal Aluminium Industry Tbk
INAL
1:2
12 Februari 2014
21
Surya Toto Indonesia Tbk
TOTO
1:2
25 Juli 2014
22 Rimau Multi Putra Pratama Tbk
CMPP
1:4
Sumber: www.sahamok.com. Periode 2012 sampai dengan 2014.
03 September 2014
Universitas Sumatera Utara
Lampiran 2
Tabulasi Data Variabel Penelitian
a.
Tabulasi Data Variabel Penelitian Sebelum Stock Split
No.
Emiten
1
2
3
4
5
6
7
PTRO
PWON
ASII
IMAS
INDS
MDRN
DKFT
Hari
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
-5
Harga Saham (Rp)
43.250
0,175986
0,089466
0,578035
-4
43.500
0,127404
0,089466
0,229885
-3
45.000
0,221593
0,089466
0,444444
-2
44.900
0,232499
0,089466
2,672606
-1
44.000
0,069403
0,089466
0,681818
-5
810
0,135549
0,028173
1,234568
-4
800
0,047733
0,028173
1,250000
-3
810
0,164628
0,028173
1,234568
-2
800
0,084585
0,028173
1,250000
-1
810
0,097625
0,028173
1,234568
-5
65.200
0,066150
0,019768
0,383436
-4
66.000
0,087060
0,019768
0,227273
-3
64.300
0,156632
0,019768
0,699844
-2
63.350
0,112626
0,019768
0,078927
-1
62.400
0,109032
0,019768
0,320513
-5
16.950
0,049760
0,067390
0,589971
-4
16.050
0,102087
0,067390
0,311526
-3
15.950
0,085416
0,067390
0,313480
-2
15.050
0,090841
0,067390
0,664452
-1
15.000
0,082487
0,067390
0,333333
-5
5.500
0,124667
0,042629
0,909091
-4
5.600
0,136444
0,042629
0,892857
-3
5.500
0,150000
0,042629
0,909091
-2
5.500
0,046222
0,042629
0,909091
-1
5.700
0,400222
0,042629
0,877193
-5
3.075
0,000661
0,084736
3,252033
-4
3.100
0,017192
0,084736
0,806452
-3
3.025
0,039615
0,084736
2,479339
-2
3.150
0,040877
0,084736
0,793651
-1
3.050
0,050555
0,084736
1,639344
-5
1.630
0,284462
0,556779
0,613497
-4
1.730
1,243551
0,556779
0,578035
-3
2.000
2,606080
0,556779
0,500000
-2
2.000
1,362485
0,556779
0,500000
-1
1.930
0,678904
0,556779
0,518135
Universitas Sumatera Utara
No.
8
9
10
11
12
13
14
Emiten
KREN
KLBF
ACES
JPFA
SMRA
ARNA
TOWR
Hari
Harga Saham (Rp)
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
-5
920
0,063546
0,042955
1,086957
-4
910
0,048716
0,042955
1,098901
-3
920
0,089166
0,042955
1,086957
-2
950
0,077555
0,042955
1,052632
-1
930
0,057929
0,042955
1,075269
-5
4.550
0,212278
0,053739
0,549451
-4
4.575
0,102393
0,053739
0,546448
-3
4.575
0,060708
0,053739
0,546448
-2
4.700
0,099468
0,053739
0,531915
-1
4.800
0,094609
0,053739
1,562500
-5
6.900
0,031487
0,025447
0,724638
-4
7.000
0,026560
0,025447
0,714286
-3
6.950
0,013994
0,025447
0,719424
-2
6.900
0,024898
0,025447
0,724638
-1
7.000
0,072070
0,025447
1,428571
-5
8.950
0,058299
0,047299
0,558659
-4
8.850
0,023381
0,047299
0,564972
-3
8.800
0,011444
0,047299
1,136364
-2
9.150
0,058909
0,047299
0,546448
-1
9.400
0,066226
0,047299
0,531915
-5
2.275
0,215079
0,315925
1,098901
-4
2.175
0,400075
0,315925
2,298851
-3
2.100
0,273789
0,315925
1,190476
-2
2.275
0,193272
0,315925
1,098901
-1
2.300
0,202554
0,315925
1,086957
-5
3.250
0,030566
0,078037
1,538462
-4
3.375
0,183615
0,078037
0,740741
-3
3.250
0,151660
0,078037
0,769231
-2
3.250
0,021522
0,078037
1,538462
-1
3.300
0,032228
0,078037
0,757576
-5
28.000
0,000049
0,029993
7,928571
-4
28.000
0,003724
0,029993
3,214286
-3
28.000
0,010683
0,029993
3,214286
-2
28.000
0,000049
0,029993
7,857143
-1
27.850
0,001176
0,029993
6,104129
Universitas Sumatera Utara
No.
15
16
17
18
19
20
21
22
Emiten
AMRT
JRPT
TLKM
JKON
ALMI
INAI
TOTO
CMPP
Hari
Harga Saham (Rp)
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
-5
6.200
0,000066
0,014042
5,645161
-4
6.300
0,106717
0,014042
0,793651
-3
6.300
0,003497
0,014042
3,174603
-2
6.350
0,000040
0,014042
0,787402
-1
6.350
0,000132
0,014042
1,574803
-5
5.000
0,000022
0,002000
8,000000
-4
5.000
0,000218
0,002000
7,000000
-3
5.000
0,000022
0,002000
5,000000
-2
4.950
0,000255
0,002000
1,515152
-1
4.950
0,006255
0,002000
1,010101
-5
10.950
0,200640
0,156330
0,456621
-4
10.650
0,144497
0,156330
0,469484
-3
10.750
0,084013
0,156330
0,465116
-2
10.650
0,081074
0,156330
0,469484
-1
10.100
0,127671
0,156330
0,495050
-5
2.550
0,022734
0,190339
2,941176
-4
2.550
0,000021
0,190339
5,882353
-3
2.500
0,000020
0,190339
6,000000
-2
2.500
0,000031
0,190339
6,000000
-1
2.450
0,000020
0,190339
5,102041
-5
570
0,001818
0,084546
7,894737
-4
580
0,000455
0,084546
1,724138
-3
580
0,000065
0,084546
4,310345
-2
550
0,025974
0,084546
3,636364
-1
560
0,049708
0,084546
3,571429
-5
580
0,009217
0,491332
4,310345
-4
580
0,005177
0,491332
1,724138
-3
580
0,007639
0,491332
5,172414
-2
630
0,000063
0,491332
6,349206
-1
560
0,012942
0,491332
1,785714
-5
6.875
0,000989
0,294336
0,363636
-4
6.875
0,002281
0,294336
2,545455
-3
7.000
0,000464
0,294336
2,857143
-2
7.100
0,004058
0,294336
1,056338
-1
8.000
0,007954
0,294336
3,750000
-5
945
0,943889
0,065310
0,529101
-4
945
0,162593
0,065310
1,058201
-3
910
0,111296
0,065310
0,549451
-2
875
0,023148
0,065310
0,571429
-1
835
0,171481
0,065310
2,994012
Universitas Sumatera Utara
b. Tabulasi Data Variabel Penelitian Sesudah Stock Split
No.
1
2
3
4
5
6
7
Emiten
PTRO
PWON
ASII
IMAS
INDS
MDRN
DKFT
Hari
Harga Saham (Rp)
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
1
4.575
0,381666
0,011845
0,546448
2
4.475
0,357176
0,011845
0,558659
3
4.400
0,398769
0,011845
0,568182
4
4.250
0,415921
0,011845
0,588235
5
4.225
0,436097
0,011845
0,591716
1
210
0,084133
0,029043
2,380952
2
205
0,039003
0,029043
2,439024
3
205
0,009809
0,029043
2,439024
4
205
0,019566
0,029043
2,439024
5
205
0,023392
0,029043
2,439024
1
6.800
0,111695
0,053219
0,735294
2
6.650
0,035942
0,053219
0,751880
3
6.600
0,107865
0,053219
0,757576
4
6.650
0,043462
0,053219
0,751880
5
6.850
0,165678
0,053219
0,729927
1
7.550
0,049272
0,152233
1,324503
2
7.950
0,120964
0,152233
0,628931
3
7.800
0,130421
0,152233
0,641026
4
7.800
0,112195
0,152233
0,641026
5
7.400
0,077913
0,152233
0,675676
1
4.100
0,018254
0,042528
0,609756
2
4.000
0,065238
0,042528
0,625000
3
3.825
0,089048
0,042528
0,653595
4
3.775
0,234127
0,042528
0,662252
5
3.825
0,038413
0,042528
0,653595
1
660
0,022482
0,023358
1,515152
2
670
0,004977
0,023358
1,492537
3
690
0,331681
0,023358
1,449275
4
690
0,037631
0,023358
1,449275
5
690
0,035755
0,023358
1,449275
1
360
0,296765
0,093931
1,388889
2
340
0,339287
0,093931
1,470588
3
350
0,397596
0,093931
1,428571
4
350
0,299108
0,093931
1,428571
5
345
0,172566
0,093931
1,449275
Universitas Sumatera Utara
No.
8
9
10
11
12
13
14
Emiten
KREN
KLBF
ACES
JPFA
SMRA
ARNA
TOWR
Hari
Harga Saham (Rp)
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
1
225
0,014908
0,080130
2,222222
2
225
0,009355
0,080130
2,222222
3
225
0,005963
0,080130
2,222222
4
215
0,012763
0,080130
2,325581
5
220
0,007557
0,080130
2,272727
1
960
0,064710
0,013931
1,041667
2
980
0,125928
0,013931
1,020408
3
980
0,056079
0,013931
2,040816
4
970
0,047814
0,013931
1,030928
5
980
0,039548
0,013931
2,040816
1
740
0,074166
0,110940
1,351351
2
740
0,023356
0,110940
1,351351
3
760
0,028227
0,110940
2,631579
4
720
0,113274
0,110940
1,388889
5
710
0,074367
0,110940
1,408451
1
1.980
0,104512
0,030346
0,505051
2
1.940
0,071136
0,030346
0,515464
3
1.930
0,036049
0,030346
0,518135
4
1.910
0,019272
0,030346
0,523560
5
1.940
0,038779
0,030346
0,515464
1
1.290
0,111050
0,328404
2,325581
2
1.280
0,079623
0,328404
0,781250
3
1.190
0,114149
0,328404
0,840336
4
1.120
0,245959
0,328404
0,892857
5
1.100
0,082846
0,328404
0,909091
1
820
0,047906
0,315663
1,219512
2
780
0,057339
0,315663
1,282051
3
790
0,076593
0,315663
1,265823
4
730
0,385286
0,315663
1,369863
5
780
0,186244
0,315663
1,282051
1
2.775
0,004734
0,181979
0,900901
2
2.800
0,000211
0,181979
0,892857
3
2.825
0,001426
0,181979
1,769912
4
2.975
0,002235
0,181979
1,680672
5
2.825
0,000216
0,181979
5,309735
Universitas Sumatera Utara
No.
15
16
17
18
19
20
21
22
Emiten
AMRT
JRPT
TLKM
JKON
ALMI
INAI
TOTO
CMPP
Hari
Harga Saham (Rp)
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
1
640
0,000191
0,016791
1,562500
2
640
0,000082
0,016791
1,562500
3
650
0,001004
0,016791
3,076923
4
650
0,000477
0,016791
4,615385
5
640
0,003446
0,016791
3,125000
1
980
0,000004
0,067585
7,142857
2
980
0,004105
0,067585
10,204082
3
1.000
0,000978
0,067585
3,000000
4
1.000
0,000178
0,067585
1,000000
5
950
0,000025
0,067585
5,263158
1
2.225
0,104826
0,109401
1,123596
2
2.200
0,108578
0,109401
1,136364
3
2.150
0,063150
0,109401
1,162791
4
2.200
0,049809
0,109401
1,136364
5
2.100
0,105908
0,109401
1,190476
1
510
0,022295
0,053679
1,960784
2
530
0,018671
0,053679
8,490566
3
530
0,004961
0,053679
1,886792
4
530
0,001190
0,053679
5,660377
5
540
0,010921
0,053679
7,407407
1
316
0,000032
0,057254
16,772152
2
315
0,000097
0,057254
14,603175
3
317
0,000016
0,057254
14,195584
4
300
0,000049
0,057254
10,333333
5
300
0,000049
0,057254
8,333333
1
314
0,001168
0,045859
7,643312
2
304
0,039615
0,045859
5,592105
3
290
0,036016
0,045859
3,448276
4
293
0,002904
0,045859
1,365188
5
290
0,008554
0,045859
2,068966
1
3.870
0,000121
0,080924
3,229974
2
3.720
0,001171
0,080924
0,537634
3
3.530
0,003109
0,080924
2,691218
4
3.590
0,000999
0,080924
1,114206
5
3.590
0,000101
0,080924
0,974930
1
211
0,445926
0,425887
1,421801
2
201
0,199028
0,425887
0,995025
3
199
0,052500
0,425887
2,512563
4
187
0,069213
0,425887
2,139037
5
184
0,019815
0,425887
0,543478
Universitas Sumatera Utara
Lampiran 3
Analisis Deskriptif
a.
Deskriptif Statistik Sebelum Stock Split
Descriptive Statistics
N
Harga_Saham
Volume_Perdagangan
Varian_Return
Bid_Ask_Spread
Valid N (listwise)
Minimum
110
110
110
110
110
550.00
.000020
.002000
.078927
Maximum
66000.00
2.606080
.556780
8.000000
Mean
10188.4545
.13467145
.12639000
2.06470165
Std. Deviation
15556.57812
.316067046
.150843640
1.860624960
b. Deskriptif Statistik Sesudah Stock Split
Descriptive Statistics
N
Harga_Saham
Volume_Perdagangan
Varian_Return
Bid_Ask_Spread
Valid N (listwise)
Minimum
110
110
110
110
110
184.00
.000004
.011845
.505051
Maximum
7950.00
.445926
.425887
16.772152
Mean
1882.4636
.05841612
.10567864
2.40407474
Std. Deviation
2109.19166
.080666336
.110448229
2.960662900
Universitas Sumatera Utara
Lampiran 4
Uji Asumsi Klasik
a.
Uji Asumsi Klasik Sebelum Stock Split
Universitas Sumatera Utara
One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N
Normal Parametersa,,b
Most Extreme Differences
110
.0000000
.64886974
.087
.087
-.065
.916
.371
Mean
Std. Deviation
Absolute
Positive
Negative
Kolmogorov-Smirnov Z
Asymp. Sig. (2-tailed)
a. Test distribution is Normal.
b. Calculated from data.
Coefficientsa
Unstandardized
Coefficients
Model
1
B
Std.
Error
Standardized
Coefficients
Beta
Collinearity
Statistics
t
Sig. Tolerance
VIF
(Constant)
.011
.253
.042
.966
Ln_Harga_Saham
.058
.031
.190 1.903
.060
.905 1.105
Ln_Volume_Perdagangan
.009
.014
.065
.663
.509
.923 1.083
-.017
.033
-.052
-.504
.615
.847 1.180
Ln_Varian_Return
a. Dependent Variable: Abs
Universitas Sumatera Utara
Coefficientsa
Unstandardized
Coefficients
Standardized
Coefficients
Std.
Error
Model
B
1
(Constant)
1.530
.420
3.644
.000
Ln_Harga_Saham
-.240
.051
-.331 -4.745
.000
.905 1.105
Ln_Volume_Perdagangan
-.210
.023
-.642 -9.284
.000
.923 1.083
.010
.055
.855
.847 1.180
Ln_Varian_Return
Beta
Collinearity
Statistics
.013
t
Sig. Tolerance
.184
VIF
a. Dependent Variable: Ln_Bid_Ask_Spread
Model Summaryb
Model
1
R
.730a
R Square
.533
Adjusted R
Square
.519
Std. Error of the
Estimate
.65799
Durbin-Watson
1.943
a. Predictors: (Constant), Ln_Varian_Return, Ln_Volume_Perdagangan,
Ln_Harga_Saham
b. Dependent Variable: Ln_Bid_Ask_Spread
b. Uji Asumsi Klasik Sesudah Stock Split
Universitas Sumatera Utara
One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N
Normal Parametersa,,b
Most Extreme Differences
Kolmogorov-Smirnov Z
Asymp. Sig. (2-tailed)
Mean
Std. Deviation
Absolute
Positive
Negative
110
.0000000
.50881781
.122
.122
-.116
1.275
.077
a. Test distribution is Normal.
b. Calculated from data.
Universitas Sumatera Utara
Coefficientsa
Unstandardized
Coefficients
Model
1
Std.
Error
B
(Constant)
Standardized
Coefficients
Beta
Collinearity
Statistics
t
.447
.241
Ln_Harga_Saham
-.006
.031
-.018
Ln_Volume_Perdagangan
-.026
.014
.060
.035
.162 1.696
Ln_Varian_Retur
Sig. Tolerance
VIF
1.850
.067
-.192
.848
.970 1.031
-.184 -1.900
.060
.957 1.045
.093
.975 1.026
a. Dependent Variable: Abs
Coefficientsa
Unstandardized
Coefficients
Standardized
Coefficients
Std.
Error
Model
B
1
(Constant)
2.295
.348
6.603
.000
Ln_Harga_Saham
-.315
.044
-.459 -7.107
.000
.970 1.031
Ln_Volume_Perdagangan
-.161
.020
-.529 -8.136
.000
.957 1.045
.107
.051
.135 2.095
.039
.975 1.026
Ln_Varian_Retur
Beta
Collinearity
Statistics
t
Sig. Tolerance
VIF
a. Dependent Variable: Ln_Bid_Ask_Spread
Model Summaryb
Model
1
R
.756a
R Square
.571
Adjusted R
Square
.559
Std. Error of the
Estimate
.51597
Durbin-Watson
1.957
a. Predictors: (Constant), Ln_Varian_Retur, Ln_Harga_Saham, Ln_Volume_Perdagangan
b. Dependent Variable: Ln_Bid_Ask_Spread
Universitas Sumatera Utara
Lampiran 5
Pengujian Hipotesis
Analisis Regresi Linear Berganda Sebelum Stock Split
a.
ANOVAb
Model
1
Sum of Squares
df
Mean Square
Regression
52.308
3
17.436
Residual
45.892
106
.433
Total
98.200
109
F
Sig.
.000a
40.273
a. Predictors: (Constant), Ln_Varian_Return, Ln_Volume_Perdagangan, Ln_Harga_Saham
b. Dependent Variable: Ln_Bid_Ask_Spread
Coefficientsa
Unstandardized
Coefficients
Standardized
Coefficients
Std.
Error
Model
B
1
(Constant)
1.530
.420
3.644
.000
Ln_Harga_Saham
-.240
.051
-.331 -4.745
.000
.905 1.105
Ln_Volume_Perdagangan
-.210
.023
-.642 -9.284
.000
.923 1.083
.010
.055
.855
.847 1.180
Ln_Varian_Return
Beta
Collinearity
Statistics
.013
t
Sig. Tolerance
.184
VIF
a. Dependent Variable: Ln_Bid_Ask_Spread
Model Summaryb
Model
1
R
.730a
R Square
.533
Adjusted R
Square
.519
Std. Error of the
Estimate
.65799
Durbin-Watson
1.943
a. Predictors: (Constant), Ln_Varian_Return, Ln_Volume_Perdagangan,
Ln_Harga_Saham
b. Dependent Variable: Ln_Bid_Ask_Spread
Universitas Sumatera Utara
b. Analisis Regresi Linear Berganda Sesudah Stock Split
ANOVAb
Model
1
Sum of Squares
df
Mean Square
Regression
37.540
3
12.513
Residual
28.220
106
.266
Total
65.760
109
F
Sig.
.000a
47.004
a. Predictors: (Constant), Ln_Varian_Retur, Ln_Harga_Saham, Ln_Volume_Perdagangan
b. Dependent Variable: Ln_Bid_Ask_Spread
Coefficientsa
Unstandardized
Coefficients
Standardized
Coefficients
Std.
Error
Model
B
1
(Constant)
2.295
.348
6.603
.000
Ln_Harga_Saham
-.315
.044
-.459 -7.107
.000
.970 1.031
Ln_Volume_Perdagangan
-.161
.020
-.529 -8.136
.000
.957 1.045
.107
.051
.135 2.095
.039
.975 1.026
Ln_Varian_Retur
Beta
Collinearity
Statistics
t
Sig. Tolerance
VIF
a. Dependent Variable: Ln_Bid_Ask_Spread
Model Summaryb
Model
1
R
.756a
R Square
.571
Adjusted R
Square
.559
Std. Error of the
Estimate
.51597
Durbin-Watson
1.957
a. Predictors: (Constant), Ln_Varian_Retur, Ln_Harga_Saham, Ln_Volume_Perdagangan
b. Dependent Variable: Ln_Bid_Ask_Spread
Universitas Sumatera Utara
c. Uji Paired Sampel T Test Bid-Ask Spread Sebelum dan Sesudah Stock
Split
Paired Samples Statistics
Mean
Pair 1
N
Std. Deviation
Std. Error Mean
Sebelum_Stock_Split
2.06470165
110
1.860624960
.177403629
Sesudah_Stock_Split
2.40407474
110
2.960662900
.282288131
Paired Samples Test
Paired Differences
95% Confidence Interval of
the Difference
Mean
Pair Sebelum_Stock_Split 1
Sesudah_Stock_Split
-.339373082
Std. Deviation
2.433180658
Std. Error
Mean
Lower
.231994673 -.799178982
Upper
t
df
.120432818 -1.463 109
Sig. (2tailed)
.146
Universitas Sumatera Utara
Sampel Penelitian
Daftar Perusahaan yang melakukan Stock Split tahun 2012-2014
No
Nama Perusahaan
Kode
Split Ratio
Tanggal Stock Split
1
Petrosea Tbk
PTRO
1:10
06 Maret 2012
2
Pakuwon Jati Tbk
PWON
1:4
30 Maret 2012
3
Astra International Tbk
ASII
1:10
05 Juni 2012
4
Indomobil Sukses Internasional Tbk
IMAS
1:2
07 Juni 2012
5
Indospring Tbk
INDS
5:7
19 Juni 2012
6
Mondren Internasional Tbk
MDRN
1:5
03 Juli 2012
7
Central Omega Resources Tbk
DKFT
1:5
03 Agustus 2012
8
Kresna Graha Sekurindo Tbk
KREN
1:4
07 Agustus 2012
9
Kalbe Farma Tbk
KLBF
1:5
08 Agustus 2012
10
Aces Hardware Indonesia Tbk
ACES
1:10
01 Nopember 2012
11
Japfa Comfeed Tbk
JPFA
1:5
19 April 2013
12
Summarecon Agung Tbk
SMRA
1:2
27 Juni 2013
13
Arwana Citra Mulia Tbk
ARNA
1:4
08 Juli 2013
14
Sarana Menara Nusantara Tbk
TOWR
1:10
22 Juli 2013
15
Sumber Alfaria Trijaya Tbk
AMRT
1:10
29 Juli 2013
16
Jaya Real Property Tbk
JRPT
1:5
01 Agustus 2013
17
Telekomunikasi Indonesia Tbk
TLKM
1:5
28 Agustus 2013
18
Jaya Konstruksi Tbk
JKON
1:5
26 September 2013
19
Alumindo Light Metal Tbk
ALMI
1:2
12 Februari 2014
20
Indal Aluminium Industry Tbk
INAL
1:2
12 Februari 2014
21
Surya Toto Indonesia Tbk
TOTO
1:2
25 Juli 2014
22 Rimau Multi Putra Pratama Tbk
CMPP
1:4
Sumber: www.sahamok.com. Periode 2012 sampai dengan 2014.
03 September 2014
Universitas Sumatera Utara
Lampiran 2
Tabulasi Data Variabel Penelitian
a.
Tabulasi Data Variabel Penelitian Sebelum Stock Split
No.
Emiten
1
2
3
4
5
6
7
PTRO
PWON
ASII
IMAS
INDS
MDRN
DKFT
Hari
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
-5
Harga Saham (Rp)
43.250
0,175986
0,089466
0,578035
-4
43.500
0,127404
0,089466
0,229885
-3
45.000
0,221593
0,089466
0,444444
-2
44.900
0,232499
0,089466
2,672606
-1
44.000
0,069403
0,089466
0,681818
-5
810
0,135549
0,028173
1,234568
-4
800
0,047733
0,028173
1,250000
-3
810
0,164628
0,028173
1,234568
-2
800
0,084585
0,028173
1,250000
-1
810
0,097625
0,028173
1,234568
-5
65.200
0,066150
0,019768
0,383436
-4
66.000
0,087060
0,019768
0,227273
-3
64.300
0,156632
0,019768
0,699844
-2
63.350
0,112626
0,019768
0,078927
-1
62.400
0,109032
0,019768
0,320513
-5
16.950
0,049760
0,067390
0,589971
-4
16.050
0,102087
0,067390
0,311526
-3
15.950
0,085416
0,067390
0,313480
-2
15.050
0,090841
0,067390
0,664452
-1
15.000
0,082487
0,067390
0,333333
-5
5.500
0,124667
0,042629
0,909091
-4
5.600
0,136444
0,042629
0,892857
-3
5.500
0,150000
0,042629
0,909091
-2
5.500
0,046222
0,042629
0,909091
-1
5.700
0,400222
0,042629
0,877193
-5
3.075
0,000661
0,084736
3,252033
-4
3.100
0,017192
0,084736
0,806452
-3
3.025
0,039615
0,084736
2,479339
-2
3.150
0,040877
0,084736
0,793651
-1
3.050
0,050555
0,084736
1,639344
-5
1.630
0,284462
0,556779
0,613497
-4
1.730
1,243551
0,556779
0,578035
-3
2.000
2,606080
0,556779
0,500000
-2
2.000
1,362485
0,556779
0,500000
-1
1.930
0,678904
0,556779
0,518135
Universitas Sumatera Utara
No.
8
9
10
11
12
13
14
Emiten
KREN
KLBF
ACES
JPFA
SMRA
ARNA
TOWR
Hari
Harga Saham (Rp)
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
-5
920
0,063546
0,042955
1,086957
-4
910
0,048716
0,042955
1,098901
-3
920
0,089166
0,042955
1,086957
-2
950
0,077555
0,042955
1,052632
-1
930
0,057929
0,042955
1,075269
-5
4.550
0,212278
0,053739
0,549451
-4
4.575
0,102393
0,053739
0,546448
-3
4.575
0,060708
0,053739
0,546448
-2
4.700
0,099468
0,053739
0,531915
-1
4.800
0,094609
0,053739
1,562500
-5
6.900
0,031487
0,025447
0,724638
-4
7.000
0,026560
0,025447
0,714286
-3
6.950
0,013994
0,025447
0,719424
-2
6.900
0,024898
0,025447
0,724638
-1
7.000
0,072070
0,025447
1,428571
-5
8.950
0,058299
0,047299
0,558659
-4
8.850
0,023381
0,047299
0,564972
-3
8.800
0,011444
0,047299
1,136364
-2
9.150
0,058909
0,047299
0,546448
-1
9.400
0,066226
0,047299
0,531915
-5
2.275
0,215079
0,315925
1,098901
-4
2.175
0,400075
0,315925
2,298851
-3
2.100
0,273789
0,315925
1,190476
-2
2.275
0,193272
0,315925
1,098901
-1
2.300
0,202554
0,315925
1,086957
-5
3.250
0,030566
0,078037
1,538462
-4
3.375
0,183615
0,078037
0,740741
-3
3.250
0,151660
0,078037
0,769231
-2
3.250
0,021522
0,078037
1,538462
-1
3.300
0,032228
0,078037
0,757576
-5
28.000
0,000049
0,029993
7,928571
-4
28.000
0,003724
0,029993
3,214286
-3
28.000
0,010683
0,029993
3,214286
-2
28.000
0,000049
0,029993
7,857143
-1
27.850
0,001176
0,029993
6,104129
Universitas Sumatera Utara
No.
15
16
17
18
19
20
21
22
Emiten
AMRT
JRPT
TLKM
JKON
ALMI
INAI
TOTO
CMPP
Hari
Harga Saham (Rp)
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
-5
6.200
0,000066
0,014042
5,645161
-4
6.300
0,106717
0,014042
0,793651
-3
6.300
0,003497
0,014042
3,174603
-2
6.350
0,000040
0,014042
0,787402
-1
6.350
0,000132
0,014042
1,574803
-5
5.000
0,000022
0,002000
8,000000
-4
5.000
0,000218
0,002000
7,000000
-3
5.000
0,000022
0,002000
5,000000
-2
4.950
0,000255
0,002000
1,515152
-1
4.950
0,006255
0,002000
1,010101
-5
10.950
0,200640
0,156330
0,456621
-4
10.650
0,144497
0,156330
0,469484
-3
10.750
0,084013
0,156330
0,465116
-2
10.650
0,081074
0,156330
0,469484
-1
10.100
0,127671
0,156330
0,495050
-5
2.550
0,022734
0,190339
2,941176
-4
2.550
0,000021
0,190339
5,882353
-3
2.500
0,000020
0,190339
6,000000
-2
2.500
0,000031
0,190339
6,000000
-1
2.450
0,000020
0,190339
5,102041
-5
570
0,001818
0,084546
7,894737
-4
580
0,000455
0,084546
1,724138
-3
580
0,000065
0,084546
4,310345
-2
550
0,025974
0,084546
3,636364
-1
560
0,049708
0,084546
3,571429
-5
580
0,009217
0,491332
4,310345
-4
580
0,005177
0,491332
1,724138
-3
580
0,007639
0,491332
5,172414
-2
630
0,000063
0,491332
6,349206
-1
560
0,012942
0,491332
1,785714
-5
6.875
0,000989
0,294336
0,363636
-4
6.875
0,002281
0,294336
2,545455
-3
7.000
0,000464
0,294336
2,857143
-2
7.100
0,004058
0,294336
1,056338
-1
8.000
0,007954
0,294336
3,750000
-5
945
0,943889
0,065310
0,529101
-4
945
0,162593
0,065310
1,058201
-3
910
0,111296
0,065310
0,549451
-2
875
0,023148
0,065310
0,571429
-1
835
0,171481
0,065310
2,994012
Universitas Sumatera Utara
b. Tabulasi Data Variabel Penelitian Sesudah Stock Split
No.
1
2
3
4
5
6
7
Emiten
PTRO
PWON
ASII
IMAS
INDS
MDRN
DKFT
Hari
Harga Saham (Rp)
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
1
4.575
0,381666
0,011845
0,546448
2
4.475
0,357176
0,011845
0,558659
3
4.400
0,398769
0,011845
0,568182
4
4.250
0,415921
0,011845
0,588235
5
4.225
0,436097
0,011845
0,591716
1
210
0,084133
0,029043
2,380952
2
205
0,039003
0,029043
2,439024
3
205
0,009809
0,029043
2,439024
4
205
0,019566
0,029043
2,439024
5
205
0,023392
0,029043
2,439024
1
6.800
0,111695
0,053219
0,735294
2
6.650
0,035942
0,053219
0,751880
3
6.600
0,107865
0,053219
0,757576
4
6.650
0,043462
0,053219
0,751880
5
6.850
0,165678
0,053219
0,729927
1
7.550
0,049272
0,152233
1,324503
2
7.950
0,120964
0,152233
0,628931
3
7.800
0,130421
0,152233
0,641026
4
7.800
0,112195
0,152233
0,641026
5
7.400
0,077913
0,152233
0,675676
1
4.100
0,018254
0,042528
0,609756
2
4.000
0,065238
0,042528
0,625000
3
3.825
0,089048
0,042528
0,653595
4
3.775
0,234127
0,042528
0,662252
5
3.825
0,038413
0,042528
0,653595
1
660
0,022482
0,023358
1,515152
2
670
0,004977
0,023358
1,492537
3
690
0,331681
0,023358
1,449275
4
690
0,037631
0,023358
1,449275
5
690
0,035755
0,023358
1,449275
1
360
0,296765
0,093931
1,388889
2
340
0,339287
0,093931
1,470588
3
350
0,397596
0,093931
1,428571
4
350
0,299108
0,093931
1,428571
5
345
0,172566
0,093931
1,449275
Universitas Sumatera Utara
No.
8
9
10
11
12
13
14
Emiten
KREN
KLBF
ACES
JPFA
SMRA
ARNA
TOWR
Hari
Harga Saham (Rp)
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
1
225
0,014908
0,080130
2,222222
2
225
0,009355
0,080130
2,222222
3
225
0,005963
0,080130
2,222222
4
215
0,012763
0,080130
2,325581
5
220
0,007557
0,080130
2,272727
1
960
0,064710
0,013931
1,041667
2
980
0,125928
0,013931
1,020408
3
980
0,056079
0,013931
2,040816
4
970
0,047814
0,013931
1,030928
5
980
0,039548
0,013931
2,040816
1
740
0,074166
0,110940
1,351351
2
740
0,023356
0,110940
1,351351
3
760
0,028227
0,110940
2,631579
4
720
0,113274
0,110940
1,388889
5
710
0,074367
0,110940
1,408451
1
1.980
0,104512
0,030346
0,505051
2
1.940
0,071136
0,030346
0,515464
3
1.930
0,036049
0,030346
0,518135
4
1.910
0,019272
0,030346
0,523560
5
1.940
0,038779
0,030346
0,515464
1
1.290
0,111050
0,328404
2,325581
2
1.280
0,079623
0,328404
0,781250
3
1.190
0,114149
0,328404
0,840336
4
1.120
0,245959
0,328404
0,892857
5
1.100
0,082846
0,328404
0,909091
1
820
0,047906
0,315663
1,219512
2
780
0,057339
0,315663
1,282051
3
790
0,076593
0,315663
1,265823
4
730
0,385286
0,315663
1,369863
5
780
0,186244
0,315663
1,282051
1
2.775
0,004734
0,181979
0,900901
2
2.800
0,000211
0,181979
0,892857
3
2.825
0,001426
0,181979
1,769912
4
2.975
0,002235
0,181979
1,680672
5
2.825
0,000216
0,181979
5,309735
Universitas Sumatera Utara
No.
15
16
17
18
19
20
21
22
Emiten
AMRT
JRPT
TLKM
JKON
ALMI
INAI
TOTO
CMPP
Hari
Harga Saham (Rp)
Volume Perdagangan (%)
Varian Return (%)
Bid-Ask (%)
1
640
0,000191
0,016791
1,562500
2
640
0,000082
0,016791
1,562500
3
650
0,001004
0,016791
3,076923
4
650
0,000477
0,016791
4,615385
5
640
0,003446
0,016791
3,125000
1
980
0,000004
0,067585
7,142857
2
980
0,004105
0,067585
10,204082
3
1.000
0,000978
0,067585
3,000000
4
1.000
0,000178
0,067585
1,000000
5
950
0,000025
0,067585
5,263158
1
2.225
0,104826
0,109401
1,123596
2
2.200
0,108578
0,109401
1,136364
3
2.150
0,063150
0,109401
1,162791
4
2.200
0,049809
0,109401
1,136364
5
2.100
0,105908
0,109401
1,190476
1
510
0,022295
0,053679
1,960784
2
530
0,018671
0,053679
8,490566
3
530
0,004961
0,053679
1,886792
4
530
0,001190
0,053679
5,660377
5
540
0,010921
0,053679
7,407407
1
316
0,000032
0,057254
16,772152
2
315
0,000097
0,057254
14,603175
3
317
0,000016
0,057254
14,195584
4
300
0,000049
0,057254
10,333333
5
300
0,000049
0,057254
8,333333
1
314
0,001168
0,045859
7,643312
2
304
0,039615
0,045859
5,592105
3
290
0,036016
0,045859
3,448276
4
293
0,002904
0,045859
1,365188
5
290
0,008554
0,045859
2,068966
1
3.870
0,000121
0,080924
3,229974
2
3.720
0,001171
0,080924
0,537634
3
3.530
0,003109
0,080924
2,691218
4
3.590
0,000999
0,080924
1,114206
5
3.590
0,000101
0,080924
0,974930
1
211
0,445926
0,425887
1,421801
2
201
0,199028
0,425887
0,995025
3
199
0,052500
0,425887
2,512563
4
187
0,069213
0,425887
2,139037
5
184
0,019815
0,425887
0,543478
Universitas Sumatera Utara
Lampiran 3
Analisis Deskriptif
a.
Deskriptif Statistik Sebelum Stock Split
Descriptive Statistics
N
Harga_Saham
Volume_Perdagangan
Varian_Return
Bid_Ask_Spread
Valid N (listwise)
Minimum
110
110
110
110
110
550.00
.000020
.002000
.078927
Maximum
66000.00
2.606080
.556780
8.000000
Mean
10188.4545
.13467145
.12639000
2.06470165
Std. Deviation
15556.57812
.316067046
.150843640
1.860624960
b. Deskriptif Statistik Sesudah Stock Split
Descriptive Statistics
N
Harga_Saham
Volume_Perdagangan
Varian_Return
Bid_Ask_Spread
Valid N (listwise)
Minimum
110
110
110
110
110
184.00
.000004
.011845
.505051
Maximum
7950.00
.445926
.425887
16.772152
Mean
1882.4636
.05841612
.10567864
2.40407474
Std. Deviation
2109.19166
.080666336
.110448229
2.960662900
Universitas Sumatera Utara
Lampiran 4
Uji Asumsi Klasik
a.
Uji Asumsi Klasik Sebelum Stock Split
Universitas Sumatera Utara
One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N
Normal Parametersa,,b
Most Extreme Differences
110
.0000000
.64886974
.087
.087
-.065
.916
.371
Mean
Std. Deviation
Absolute
Positive
Negative
Kolmogorov-Smirnov Z
Asymp. Sig. (2-tailed)
a. Test distribution is Normal.
b. Calculated from data.
Coefficientsa
Unstandardized
Coefficients
Model
1
B
Std.
Error
Standardized
Coefficients
Beta
Collinearity
Statistics
t
Sig. Tolerance
VIF
(Constant)
.011
.253
.042
.966
Ln_Harga_Saham
.058
.031
.190 1.903
.060
.905 1.105
Ln_Volume_Perdagangan
.009
.014
.065
.663
.509
.923 1.083
-.017
.033
-.052
-.504
.615
.847 1.180
Ln_Varian_Return
a. Dependent Variable: Abs
Universitas Sumatera Utara
Coefficientsa
Unstandardized
Coefficients
Standardized
Coefficients
Std.
Error
Model
B
1
(Constant)
1.530
.420
3.644
.000
Ln_Harga_Saham
-.240
.051
-.331 -4.745
.000
.905 1.105
Ln_Volume_Perdagangan
-.210
.023
-.642 -9.284
.000
.923 1.083
.010
.055
.855
.847 1.180
Ln_Varian_Return
Beta
Collinearity
Statistics
.013
t
Sig. Tolerance
.184
VIF
a. Dependent Variable: Ln_Bid_Ask_Spread
Model Summaryb
Model
1
R
.730a
R Square
.533
Adjusted R
Square
.519
Std. Error of the
Estimate
.65799
Durbin-Watson
1.943
a. Predictors: (Constant), Ln_Varian_Return, Ln_Volume_Perdagangan,
Ln_Harga_Saham
b. Dependent Variable: Ln_Bid_Ask_Spread
b. Uji Asumsi Klasik Sesudah Stock Split
Universitas Sumatera Utara
One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N
Normal Parametersa,,b
Most Extreme Differences
Kolmogorov-Smirnov Z
Asymp. Sig. (2-tailed)
Mean
Std. Deviation
Absolute
Positive
Negative
110
.0000000
.50881781
.122
.122
-.116
1.275
.077
a. Test distribution is Normal.
b. Calculated from data.
Universitas Sumatera Utara
Coefficientsa
Unstandardized
Coefficients
Model
1
Std.
Error
B
(Constant)
Standardized
Coefficients
Beta
Collinearity
Statistics
t
.447
.241
Ln_Harga_Saham
-.006
.031
-.018
Ln_Volume_Perdagangan
-.026
.014
.060
.035
.162 1.696
Ln_Varian_Retur
Sig. Tolerance
VIF
1.850
.067
-.192
.848
.970 1.031
-.184 -1.900
.060
.957 1.045
.093
.975 1.026
a. Dependent Variable: Abs
Coefficientsa
Unstandardized
Coefficients
Standardized
Coefficients
Std.
Error
Model
B
1
(Constant)
2.295
.348
6.603
.000
Ln_Harga_Saham
-.315
.044
-.459 -7.107
.000
.970 1.031
Ln_Volume_Perdagangan
-.161
.020
-.529 -8.136
.000
.957 1.045
.107
.051
.135 2.095
.039
.975 1.026
Ln_Varian_Retur
Beta
Collinearity
Statistics
t
Sig. Tolerance
VIF
a. Dependent Variable: Ln_Bid_Ask_Spread
Model Summaryb
Model
1
R
.756a
R Square
.571
Adjusted R
Square
.559
Std. Error of the
Estimate
.51597
Durbin-Watson
1.957
a. Predictors: (Constant), Ln_Varian_Retur, Ln_Harga_Saham, Ln_Volume_Perdagangan
b. Dependent Variable: Ln_Bid_Ask_Spread
Universitas Sumatera Utara
Lampiran 5
Pengujian Hipotesis
Analisis Regresi Linear Berganda Sebelum Stock Split
a.
ANOVAb
Model
1
Sum of Squares
df
Mean Square
Regression
52.308
3
17.436
Residual
45.892
106
.433
Total
98.200
109
F
Sig.
.000a
40.273
a. Predictors: (Constant), Ln_Varian_Return, Ln_Volume_Perdagangan, Ln_Harga_Saham
b. Dependent Variable: Ln_Bid_Ask_Spread
Coefficientsa
Unstandardized
Coefficients
Standardized
Coefficients
Std.
Error
Model
B
1
(Constant)
1.530
.420
3.644
.000
Ln_Harga_Saham
-.240
.051
-.331 -4.745
.000
.905 1.105
Ln_Volume_Perdagangan
-.210
.023
-.642 -9.284
.000
.923 1.083
.010
.055
.855
.847 1.180
Ln_Varian_Return
Beta
Collinearity
Statistics
.013
t
Sig. Tolerance
.184
VIF
a. Dependent Variable: Ln_Bid_Ask_Spread
Model Summaryb
Model
1
R
.730a
R Square
.533
Adjusted R
Square
.519
Std. Error of the
Estimate
.65799
Durbin-Watson
1.943
a. Predictors: (Constant), Ln_Varian_Return, Ln_Volume_Perdagangan,
Ln_Harga_Saham
b. Dependent Variable: Ln_Bid_Ask_Spread
Universitas Sumatera Utara
b. Analisis Regresi Linear Berganda Sesudah Stock Split
ANOVAb
Model
1
Sum of Squares
df
Mean Square
Regression
37.540
3
12.513
Residual
28.220
106
.266
Total
65.760
109
F
Sig.
.000a
47.004
a. Predictors: (Constant), Ln_Varian_Retur, Ln_Harga_Saham, Ln_Volume_Perdagangan
b. Dependent Variable: Ln_Bid_Ask_Spread
Coefficientsa
Unstandardized
Coefficients
Standardized
Coefficients
Std.
Error
Model
B
1
(Constant)
2.295
.348
6.603
.000
Ln_Harga_Saham
-.315
.044
-.459 -7.107
.000
.970 1.031
Ln_Volume_Perdagangan
-.161
.020
-.529 -8.136
.000
.957 1.045
.107
.051
.135 2.095
.039
.975 1.026
Ln_Varian_Retur
Beta
Collinearity
Statistics
t
Sig. Tolerance
VIF
a. Dependent Variable: Ln_Bid_Ask_Spread
Model Summaryb
Model
1
R
.756a
R Square
.571
Adjusted R
Square
.559
Std. Error of the
Estimate
.51597
Durbin-Watson
1.957
a. Predictors: (Constant), Ln_Varian_Retur, Ln_Harga_Saham, Ln_Volume_Perdagangan
b. Dependent Variable: Ln_Bid_Ask_Spread
Universitas Sumatera Utara
c. Uji Paired Sampel T Test Bid-Ask Spread Sebelum dan Sesudah Stock
Split
Paired Samples Statistics
Mean
Pair 1
N
Std. Deviation
Std. Error Mean
Sebelum_Stock_Split
2.06470165
110
1.860624960
.177403629
Sesudah_Stock_Split
2.40407474
110
2.960662900
.282288131
Paired Samples Test
Paired Differences
95% Confidence Interval of
the Difference
Mean
Pair Sebelum_Stock_Split 1
Sesudah_Stock_Split
-.339373082
Std. Deviation
2.433180658
Std. Error
Mean
Lower
.231994673 -.799178982
Upper
t
df
.120432818 -1.463 109
Sig. (2tailed)
.146
Universitas Sumatera Utara