Pengaruh January Effect Terhadap Return Saham Perusahaan Lq 45 Di Bursa Efek Indonesia

Lampiran 1
Harga Saham Pre-January dan Return Saham Post January 1
No
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18

19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38

39
40

HargaSaham Pre-January
Hari
Rata-rata harga saham
Kerja/Tahun
harian 10 hari sebelum
Januari (Rp)
H-10/2010
10.720,87
H-9/2010
10.576,58
H-8/2010
10.703,90
H-7/2010
10.864,52
H-6/2010
10.975,98
H-5/2010

10.877,29
H-4/2010
10.824,59
H-3/2010
10.940,67
H-2/2010
11.007,95
H-1/2010
11.108,62
H-10/2011
10.279,82
H-9/2011
10.419,29
H-8/2011
10.279,64
H-7/2011
10.453,57
H-6/2011
10.536,43
H-5/2011

10.656,61
H-4/2011
10,584,46
H-3/2011
10.464,82
H-2/2011
10.559,82
H-1/2011
10.639,46
H-10/2012
8.775,00
H-9/2012
8.630,14
H-8/2012
8.582,21
H-7/2012
8.501,32
H-6/2012
8.682,00
H-5/2012

8.551,00
H-4/2012
8.665,25
H-3/2012
8.607,92
H-2/2012
8.642,96
H-1/2012
8.654,92
H-10/2013
7.519,64
H-9/2013
6.791,60
H-8/2013
7.682,32
H-7/2013
7.646,96
H-6/2013
7.731,86
H-5/2013

7.754,29
H-4/2013
7.710,71
H-3/2013
7.683,92
H-2/2013
7.693,57
H-1/2013
7.730,35

Return Saham Post January 1
Rata-rata return saham
Hari
harian 10 hari pertama di
Kerja/Tahun
bulan Januari
H+1/2011
-0,0216
H+2/2011
-0,0185

H+3/2011
0,0024
H+4/2011
0,0101
H+5/2011
0,0122
H+6/2011
-0,0074
H+7/2011
-0,0032
H+8/2011
0,0021
H+9/2011
0,0112
H+10/2011
0,0132
H+1/2012
0,0178
H+2/2012
0,0238

H+3/2012
-0,0056
H+4/2012
0,0153
H+5/2012
0,0030
H+6/2012
0,0262
H+7/2012
-0,0120
H+8/2012
-0,0036
H+9/2012
-0,0048
H+10/2012
0,0071
H+1/2013
0,0238
H+2/2013
-0,0049

H+3/2013
-0,0047
H+4/2013
-0,0051
H+5/2013
0,0184
H+6/2013
0,0118
H+7/2013
0,0155
H+8/2013
0,0094
H+9/2013
0,0043
H+10/2013
-0,0013
H+1/2014
0,0129
H+2/2014
-0,0249

H+3/2014
-0,0210
H+4/2014
-0,0133
H+5/2014
0,0213
H+6/2014
-0,0023
H+7/2014
0,0042
H+8/2014
0,0033
H+9/2014
0,0073
H+10/2014
0,0012

Lampiran 2
Rata-rata Harga Saham Post January 1 dan Return
Saham Post January 2

No

Harga Saham Post Januari1
Rata-rata harga saham
Hari
harian 10 hari pertama
Kerja/Tahun
setelah Januari (Rp)

Return saham Post Januari 2
Rata-ratareturn saham
Hari
harian 10 hari kedua
Kerja/Tahun
di bulan Januari

1

H+1/2011

11.377,88

H+11/2011

-0,0154

2

H+2/2011

11.482,19

H+22/2011

0,0023

3

H+3/2011

11.504,95

H+13/2011

-0,0053

4

H+4/2011

11.270,58

H+14/2011

-0,0315

5

H+5/2011

10.904,90

H+15/2011

-0,0258

6

H+6/2011

10.481,20

H+16/2011

-0,0110

7

H+7/2011

10.298,53

H+17/2011

0,0277

8

H+8/2011

10.639,14

H+18/2011

0,0256

9

H+9/2011

10.671,91

H+19/2011

0,0024

10

H+10/2011

10.604,50

H+20/2011

-0,0082

11

H+1/2012

10.585,00

H+11/2012

0,0022

12

H+2/2012

10.765,89

H+12/2012

0,0095

13

H+3/2012

11.002,32

H+13/2012

0,0095

14

H+4/2012

11.009,11

H+14/2012

0,0057

15

H+5/2012

10.868,57

H+15/2012

-0,0070

16

H+6/2012

10.901,25

H+16/2012

-0,0007

17

H+7/2012

11.072,68

H+17/2012

-0,0026

18

H+8/2012

10.980,71

H+18/2012

-0,0035

19

H+9/2012

10.942,14

H+19/2012

0,0029

20

H+10/2012

10.942,14

H+20/2012

-0,0284

21

H+1/2013

8.622,429

H+11/2013

0,0024

22

H+2/2013

8.622,429

H+12/2013

-0,0119

23

H+3/2013

8.827,893

H+13/2013

0,0429

24

H+4/2013

8.957,25

H+14/2013

-0,0284

25

H+5/2013

8.976,07

H+15/2013

0,0015

26

H+6/2013

8.917,61

H+16/2013

-0,0077

27

H+7/2013

8.942,36

H+17/2013

-0,0043

28

H+8/2013

8.800,25

H+18/2013

0,0076

29

H+9/2013

8.671,86

H+19/2013

-0,0053

30

H+10/2013

8.620,04

H+20/2013

0,0119

31

H+1/2014

7.787,86

H+11/2014

-0,0070

32

H+2/2014

7.740,71

H+12/2014

0,0036

33

H+3/2014

7.606,61

H+13/2014

0,0115

34

H+4/2014

7.477,32

H+14/2014

0,0097

35

H+5/2014

7.471,25

H+15/2014

0,0115

36

H+6/2014

7.521,96

H+16/2014

0,0088

37

H+7/2014

7.524,64

H+17/2014

-0,0135

38

H+8/2014

7.591,61

H+18/2014

-0,0361

39

H+9/2014

7.720,18

H+19/2014

0,0030

40

H+10/2014

7.805,18

H+20/2014

0,0176

Lampiran 3
Hasil Analisis Data Variabel Harga Saham Pre January Terhadap Post January 1
Uji Normalitas
One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N

40

Normal Parameters

a

Mean

.0000000

Std. Deviation
Most Extreme Differences

.01245552

Absolute

.071

Positive

.065

Negative

-.071

Kolmogorov-Smirnov Z

.448

Asymp. Sig. (2-tailed)

.988

a. Test distribution is Normal.

Descriptive Statistics
Mean

Std. Deviation

N

return_saham

.004255

.0124632

40

harga_saham

9.4167E3

1329.55049

40

Correlations
return_saham
Pearson Correlation

Sig. (1-tailed)

N

return_saham

1.000

-.035

harga_saham

-.035

1.000

return_saham

.

.415

harga_saham

.415

.

return_saham

40

40

harga_saham

40

40

Variables Entered/Removed

b

Variables
Model

Variables Entered

1

harga_saham

a

harga_saham

Removed

Method
. Enter

One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N

40

Normal Parameters

a

Mean

.0000000

Std. Deviation
Most Extreme Differences

.01245552

Absolute

.071

Positive

.065

Negative

-.071

Kolmogorov-Smirnov Z

.448

Asymp. Sig. (2-tailed)

.988

a. All requested variables entered.
b. Dependent Variable: return_saham
Model Summary

b

Change Statistics
Model
1

R
.035

R Square Adjusted R Square Std. Error of the Estimate R Square Change F Change df1
a

.001

-.025

.0126183

.001

.047

df2 Sig. F Change D

1

38

.830

a. Predictors: (Constant), harga_saham
b. Dependent Variable: return_saham
b

ANOVA
Model
1

Sum of Squares

df

Mean Square

F

Regression

.000

1

.000

Residual

.006

38

.000

Total

.006

39

Sig.
a

.047

.830

a. Predictors: (Constant), harga_saham
b. Dependent Variable: return_saham
Coefficients

a

Unstandardized
Coefficients
Model
1

B
(Constant)

Standardized Coefficients

Std. Error

Beta

t

Sig.

Lower Bound

Upper Bound

.007

.014

.509

.614

-.022

.037

harga_saham -3.289E-7

.000

-.035 -.216

.830

.000

.000

a. Dependent Variable: return_saham
Coefficient Correlations
Model

95% Confidence Interval for B

a

harga_saham

Corr
Zero-order

-.035

1

Correlations

harga_saham

1.000

Covariances

harga_saham

2.310E-12

a. Dependent Variable: return_saham

Collinearity Diagnostics

a

Variance Proportions

Dimensi
Model

on

Eigenvalue

Condition Index

(Constant)

harga_saham

1

1

1.990

1.000

.00

.00

2

.010

14.415

1.00

1.00

a. Dependent Variable: return_saham

Casewise Diagnostics

a

Case
Number Std. Residual return_saham

Predicted Value

Residual

1

-2.015

-.0216

.003826

-2.5426078E-2

2

-1.773

-.0185

.003874

-2.2373537E-2

3

-.113

.0024

.003832

-1.4316629E-3

4

.501

.0101

.003779

6.3211668E-3

5

.678

.0123

.003742

8.5578217E-3

6

-.886

-.0074

.003775

-1.1174637E-2

7

-.562

-.0033

.003792

-7.0919691E-3

8

-.131

.0021

.003754

-1.6537914E-3

9

.592

.0112

.003732

7.4683363E-3

10

.753

.0132

.003699

9.5014458E-3

11

1.096

.0178

.003971

1.3828861E-2

12

1.575

.0238

.003925

1.9874732E-2

13

-.759

-.0056

.003971

-9.5711981E-3

14

.902

.0153

.003914

1.1386006E-2

15

-.062

.0031

.003887

-7.8674221E-4

16

1.771

.0262

.003847

2.2352784E-2

17

-1.258

-.0120

.003871

-1.5870946E-2

18

-.603

-.0037

.003910

-7.6102941E-3

19

-.688

-.0048

.003879

-8.6790495E-3

20

.257

.0071

.003853

3.2471434E-3

21

1.532

.0238

.004466

1.9333940E-2

22

-.746

-.0049

.004514

-9.4137033E-3

23

-.731

-.0047

.004529

-9.2294637E-3

24

-.765

-.0051

.004556

-9.6560710E-3

25

1.102

.0184

.004497

1.3903353E-2

26

.578

.0118

.004512

7.2878721E-3

27

.872

.0155

.004502

1.0997844E-2

28

.379

.0093

.004521

4.7789920E-3

29

-.017

.0043

.004509

-2.0948693E-4

30

-.460

-.0013

.004506

-5.8055501E-3

31

.636

.0129

.004879

8.0210635E-3

32

1.353

.0219

.004831

1.7068578E-2

33

-2.047

-.0210

.004825

-2.5825433E-2

34

-1.437

-.0133

.004837

-1.8137062E-2

35

1.307

.0213

.004809

1.6490861E-2

36

-.563

-.0023

.004802

-7.1017622E-3

37

-.057

.0041

.004816

-7.1609530E-4

38

-.121

.0033

.004825

-1.5249030E-3

39

.196

.0073

.004822

2.4782675E-3

40

-.286

.0012

.004810

-3.6096326E-3

a. Dependent Variable: return_saham

Residuals Statistics
Minimum
Predicted Value
Residual

Maximum

.003699
-2.5825433E2

.004879

a

Mean

Std. Deviation

.004255

N

.0004373

40

.0124555

40

.0223528 2.1684043E19

Std. Predicted Value

-1.273

1.427

.000

1.000

40

Std. Residual

-2.047

1.771

.000

.987

40

a. Dependent Variable: return_saham

Charts

Lampiran 4
Hasil Analisis Data Variabel Post January 1 Terhadap Post January 2
Uji Normalitas
Descriptive Statistics
Mean

Std. Deviation

N

return_shm

-.000815

.0160189

40

harga_shm

9.5628E3

1453.28971

40

One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N
Normal Parameters

40
a

Mean

.0000000

Std. Deviation
Most Extreme Differences

.01583340

Absolute

.111

Positive

.111

Negative

-.094

Kolmogorov-Smirnov Z

.701

Asymp. Sig. (2-tailed)

.710

a. Test distribution is Normal.

Correlations
return_shm
Pearson Correlation

Sig. (1-tailed)

N

harga_shm

return_shm

1.000

-.152

harga_shm

-.152

1.000

return_shm

.

.175

harga_shm

.175

.

return_shm

40

40

harga_shm

40

40

Variables Entered/Removed

b

Variables
Model

Variables Entered

1

harga_shm

Removed

a

Method
. Enter

a. All requested variables entered.
b. Dependent Variable: return_shm

Model Summary

b

Change Statistics

Model
1

R
.152

R Square
a

Adjusted R

Std. Error of the

R Square

F

Square

Estimate

Change

Change

.023

-.003

.0160404

.023

df1 df2 Sig. F Change Durbin-Watson

.896

1

38

.350

1.913

a. Predictors: (Constant), harga_shm
b. Dependent Variable: return_shm

b

ANOVA
Model
1

Sum of Squares

df

Mean Square

Regression

.000

1

.000

Residual

.010

38

.000

Total

.010

39

F

Sig.
.896

a

.350

a. Predictors: (Constant), harga_shm
b. Dependent Variable: return_shm

Coefficients

Model
1

Unstandardized

Standardized

Coefficients

Coefficients

B
(Constant)

Std. Error

.015

.017

harga_shm -1.673E-6

.000

Beta

a. Dependent Variable: return_shm

Coefficient Correlations
Model
1

a

harga_shm
Correlations

harga_shm

95% Confidence Interval for B
t

-.152

1.000

a

Sig.

Lower Bound

Upper Bound

.888

.380

-.019

.050

-.946

.350

.000

.000

Correlatio
Zero-order

Partia

-.152

-.1

Covariances

harga_shm

3.124E-12

a. Dependent Variable: return_shm
Collinearity Diagnostics

a

Variance Proportions

Dimensi
Model

on

Eigenvalue

Condition Index

(Constant)

1

1

1.989

1.000

.01

.01

2

.011

13.402

.99

.99

a. Dependent Variable: return_shm

Casewise Diagnostics

a

Case
Number Std. Residual return_shm Predicted Value

Residual

1

-.720

-.0154

-.003851

-1.1549107E-2

2

.394

.0023

-.004025

6.3253593E-3

3

-.077

-.0053

-.004063

-1.2365729E-3

4

-1.735

-.0315

-.003671

-2.7828574E-2

5

-1.418

-.0258

-.003060

-2.2740201E-2

6

-.539

-.0110

-.002351

-8.6488705E-3

7

1.854

.0277

-.002046

2.9745600E-2

8

1.759

.0256

-.002615

2.8215296E-2

9

.316

.0024

-.002670

5.0701061E-3

10

-.352

-.0082

-.002557

-5.6426421E-3

11

.295

.0022

-.002525

4.7247427E-3

12

.775

.0096

-.002827

1.2427295E-2

13

.793

.0095

-.003223

1.2722741E-2

14

.557

.0057

-.003234

8.9340981E-3

15

-.249

-.0070

-.002999

-4.0009655E-3

16

.147

-.0007

-.003054

2.3536942E-3

17

.040

-.0027

-.003340

6.4042358E-4

18

-.020

-.0035

-.003187

-3.1340305E-4

19

.375

.0029

-.003122

6.0220858E-3

20

-1.576

-.0284

-.003122

-2.5277914E-2

21

.102

.0024

.000758

1.6421993E-3

22

-.733

-.0110

.000758

-1.1757801E-2

23

2.649

.0429

.000414

4.2485846E-2

harga_shm

24

-1.783

-.0284

.000198

-2.8597790E-2

25

.083

.0015

.000166

1.3336883E-3

26

-.497

-.0077

.000264

-7.9640903E-3

27

-.282

-.0043

.000223

-4.5226941E-3

28

.451

.0077

.000460

7.2396164E-3

29

-.373

-.0053

.000675

-5.9751254E-3

30

.694

.0119

.000762

1.1138202E-2

31

-.564

-.0069

.002154

-9.0536808E-3

32

.085

.0036

.002233

1.3674574E-3

33

.564

.0115

.002457

9.0431652E-3

34

.438

.0097

.002673

7.0269181E-3

35

.550

.0115

.002683

8.8167656E-3

36

.393

.0089

.002598

6.3015818E-3

37

-1.003

-.0135

.002594

-1.6093936E-2

38

-2.405

-.0361

.002482

-3.8581923E-2

39

.046

.0030

.002267

7.3311943E-4

40

.965

.0176

.002125

1.5475288E-2

a. Dependent Variable: return_shm

Residuals Statistics
Minimum
Predicted Value
Residual

Maximum

-.004063
-3.8581923E2

.002683

a

Mean

Std. Deviation

-.000815

N

.0024307

40

.0158334

40

.0424858 3.4694470E19

Std. Predicted Value

-1.336

1.439

.000

1.000

40

Std. Residual

-2.405

2.649

.000

.987

40

a. Dependent Variable: return_shm

Charts