Analisis Faktor-Faktor yang Mempengaruhi Return Saham pada Perusahaan Perbankan yang Terdaftar di Bursa Efek Indonesia
LAMPIRAN
91
Universitas Sumatera Utara
LAMPIRAN 1
DAFTAR POPULASI &PENENTUAN SAMPEL PENELITIAN
No.
Kode
1
AGRO
2
3
4
5
6
AGRS
ARTO
BABP
BACA
BBCA
7
BBHI
8
9
BBKP
BBMD
10
BBNI
11
BBNP
12
BBRI
13
BBTN
14
15
BBYB
BCIC
16
BDMN
17
BEKS
18
Nama Bank
Bank Rakyat Indonesia Agro
Niaga Tbk
Bank Agris Tbk
Bank Artos Indonesia Tbk
Bank MNC Internasional Tbk
Bank Capital Indonesia Tbk
Bank Central Asia Tbk
Bank Harda Internasional
Tbk
Bank Bukopin Tbk
Bank Mestika Dharma Tbk
Bank Negara Indonesia
(Persero) Tbk
Bank Nusantara Parahyangan
Tbk
Bank Rakyat Indonesia
(Persero) Tbk
Bank Tabungan Negara
(Persero) Tbk
Bank Yudha Bhakti Tbk
Bank J Trust Indonesia Tbk
Bank Danamon Indonesia
Tbk
Kriteria Sampel
1
2
3
Sampel
√
√
√
Sampel 1
√
√
√
√
√
X
X
√
√
√
√
√
√
Sampel 2
Sampel 3
Sampel 4
√
X
√
√
√
X
√
Sampel 5
√
√
√
Sampel 6
√
√
√
Sampel 7
√
√
√
Sampel 8
√
√
√
Sampel 9
√
√
X
√
X
√
√
√
Bank Pundi Indonesia Tbk
√
√
√
BINA
Bank Ina Perdana Tbk
√
Sampel
10
Sampel
11
X
19
BJBR
Bank Jabar Banten Tbk
√
√
√
Sampel
12
20
BJTM
Bank Pembangunan Daerah
Jawa Timur Tbk
√
X
21
BKSW
Bank QNB Indonesia Tbk
√
√
√
22
BMAS
Bank Maspion Indonesia Tbk
√
Sampel
13
X
23
BMRI
Bank Mandiri (Persero) Tbk
√
√
√
24
BNBA
Bank Bumi Artha Tbk
√
√
√
25
BNGA
Bank CIMB Niaga Tbk
√
√
√
Sampel
14
Sampel
15
Sampel
16
92
Universitas Sumatera Utara
LANJUTAN LAMPIRAN 1
No.
Kode
26
BNII
27
BNLI
28
BSIM
29
BSWD
30
BTPN
31
BVIC
32
DNAR
33
INPC
34
MAYA
35
MCOR
36
MEGA
37
NAGA
38
NISP
39
Nama Bank
Kriteria Sampel
1
2
3
Sampel
Bank Maybank Indonesia
Tbk
Bank Permata Tbk
√
√
√
Sampel
17
Sampel
18
Sampel
19
Sampel
20
Sampel
21
Sampel
22
√
√
√
Bank Sinar Mas Tbk
√
√
√
Bank of India Indonesia Tbk
√
√
√
Bank Tabungan Pensiunan
Nasional Tbk
Bank Victoria Internasional
Tbk
Bank Dinar Indonesia Tbk
Bank Artha Graha
International Tbk
Bank Mayapada International
Tbk
Bank Windu Kentjana
International Tbk
√
√
√
√
√
√
√
X
√
√
√
√
√
√
√
√
√
Bank Mega Tbk
√
√
√
Bank Mega Tbk
√
Sampel
23
Sampel
24
Sampel
25
Sampel
26
X
Bank Mitraniaga Tbk
√
√
√
NOBU
Bank NISP OCBC Tbk
√
Sampel
27
X
40
PNBN
Bank Nationalnobu Tbk
√
√
√
41
PNBS
X
42
SDRA
Bank Pan Indonesia Tbk
Bank Pan Indonesia Syariah
Tbk
√
Sampel
28
√
√
√
Sampel
29
Sumber: www.idx.co.id
93
Universitas Sumatera Utara
LAMPIRAN 2
DATA KEUANGAN SAMPEL PENELITIAN (dalam %)
Kode
Emitem
AGRO
BABP
BACA
BBCA
BBKP
BBNI
BBNP
BBRI
BBTN
BDMN
BEKS
Tahun
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
CAR
(%)
NPL
(%)
NPM
(%)
NIM
(%)
LDR
(%)
Return
Saham
(%)
14.8
21.6
19.06
11.21
13.09
17.79
18.00
20.13
16.43
14.24
15.66
16.86
16.34
15.12
14.21
16.67
15.09
16.22
12.17
15.75
16.6
16.95
16.99
18.31
17.69
15.62
14.64
18.38
17.48
18.17
3.68
2.27
2.02
5.78
4.88
5.88
2.11
0.37
0.34
0.4
0.4
0.6
2.66
2.26
2.78
2.84
2.17
1.96
0.58
0.45
1.41
1.78
1.55
1.69
4.09
4.05
4.01
2.4
1.9
2.3
9.95
6.75
6.94
10.44
12.47
14.26
0.15
-11.95
-7.17
11.06
12.72
9.41
41.59
37.72
37.04
16.34
15.71
10.25
31.04
34.24
32.46
11.61
11.61
8.94
37.67
35.91
32.29
15.47
14.49
8.71
21.83
20.66
11.67
3.14
5.94
-7.09
6
5.31
4.62
5.44
4.84
3.43
4.66
4.67
3.96
5.6
6.2
6.5
4.56
3.82
3.7
5.93
6.11
6.2
5.56
5.16
4.69
8.42
8.55
8.51
5.83
5.44
4.47
10.1
9.6
8.4
82.48
87.11
88.49
79.48
80.14
80.35
59.06
63.35
58.13
68.6
75.4
76.8
83.81
85.8
83.89
77.52
85.3
87.81
84.94
84.44
85.19
79.85
88.54
81.68
100.9
104.42
108.61
100.7
95.1
92.6
24.58
-19.73
-12.71
58.49
20.83
36.84
-25
-26.67
9.09
13.75
5.49
36.72
6.9
0
20.97
-2.7
6.76
54.43
0
13.85
56.08
2.96
4.32
60.69
19.83
-40
38.51
37.8
-33.19
19.87
16.64
13.04
9.65
83.68
88.46
86.11
3.45
-30
-4.76
13.27
11.43
10.05
94
Universitas Sumatera Utara
LANJUTAN LAMPIRAN 2
Kode
Emitem
BJBR
BKSW
BMRI
BNBA
BNGA
BNII
BNLI
BSIM
BSWD
BTPN
BVIC
INPC
Tahun
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
CAR
(%)
NPL
(%)
NPM
(%)
NIM
(%)
LDR
(%)
18.11
16.51
16.39
2.07
2.83
4.15
0.73
0.23
0.31
1.74
1.6
1.66
0.83
0.21
0.25
2.29
2.23
3.9
0.81
1.55
1.48
1.37
1.02
1.7
3.18
2.5
3
0.14
1.6
1.78
0.6
0.7
0.7
2.3
0.7
3.52
0.8
1.7
1.69
17.56
16.92
12.74
-8.77
0.66
9.9
37.7
37.5
32.97
18.33
14.15
9.76
26.24
24.04
11.26
12.77
14.02
5.32
14.89
14.47
10.21
15.7
15.9
8.63
26.97
29.54
24.05
21.3
19.47
15.2
18.4
16.4
5.2
6.76
11.64
4.92
6.76
7.96
6.79
74.09
96.47
93.18
Return
Saham
(%)
16.48
-16.04
-17.98
4.63
2.82
2.8
5.58
5.68
5.94
7.13
6.61
5.81
87.37
113.3
93.47
77.66
82.97
82.02
77.95
83.96
79.45
-2.82
-34.78
-8.89
20
-3.09
37.26
18.71
-4.85
0.64
5.87
5.34
5.36
5.73
4.94
4.76
5.03
4.22
3.63
5.72
5.23
5.87
5.12
5.32
4.8
13.1
12.7
11.4
3.12
2.33
1.88
4.22
5.31
4.75
95.04
94.49
99.46
87.34
89.04
92.67
89.52
89.24
89.13
80.78
78.72
83.88
93.21
93.76
88.06
86
88
87
67.59
73.39
70.25
87.42
88.87
87.62
-9.84
-16.36
-9.24
-3.57
-23.46
-32.9
-2.94
-4.55
19.44
-16.67
6.67
41.25
160
-58.33
69.23
54.41
-18.1
-8.14
-9.3
6.84
-4
15.625
-18.02
-13.19
27.76
18.73
15.1
15.48
14.93
16.6
19.18
16.99
15.07
15.16
15.36
15.58
12.83
12.72
15.72
12.83
12.72
15.72
18.09
21.82
18.38
21.1
15.26
14.27
21.5
23.1
23.3
18.53
18.45
18.25
16.45
17.31
15.76
95
Universitas Sumatera Utara
LANJUTAN LAMPIRAN 2
Kode
Emitem
MAYA
MCOR
MEGA
NISP
PNBN
SDRA
Tahun
CAR
(%)
NPL
(%)
NPM
(%)
NIM
(%)
LDR
(%)
Return
Saham
(%)
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
10.93
14.07
10.44
15.19
15.88
15.2
16.83
15.74
15.23
16.49
19.28
18.74
14.67
15.32
15.62
14.7
13.07
21.71
3.2
1.04
1.46
1.98
1.69
2.71
2.09
2.17
2.09
0.91
0.73
1.34
1.69
2.13
2.05
1.99
2.64
2.51
16.84
17.09
12.22
15.73
12.06
5.88
24.68
10.79
10.02
18.59
18.58
16.85
19.81
18.91
16.67
14.82
12.08
54.89
6.00
5.75
4.25
5.18
4.87
3.76
6.45
5.38
5.27
4.17
4.11
4.15
4.19
4.09
3.83
8.28
7.19
1.89
80.58
85.61
81.52
80.22
82.73
84.03
52.39
57.41
68.85
86.79
92.49
93.59
88.46
87.71
90.51
84.39
90.59
101.2
137.77
-19.12
-31.64
-5.32
-28.65
61.41
-4.29
-38.81
-2.44
41.67
-19.61
10.57
-19.23
4.76
76.515
204.54
32.84
29.21
Sumber: www.idx.co.id
96
Universitas Sumatera Utara
LAMPIRAN 3
HASIL PENGUJIAN EVIEWS
1. Statistik Deskriptif
Mean
Median
Maximum
Minimum
Std. Dev.
Observations
CAR
16.39299
15.88000
27.76000
10.05000
2.971285
87
LDR
84.82966
85.80000
113.3000
52.39000
10.52518
87
NIM
5.846897
5.340000
16.64000
1.880000
2.495491
87
NPL
2.132644
1.900000
9.950000
0.140000
1.650143
87
NPM
16.43517
14.89000
54.89000
-11.95000
11.53292
87
RETURN
SAHAM
10.54161
0.640000
204.5400
-58.33000
40.80685
87
Sumber: Hasil Penelitian, 2016 (data diolah)
2. Uji Normalitas
12
Series: RESID
Sample 1 87
Observations 87
10
8
6
4
2
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-4.839009
-10.24142
65.98715
-74.98704
27.45321
0.403137
2.947863
Jarque-Bera
Probability
2.366390
0.306298
0
-70 -60 -50 -40 -30 -20 -10
0
10
20
30
40
50
60
70
Sumber: Hasil Penelitian, 2016 (data diolah)
3. Uji Multikolinieritas
CAR
LDR
NIM
NPL
NPM
CAR
1
0.0134629961
0.02550363406
-0.3389781146
0.12015141651
LDR
0.01346299611
1
0.0583738840
0.08983177607
-0.0250822268
NIM
0.02550363406
0.0583738840
1
0.33680041212
0.05555050721
NPL
NPM
-0.3389781146 0.12015141651
0.0898317760 -0.02508222684
0.33680041212 0.0555505072
1
-0.35761618862
-0.3576161886
1
Sumber: Hasil Penelitian, 2016 (data diolah)
97
Universitas Sumatera Utara
4. Uji Autokorelasi
Dependent Variable: RETURNSAHAM
Method: Least Squares
Date: 05/12/16 Time: 05:44
Sample: 1 87
Included observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
CAR
LDR
NIM
NPL
NPM
C
-0.404225
0.057204
0.333232
1.018228
0.447509
0.840728
1.631575
0.429591
1.979785
3.387240
0.426419
46.28606
-0.247751
0.133158
0.168317
0.300607
1.049458
0.018164
0.8050
0.8944
0.8668
0.7645
0.2971
0.9856
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.016253
-0.044472
41.70436
140879.6
-444.9019
0.267651
0.929524
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
10.54161
40.80685
10.36556
10.53562
10.43404
1.952740
Sumber: Hasil Penelitian, 2016 (data diolah)
5. Uji Heteroskedastisitas
Heteroskedasticity Test: White
F-statistic
Obs*R-squared
Scaled explained SS
0.953439
19.50167
75.20073
Prob. F(20,66)
Prob. Chi-Square(20)
Prob. Chi-Square(20)
0.5263
0.4895
0.0000
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 05/12/16 Time: 05:45
Sample: 1 87
Included observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
CAR
CAR^2
CAR*LDR
CAR*NIM
CAR*NPL
CAR*NPM
LDR
LDR^2
LDR*NIM
40901.93
-4171.125
30.78804
61.17156
-323.9921
-94.74199
-17.05741
-944.6509
0.992367
-77.61772
61127.35
3627.224
60.06343
34.97917
123.8560
178.0863
23.01300
783.7102
3.394481
45.21194
0.669126
-1.149950
0.512592
1.748800
-2.615877
-0.532001
-0.741208
-1.205357
0.292347
-1.716753
0.5057
0.2543
0.6099
0.0850
0.0110
0.5965
0.4612
0.2324
0.7709
0.0907
98
Universitas Sumatera Utara
LDR*NPL
LDR*NPM
NIM
NIM^2
NIM*NPL
NIM*NPM
NPL
NPL^2
NPL*NPM
NPM
NPM^2
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
-4.199468
13.13130
11694.67
93.22269
-290.9290
19.97959
5392.437
-194.3856
-103.9263
-195.6419
-13.94950
0.224157
-0.010947
4884.584
1.57E+09
-850.3947
0.953439
0.526311
52.99505
7.251836
4461.175
101.9217
242.5295
38.38499
5293.022
374.2181
69.82702
672.4809
4.543364
-0.079243
1.810756
2.621433
0.914650
-1.199561
0.520505
1.018782
-0.519445
-1.488340
-0.290926
-3.070302
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.9371
0.0747
0.0109
0.3637
0.2346
0.6045
0.3120
0.6052
0.1414
0.7720
0.0031
1619.305
4858.067
20.03206
20.62728
20.27174
1.838707
Sumber: Hasil Penelitian, 2016 (data diolah)
6. Common Effect Model (CEM)
Dependent Variable: RETURNSAHAM?
Method: Pooled Least Squares
Date: 05/18/16 Time: 14:28
Sample: 2012 2014
Included observations: 3
Cross-sections included: 29
Total pool (balanced) observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
CAR?
NPL?
NPM?
NIM?
LDR?
C
3.138386
3.954204
0.856367
0.861053
0.005852
-70.13366
1.353878
3.108266
0.400246
1.705870
0.404880
42.21956
2.318071
1.272158
2.139600
0.504759
0.014453
-1.661165
0.0230
0.2070
0.0354
0.6151
0.9885
0.1005
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.126833
0.072934
39.29058
125043.7
-439.7149
2.353149
0.047822
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
10.54161
40.80685
10.24632
10.41638
10.31480
1.962194
Sumbe: Hasil Penelitian, 2016 (data diolah)
99
Universitas Sumatera Utara
7. Fixed Effect Model (FEM)
Dependent Variable: RETURNSAHAM?
Method: Pooled Least Squares
Date: 05/18/16 Time: 14:28
Sample: 2012 2014
Included observations: 3
Cross-sections included: 29
Total pool (balanced) observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
CAR?
NPL?
NPM?
NIM?
LDR?
C
Fixed Effects (Cross)
_1--C
_2--C
_3--C
_4--C
_5--C
_6--C
_7--C
_8--C
_9--C
_10--C
_11--C
_12--C
_13--C
_14--C
_15--C
_16--C
_17--C
_18--C
_19--C
_20--C
_21--C
_22--C
_23--C
_24--C
_25--C
_26--C
_27--C
_28--C
_29--C
5.450379
-0.916454
-0.565656
4.906492
-1.320258
13.82008
1.746766
7.688633
0.864391
3.244449
1.078197
105.2751
3.120269
-0.119196
-0.654399
1.512273
-1.224506
0.131276
0.0029
0.9056
0.5157
0.1364
0.2262
0.8961
-20.23227
33.09178
-62.30074
9.487137
14.62999
19.53248
22.24522
3.784555
28.59448
-10.62987
-30.46530
-19.78453
-27.80447
19.40859
-19.47549
4.868398
-8.378881
20.72411
-19.46813
42.09905
-62.60412
-25.80985
-10.51743
16.12438
5.667365
-54.67134
8.876193
33.79104
89.21766
Effects Specification
Cross-section fixed (dummy variables)
R-squared
Adjusted R-squared
S.E. of regression
0.455793
0.116947
38.34657
Mean dependent var
S.D. dependent var
Akaike info criterion
10.54161
40.80685
10.41720
100
Universitas Sumatera Utara
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
77934.35
-419.1482
1.345132
0.165163
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
11.38089
10.80525
3.004012
Sumber: Hasil Penelitian, 2016 (data diolah)
8. Uji Chow
Redundant Fixed Effects Tests
Pool: DATAPANEL
Test cross-section fixed effects
Effects Test
Statistic
Cross-section F
Cross-section Chi-square
d.f.
Prob.
1.144185
41.133321
(28,53)
28
0.3293
0.0522
Cross-section fixed effects test equation:
Dependent Variable: RETURNSAHAM?
Method: Panel Least Squares
Date: 05/17/16 Time: 17:16
Sample: 2012 2014
Included observations: 3
Cross-sections included: 29
Total pool (balanced) observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
CAR?
NPL?
NPM?
NIM?
LDR?
C
3.138386
3.954204
0.856367
0.861053
0.005852
-70.13366
1.353878
3.108266
0.400246
1.705870
0.404880
42.21956
2.318071
1.272158
2.139600
0.504759
0.014453
-1.661165
0.0230
0.2070
0.0354
0.6151
0.9885
0.1005
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.126833
0.072934
39.29058
125043.7
-439.7149
2.353149
0.047822
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
10.54161
40.80685
10.24632
10.41638
10.31480
1.962194
Sumber: Hasil Penelitian, 2016 (data diolah)
101
Universitas Sumatera Utara
9. Random Effect Model (REM)
Dependent Variable: RETURNSAHAM?
Method: Pooled EGLS (Cross-section random effects)
Date: 05/11/16 Time: 20:55
Sample: 2012 2014
Included observations: 3
Cross-sections included: 29
Total pool (balanced) observations: 87
Swamy and Arora estimator of component variances
Variable
Coefficient
Std. Error
t-Statistic
Prob.
CAR?
NPL?
NPM?
NIM?
LDR?
C
3.138386
3.954204
0.856367
0.861053
0.005852
-70.13366
1.321349
3.033585
0.390630
1.664884
0.395153
41.20518
2.375137
1.303475
2.192273
0.517185
0.014809
-1.702059
0.0199
0.1961
0.0312
0.6064
0.9882
0.0926
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.126833
0.072934
39.29058
2.353149
0.047822
Mean dependent var
S.D. dependent var
Sum squared resid
Durbin-Watson stat
10.54161
40.80685
125043.7
1.962194
Sumber: Hasil Penelitian, 2016 (data diolah)
10. Uji Hausman
Correlated Random Effects - Hausman Test
Pool: DATAPANEL
Test cross-section random effects
Test Summary
Cross-section random
Chi-Sq.
Statistic
Chi-Sq. d.f.
Prob.
10.520705
5
0.0618
** WARNING: estimated cross-section random effects variance is zero.
Cross-section random effects test comparisons:
Variable
CAR?
NPL?
NPM?
NIM?
LDR?
Fixed
5.450379
-0.916454
-0.565656
4.906492
-1.320258
Random
Var(Diff.)
Prob.
3.138386
3.954204
0.856367
0.861053
0.005852
1.305226
49.912439
0.594579
7.754611
1.006362
0.0430
0.4906
0.0652
0.1463
0.1862
102
Universitas Sumatera Utara
Cross-section random effects test equation:
Dependent Variable: RETURNSAHAM?
Method: Panel Least Squares
Date: 05/11/16 Time: 20:56
Sample: 2012 2014
Included observations: 3
Cross-sections included: 29
Total pool (balanced) observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
CAR?
NPL?
NPM?
NIM?
LDR?
13.82008
5.450379
-0.916454
-0.565656
4.906492
-1.320258
105.2751
1.746766
7.688633
0.864391
3.244449
1.078197
0.131276
3.120269
-0.119196
-0.654399
1.512273
-1.224506
0.8961
0.0029
0.9056
0.5157
0.1364
0.2262
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)
0.455793
0.116947
38.34657
77934.35
-419.1482
1.345132
0.165163
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
10.54161
40.80685
10.41720
11.38089
10.80525
3.004012
Sumber: hasil Penelitian, 2016 (data diolah)
103
Universitas Sumatera Utara
91
Universitas Sumatera Utara
LAMPIRAN 1
DAFTAR POPULASI &PENENTUAN SAMPEL PENELITIAN
No.
Kode
1
AGRO
2
3
4
5
6
AGRS
ARTO
BABP
BACA
BBCA
7
BBHI
8
9
BBKP
BBMD
10
BBNI
11
BBNP
12
BBRI
13
BBTN
14
15
BBYB
BCIC
16
BDMN
17
BEKS
18
Nama Bank
Bank Rakyat Indonesia Agro
Niaga Tbk
Bank Agris Tbk
Bank Artos Indonesia Tbk
Bank MNC Internasional Tbk
Bank Capital Indonesia Tbk
Bank Central Asia Tbk
Bank Harda Internasional
Tbk
Bank Bukopin Tbk
Bank Mestika Dharma Tbk
Bank Negara Indonesia
(Persero) Tbk
Bank Nusantara Parahyangan
Tbk
Bank Rakyat Indonesia
(Persero) Tbk
Bank Tabungan Negara
(Persero) Tbk
Bank Yudha Bhakti Tbk
Bank J Trust Indonesia Tbk
Bank Danamon Indonesia
Tbk
Kriteria Sampel
1
2
3
Sampel
√
√
√
Sampel 1
√
√
√
√
√
X
X
√
√
√
√
√
√
Sampel 2
Sampel 3
Sampel 4
√
X
√
√
√
X
√
Sampel 5
√
√
√
Sampel 6
√
√
√
Sampel 7
√
√
√
Sampel 8
√
√
√
Sampel 9
√
√
X
√
X
√
√
√
Bank Pundi Indonesia Tbk
√
√
√
BINA
Bank Ina Perdana Tbk
√
Sampel
10
Sampel
11
X
19
BJBR
Bank Jabar Banten Tbk
√
√
√
Sampel
12
20
BJTM
Bank Pembangunan Daerah
Jawa Timur Tbk
√
X
21
BKSW
Bank QNB Indonesia Tbk
√
√
√
22
BMAS
Bank Maspion Indonesia Tbk
√
Sampel
13
X
23
BMRI
Bank Mandiri (Persero) Tbk
√
√
√
24
BNBA
Bank Bumi Artha Tbk
√
√
√
25
BNGA
Bank CIMB Niaga Tbk
√
√
√
Sampel
14
Sampel
15
Sampel
16
92
Universitas Sumatera Utara
LANJUTAN LAMPIRAN 1
No.
Kode
26
BNII
27
BNLI
28
BSIM
29
BSWD
30
BTPN
31
BVIC
32
DNAR
33
INPC
34
MAYA
35
MCOR
36
MEGA
37
NAGA
38
NISP
39
Nama Bank
Kriteria Sampel
1
2
3
Sampel
Bank Maybank Indonesia
Tbk
Bank Permata Tbk
√
√
√
Sampel
17
Sampel
18
Sampel
19
Sampel
20
Sampel
21
Sampel
22
√
√
√
Bank Sinar Mas Tbk
√
√
√
Bank of India Indonesia Tbk
√
√
√
Bank Tabungan Pensiunan
Nasional Tbk
Bank Victoria Internasional
Tbk
Bank Dinar Indonesia Tbk
Bank Artha Graha
International Tbk
Bank Mayapada International
Tbk
Bank Windu Kentjana
International Tbk
√
√
√
√
√
√
√
X
√
√
√
√
√
√
√
√
√
Bank Mega Tbk
√
√
√
Bank Mega Tbk
√
Sampel
23
Sampel
24
Sampel
25
Sampel
26
X
Bank Mitraniaga Tbk
√
√
√
NOBU
Bank NISP OCBC Tbk
√
Sampel
27
X
40
PNBN
Bank Nationalnobu Tbk
√
√
√
41
PNBS
X
42
SDRA
Bank Pan Indonesia Tbk
Bank Pan Indonesia Syariah
Tbk
√
Sampel
28
√
√
√
Sampel
29
Sumber: www.idx.co.id
93
Universitas Sumatera Utara
LAMPIRAN 2
DATA KEUANGAN SAMPEL PENELITIAN (dalam %)
Kode
Emitem
AGRO
BABP
BACA
BBCA
BBKP
BBNI
BBNP
BBRI
BBTN
BDMN
BEKS
Tahun
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
CAR
(%)
NPL
(%)
NPM
(%)
NIM
(%)
LDR
(%)
Return
Saham
(%)
14.8
21.6
19.06
11.21
13.09
17.79
18.00
20.13
16.43
14.24
15.66
16.86
16.34
15.12
14.21
16.67
15.09
16.22
12.17
15.75
16.6
16.95
16.99
18.31
17.69
15.62
14.64
18.38
17.48
18.17
3.68
2.27
2.02
5.78
4.88
5.88
2.11
0.37
0.34
0.4
0.4
0.6
2.66
2.26
2.78
2.84
2.17
1.96
0.58
0.45
1.41
1.78
1.55
1.69
4.09
4.05
4.01
2.4
1.9
2.3
9.95
6.75
6.94
10.44
12.47
14.26
0.15
-11.95
-7.17
11.06
12.72
9.41
41.59
37.72
37.04
16.34
15.71
10.25
31.04
34.24
32.46
11.61
11.61
8.94
37.67
35.91
32.29
15.47
14.49
8.71
21.83
20.66
11.67
3.14
5.94
-7.09
6
5.31
4.62
5.44
4.84
3.43
4.66
4.67
3.96
5.6
6.2
6.5
4.56
3.82
3.7
5.93
6.11
6.2
5.56
5.16
4.69
8.42
8.55
8.51
5.83
5.44
4.47
10.1
9.6
8.4
82.48
87.11
88.49
79.48
80.14
80.35
59.06
63.35
58.13
68.6
75.4
76.8
83.81
85.8
83.89
77.52
85.3
87.81
84.94
84.44
85.19
79.85
88.54
81.68
100.9
104.42
108.61
100.7
95.1
92.6
24.58
-19.73
-12.71
58.49
20.83
36.84
-25
-26.67
9.09
13.75
5.49
36.72
6.9
0
20.97
-2.7
6.76
54.43
0
13.85
56.08
2.96
4.32
60.69
19.83
-40
38.51
37.8
-33.19
19.87
16.64
13.04
9.65
83.68
88.46
86.11
3.45
-30
-4.76
13.27
11.43
10.05
94
Universitas Sumatera Utara
LANJUTAN LAMPIRAN 2
Kode
Emitem
BJBR
BKSW
BMRI
BNBA
BNGA
BNII
BNLI
BSIM
BSWD
BTPN
BVIC
INPC
Tahun
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
CAR
(%)
NPL
(%)
NPM
(%)
NIM
(%)
LDR
(%)
18.11
16.51
16.39
2.07
2.83
4.15
0.73
0.23
0.31
1.74
1.6
1.66
0.83
0.21
0.25
2.29
2.23
3.9
0.81
1.55
1.48
1.37
1.02
1.7
3.18
2.5
3
0.14
1.6
1.78
0.6
0.7
0.7
2.3
0.7
3.52
0.8
1.7
1.69
17.56
16.92
12.74
-8.77
0.66
9.9
37.7
37.5
32.97
18.33
14.15
9.76
26.24
24.04
11.26
12.77
14.02
5.32
14.89
14.47
10.21
15.7
15.9
8.63
26.97
29.54
24.05
21.3
19.47
15.2
18.4
16.4
5.2
6.76
11.64
4.92
6.76
7.96
6.79
74.09
96.47
93.18
Return
Saham
(%)
16.48
-16.04
-17.98
4.63
2.82
2.8
5.58
5.68
5.94
7.13
6.61
5.81
87.37
113.3
93.47
77.66
82.97
82.02
77.95
83.96
79.45
-2.82
-34.78
-8.89
20
-3.09
37.26
18.71
-4.85
0.64
5.87
5.34
5.36
5.73
4.94
4.76
5.03
4.22
3.63
5.72
5.23
5.87
5.12
5.32
4.8
13.1
12.7
11.4
3.12
2.33
1.88
4.22
5.31
4.75
95.04
94.49
99.46
87.34
89.04
92.67
89.52
89.24
89.13
80.78
78.72
83.88
93.21
93.76
88.06
86
88
87
67.59
73.39
70.25
87.42
88.87
87.62
-9.84
-16.36
-9.24
-3.57
-23.46
-32.9
-2.94
-4.55
19.44
-16.67
6.67
41.25
160
-58.33
69.23
54.41
-18.1
-8.14
-9.3
6.84
-4
15.625
-18.02
-13.19
27.76
18.73
15.1
15.48
14.93
16.6
19.18
16.99
15.07
15.16
15.36
15.58
12.83
12.72
15.72
12.83
12.72
15.72
18.09
21.82
18.38
21.1
15.26
14.27
21.5
23.1
23.3
18.53
18.45
18.25
16.45
17.31
15.76
95
Universitas Sumatera Utara
LANJUTAN LAMPIRAN 2
Kode
Emitem
MAYA
MCOR
MEGA
NISP
PNBN
SDRA
Tahun
CAR
(%)
NPL
(%)
NPM
(%)
NIM
(%)
LDR
(%)
Return
Saham
(%)
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
2012
2013
2014
10.93
14.07
10.44
15.19
15.88
15.2
16.83
15.74
15.23
16.49
19.28
18.74
14.67
15.32
15.62
14.7
13.07
21.71
3.2
1.04
1.46
1.98
1.69
2.71
2.09
2.17
2.09
0.91
0.73
1.34
1.69
2.13
2.05
1.99
2.64
2.51
16.84
17.09
12.22
15.73
12.06
5.88
24.68
10.79
10.02
18.59
18.58
16.85
19.81
18.91
16.67
14.82
12.08
54.89
6.00
5.75
4.25
5.18
4.87
3.76
6.45
5.38
5.27
4.17
4.11
4.15
4.19
4.09
3.83
8.28
7.19
1.89
80.58
85.61
81.52
80.22
82.73
84.03
52.39
57.41
68.85
86.79
92.49
93.59
88.46
87.71
90.51
84.39
90.59
101.2
137.77
-19.12
-31.64
-5.32
-28.65
61.41
-4.29
-38.81
-2.44
41.67
-19.61
10.57
-19.23
4.76
76.515
204.54
32.84
29.21
Sumber: www.idx.co.id
96
Universitas Sumatera Utara
LAMPIRAN 3
HASIL PENGUJIAN EVIEWS
1. Statistik Deskriptif
Mean
Median
Maximum
Minimum
Std. Dev.
Observations
CAR
16.39299
15.88000
27.76000
10.05000
2.971285
87
LDR
84.82966
85.80000
113.3000
52.39000
10.52518
87
NIM
5.846897
5.340000
16.64000
1.880000
2.495491
87
NPL
2.132644
1.900000
9.950000
0.140000
1.650143
87
NPM
16.43517
14.89000
54.89000
-11.95000
11.53292
87
RETURN
SAHAM
10.54161
0.640000
204.5400
-58.33000
40.80685
87
Sumber: Hasil Penelitian, 2016 (data diolah)
2. Uji Normalitas
12
Series: RESID
Sample 1 87
Observations 87
10
8
6
4
2
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-4.839009
-10.24142
65.98715
-74.98704
27.45321
0.403137
2.947863
Jarque-Bera
Probability
2.366390
0.306298
0
-70 -60 -50 -40 -30 -20 -10
0
10
20
30
40
50
60
70
Sumber: Hasil Penelitian, 2016 (data diolah)
3. Uji Multikolinieritas
CAR
LDR
NIM
NPL
NPM
CAR
1
0.0134629961
0.02550363406
-0.3389781146
0.12015141651
LDR
0.01346299611
1
0.0583738840
0.08983177607
-0.0250822268
NIM
0.02550363406
0.0583738840
1
0.33680041212
0.05555050721
NPL
NPM
-0.3389781146 0.12015141651
0.0898317760 -0.02508222684
0.33680041212 0.0555505072
1
-0.35761618862
-0.3576161886
1
Sumber: Hasil Penelitian, 2016 (data diolah)
97
Universitas Sumatera Utara
4. Uji Autokorelasi
Dependent Variable: RETURNSAHAM
Method: Least Squares
Date: 05/12/16 Time: 05:44
Sample: 1 87
Included observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
CAR
LDR
NIM
NPL
NPM
C
-0.404225
0.057204
0.333232
1.018228
0.447509
0.840728
1.631575
0.429591
1.979785
3.387240
0.426419
46.28606
-0.247751
0.133158
0.168317
0.300607
1.049458
0.018164
0.8050
0.8944
0.8668
0.7645
0.2971
0.9856
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.016253
-0.044472
41.70436
140879.6
-444.9019
0.267651
0.929524
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
10.54161
40.80685
10.36556
10.53562
10.43404
1.952740
Sumber: Hasil Penelitian, 2016 (data diolah)
5. Uji Heteroskedastisitas
Heteroskedasticity Test: White
F-statistic
Obs*R-squared
Scaled explained SS
0.953439
19.50167
75.20073
Prob. F(20,66)
Prob. Chi-Square(20)
Prob. Chi-Square(20)
0.5263
0.4895
0.0000
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 05/12/16 Time: 05:45
Sample: 1 87
Included observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
CAR
CAR^2
CAR*LDR
CAR*NIM
CAR*NPL
CAR*NPM
LDR
LDR^2
LDR*NIM
40901.93
-4171.125
30.78804
61.17156
-323.9921
-94.74199
-17.05741
-944.6509
0.992367
-77.61772
61127.35
3627.224
60.06343
34.97917
123.8560
178.0863
23.01300
783.7102
3.394481
45.21194
0.669126
-1.149950
0.512592
1.748800
-2.615877
-0.532001
-0.741208
-1.205357
0.292347
-1.716753
0.5057
0.2543
0.6099
0.0850
0.0110
0.5965
0.4612
0.2324
0.7709
0.0907
98
Universitas Sumatera Utara
LDR*NPL
LDR*NPM
NIM
NIM^2
NIM*NPL
NIM*NPM
NPL
NPL^2
NPL*NPM
NPM
NPM^2
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
-4.199468
13.13130
11694.67
93.22269
-290.9290
19.97959
5392.437
-194.3856
-103.9263
-195.6419
-13.94950
0.224157
-0.010947
4884.584
1.57E+09
-850.3947
0.953439
0.526311
52.99505
7.251836
4461.175
101.9217
242.5295
38.38499
5293.022
374.2181
69.82702
672.4809
4.543364
-0.079243
1.810756
2.621433
0.914650
-1.199561
0.520505
1.018782
-0.519445
-1.488340
-0.290926
-3.070302
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.9371
0.0747
0.0109
0.3637
0.2346
0.6045
0.3120
0.6052
0.1414
0.7720
0.0031
1619.305
4858.067
20.03206
20.62728
20.27174
1.838707
Sumber: Hasil Penelitian, 2016 (data diolah)
6. Common Effect Model (CEM)
Dependent Variable: RETURNSAHAM?
Method: Pooled Least Squares
Date: 05/18/16 Time: 14:28
Sample: 2012 2014
Included observations: 3
Cross-sections included: 29
Total pool (balanced) observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
CAR?
NPL?
NPM?
NIM?
LDR?
C
3.138386
3.954204
0.856367
0.861053
0.005852
-70.13366
1.353878
3.108266
0.400246
1.705870
0.404880
42.21956
2.318071
1.272158
2.139600
0.504759
0.014453
-1.661165
0.0230
0.2070
0.0354
0.6151
0.9885
0.1005
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.126833
0.072934
39.29058
125043.7
-439.7149
2.353149
0.047822
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
10.54161
40.80685
10.24632
10.41638
10.31480
1.962194
Sumbe: Hasil Penelitian, 2016 (data diolah)
99
Universitas Sumatera Utara
7. Fixed Effect Model (FEM)
Dependent Variable: RETURNSAHAM?
Method: Pooled Least Squares
Date: 05/18/16 Time: 14:28
Sample: 2012 2014
Included observations: 3
Cross-sections included: 29
Total pool (balanced) observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
CAR?
NPL?
NPM?
NIM?
LDR?
C
Fixed Effects (Cross)
_1--C
_2--C
_3--C
_4--C
_5--C
_6--C
_7--C
_8--C
_9--C
_10--C
_11--C
_12--C
_13--C
_14--C
_15--C
_16--C
_17--C
_18--C
_19--C
_20--C
_21--C
_22--C
_23--C
_24--C
_25--C
_26--C
_27--C
_28--C
_29--C
5.450379
-0.916454
-0.565656
4.906492
-1.320258
13.82008
1.746766
7.688633
0.864391
3.244449
1.078197
105.2751
3.120269
-0.119196
-0.654399
1.512273
-1.224506
0.131276
0.0029
0.9056
0.5157
0.1364
0.2262
0.8961
-20.23227
33.09178
-62.30074
9.487137
14.62999
19.53248
22.24522
3.784555
28.59448
-10.62987
-30.46530
-19.78453
-27.80447
19.40859
-19.47549
4.868398
-8.378881
20.72411
-19.46813
42.09905
-62.60412
-25.80985
-10.51743
16.12438
5.667365
-54.67134
8.876193
33.79104
89.21766
Effects Specification
Cross-section fixed (dummy variables)
R-squared
Adjusted R-squared
S.E. of regression
0.455793
0.116947
38.34657
Mean dependent var
S.D. dependent var
Akaike info criterion
10.54161
40.80685
10.41720
100
Universitas Sumatera Utara
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
77934.35
-419.1482
1.345132
0.165163
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
11.38089
10.80525
3.004012
Sumber: Hasil Penelitian, 2016 (data diolah)
8. Uji Chow
Redundant Fixed Effects Tests
Pool: DATAPANEL
Test cross-section fixed effects
Effects Test
Statistic
Cross-section F
Cross-section Chi-square
d.f.
Prob.
1.144185
41.133321
(28,53)
28
0.3293
0.0522
Cross-section fixed effects test equation:
Dependent Variable: RETURNSAHAM?
Method: Panel Least Squares
Date: 05/17/16 Time: 17:16
Sample: 2012 2014
Included observations: 3
Cross-sections included: 29
Total pool (balanced) observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
CAR?
NPL?
NPM?
NIM?
LDR?
C
3.138386
3.954204
0.856367
0.861053
0.005852
-70.13366
1.353878
3.108266
0.400246
1.705870
0.404880
42.21956
2.318071
1.272158
2.139600
0.504759
0.014453
-1.661165
0.0230
0.2070
0.0354
0.6151
0.9885
0.1005
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.126833
0.072934
39.29058
125043.7
-439.7149
2.353149
0.047822
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
10.54161
40.80685
10.24632
10.41638
10.31480
1.962194
Sumber: Hasil Penelitian, 2016 (data diolah)
101
Universitas Sumatera Utara
9. Random Effect Model (REM)
Dependent Variable: RETURNSAHAM?
Method: Pooled EGLS (Cross-section random effects)
Date: 05/11/16 Time: 20:55
Sample: 2012 2014
Included observations: 3
Cross-sections included: 29
Total pool (balanced) observations: 87
Swamy and Arora estimator of component variances
Variable
Coefficient
Std. Error
t-Statistic
Prob.
CAR?
NPL?
NPM?
NIM?
LDR?
C
3.138386
3.954204
0.856367
0.861053
0.005852
-70.13366
1.321349
3.033585
0.390630
1.664884
0.395153
41.20518
2.375137
1.303475
2.192273
0.517185
0.014809
-1.702059
0.0199
0.1961
0.0312
0.6064
0.9882
0.0926
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.126833
0.072934
39.29058
2.353149
0.047822
Mean dependent var
S.D. dependent var
Sum squared resid
Durbin-Watson stat
10.54161
40.80685
125043.7
1.962194
Sumber: Hasil Penelitian, 2016 (data diolah)
10. Uji Hausman
Correlated Random Effects - Hausman Test
Pool: DATAPANEL
Test cross-section random effects
Test Summary
Cross-section random
Chi-Sq.
Statistic
Chi-Sq. d.f.
Prob.
10.520705
5
0.0618
** WARNING: estimated cross-section random effects variance is zero.
Cross-section random effects test comparisons:
Variable
CAR?
NPL?
NPM?
NIM?
LDR?
Fixed
5.450379
-0.916454
-0.565656
4.906492
-1.320258
Random
Var(Diff.)
Prob.
3.138386
3.954204
0.856367
0.861053
0.005852
1.305226
49.912439
0.594579
7.754611
1.006362
0.0430
0.4906
0.0652
0.1463
0.1862
102
Universitas Sumatera Utara
Cross-section random effects test equation:
Dependent Variable: RETURNSAHAM?
Method: Panel Least Squares
Date: 05/11/16 Time: 20:56
Sample: 2012 2014
Included observations: 3
Cross-sections included: 29
Total pool (balanced) observations: 87
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
CAR?
NPL?
NPM?
NIM?
LDR?
13.82008
5.450379
-0.916454
-0.565656
4.906492
-1.320258
105.2751
1.746766
7.688633
0.864391
3.244449
1.078197
0.131276
3.120269
-0.119196
-0.654399
1.512273
-1.224506
0.8961
0.0029
0.9056
0.5157
0.1364
0.2262
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)
0.455793
0.116947
38.34657
77934.35
-419.1482
1.345132
0.165163
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
10.54161
40.80685
10.41720
11.38089
10.80525
3.004012
Sumber: hasil Penelitian, 2016 (data diolah)
103
Universitas Sumatera Utara