Lampiran 1 Data closed saham DATE BUMI DOID PTBA PTRO MEDC TINS CTTH MITI IHSG
Lampiran 1 Data closed saham DATE BUMI DOID PTBA PTRO MEDC TINS CTTH MITI
IHSG
Jan 1, 2007 1,080.00 3,125.00 5,300.00 3,425.00 7,850.00 35.00 32.00 1,757.26 Feb 1,2007 1,210.00 440.00 3,300.00 5,350.00 3,650.00 9,600.00 38.00 50.00 1,740.97 Mar 1,2007 1,330.00 520.00 3,450.00 5,350.00 3,575.00 11,850. 40.00 76.00 1,830.92 Apr 1,2007 1,380.00 770.00 3,900.00 5,500.00 3,525.00 11,950.0 71.00 129.0 1,999.17 May1,2007 1,750.00 830.00 5,250.00 6,400.00 3,575.00 11,650.0 84.00 220.0 2,084.32 Jun 1, 2007 2,275.00 800.00 6,550.00 6,300.00 3,525.00 12,150.0 90.00 146.0 2,139.28 Jul 1, 2007 2,700.00 1,030.00 6,650.00 6,300.00 4,275.00 14,100.0 89.00 166.0 2,348.67 Aug1,2007 2,550.00 1,040.00 5,750.00 5,500.00 3,900.00 12,300.00 81.00 164.0 2,194.34
Sept3,2007 3,575.00 1,130.00 6,550.00 6,000.00 4,150.00 13,250.00 101.0 159.0 2,359.21
Oct 1,2007 4,800.00 1,100.00 9,050.00 6,400.00 4,675.00 19,500.00 102.0 120.0 2,643.49
Nov1,2007 5,650.00 1,240.00 12,100.0 6,100.00 5,400.00 25,000.00 91.00 107.0 2,688.33 Dec 3,2007 6,000.00 1,170.00 12,000.0 5,700.00 5,150.00 28,700.00 87.00 107.0 2,745.83 Jan 1, 2008 6,400.00 1,150.00 11,400.0 5,300.00 4,050.00 28,800.00 69.00 86.00 2,627.25 Feb 1,2008 7,700.00 1,100.00 11,450.0 5,300.00 4,125.00 32,550.00 73.00 103.0 2,721.94 Mar 3,2008 6,200.00 1,250.00 10,050.0 4,700.00 3,325.00 28,950.00 60.00 95.00 2,447.30 Apr 1,2008 6,650.00 730.00 10,600.0 4,900.00 3,925.00 32,150.00 55.00 80.00 2,304.52 May1,2008 8,050.00 820.00 14,600.0 6,300.00 5,050.00 33,950.00 71.00 89.00 2,444.35 Jun 2, 2008 8,200.00 830.00 16,400.0 6,300.00 4,725.00 37,450.00 64.00 113.0 2,349.10 Jul 1, 2008 6,750.00 780.00 13,650.0 6,100.00 4,600.00 31,950.00 56.00 101.0 2,304.51 Aug1,2008 5,500.00 760.00 14,500.0 5,700.00 4,900.00 2,575.00 55.00 93.00 2,165.94 Sept1,2008 3,200.00 660.00 9,350.00 5,400.00 3,625.00 1,660.00 50.00 67.00 1,832.51 Oct 6,2008 2,175.00 520.00 5,475.00 3,900.00 2,100.00 1,160.00 50.00 50.00 1,256.70 Nov6,2008 1,010.00 620.00 6,900.00 3,700.00 1,850.00 1,050.00 50.00 50.00 1,241.54 Dec 1,2008 910.00 510.00 6,900.00 3,600.00 1,870.00 1,080.00 50.00 50.00 1,355.41 Jan 1, 2009 510.00 510.00 7,400.00 4,000.00 1,700.00 1,090.00 50.00 50.00 1,332.67 Feb 2,2009 770.00 510.00 7,200.00 10,100.0 2,060.00 1,060.00 50.00 50.00 1,285.48 Mar 1,2009 820.00 520.00 6,750.00 10,350. 2,200.00 1,060.00 50.00 50.00 1,434.07 Apr 1,2009 1,480.00 540.00 9,500.00 9,750.00 2,625.00 1,420.00 50.00 53.00 1,722.77 May1,2009 1,960.00 500.00 11,250.0 9,900.00 3,300.00 1,970.00 52.00 61.00 1,916.83 Jun 1, 2009 1,860.00 960.00 11,600.0 9,900.00 3,050.00 2,025.00 62.00 69.00 2,026.78 Jul 1, 2009 2,800.00 1,270.00 13,600.0 10,200.0 3,325.00 2,100.00 69.00 69.00 2,323.24 Aug3,2009 2,900.00 1,980.00 13,000.0 10,100.0 2,925.00 2,075.00 66.00 59.00 2,341.54 Sept1,2009 3,225.00 1,880.00 14,100.0 8,500.00 2,900.00 2,150.00 64.00 62.00 2,467.59 Oct 1,2009 2,375.00 1,830.00 15,200.0 10,400.0 2,725.00 1,950.00 65.00 56.00 2,367.70 Nov1,2009 2,350.00 1,530.00 16,450.0 10,750.0 2,500.00 1,890.00 63.00 54.00 2,415.84Dec 1,2009 2,425.00 1,690.00 17,250.0 9,000.00 2,450.00 2,000.00 68.00 55.00 2,534.36 Jan 1, 2010 2,475.00 1,790.00 17,200.0 10,200.0 2,400.00 2,225.00 66.00 50.00 2,610.80 Feb 1,2010 2,250.00 1,570.00 15,600.0 8,400.00 2,475.00 2,150.00 69.00 50.00 2,549.03 Mar 1,2010 2,250.00 1,070.00 17,400.0 9,000.00 2,600.00 2,375.00 73.00 51.00 2,777.30 Apr 1,2010 2,375.00 1,050.00 18,600.0 9,000.00 2,950.00 2,700.00 80.00 57.00 2,971.25 May1,2010 2,025.00 800.00 17,450.0 9,000.00 2,850.00 2,225.00 67.00 51.00 2,796.96 Jun 1, 2010 1,880.00 990.00 17,250.0 11,000.0 2,950.00 2,150.00 69.00 59.00 2,913.68 Jul 1, 2010 1,720.00 1,000.00 16,700.0 13,600.0 3,000.00 2,475.00 73.00 60.00 3,069.28 Aug1,2010 1,660.00 800.00 17,500.0 20,000.0 3,075.00 2,375.00 71.00 54.00 3,081.88 Sept1,2010 2,125.00 1,030.00 19,450.0 27,600.0 3,325.00 3,150.00 75.00 57.00 3,501.30 Oct 1,2010 2,225.00 1,070.00 19,650.0 32,000.0 4,075.00 2,850.00 76.00 55.00 3,635.32 Nov1,2010 2,650.00 1,260.00
18,700.0 3,350.00 2,625.00 74.00 55.00 3,531.21 Dec 1,2010 3,025.00 1,610.00 22,950.0 26,100.0 3,375.00 2,750.00 72.00 54.00 3,703.51 Jan 1, 2011 2,725.00 1,280.00 19,750.0 21,000.0 2,750.00 69.00 51.00 3,409.17 2,700.00 76.00 50.00 3,470.35 2011 3,350.00 1,120.00 21,000.0 27,000.0 2,875.00 2,775.00 74.00 51.00 3,678.67 3,425.00 1,300.00 22,300.0 36,000.0 2,750.00 2,875.00
72.00 52.00 3,819.62 3,300.00 1,170.00 21,250.0 40,500.0 2,600.00 2,600.00 74.00 55.00 3,836.97 2,950.00 1,010.00 20,800.0 37,000.0 2,350.00 2,500.00 73.00 53.00 3,888.57 3,050.00 980.00 21,300.0 34,050.0 2,500.00 2,450.00 74.00 61.00 4,130.80 2,525.00 860.00 19,050.0 30,000.0 2,375.00 2,225.00 84.00 54.00 3,841.73 1,950.00 690.00 16,800.0 32,000. 2,150.00 1,770.00 80.00 50.00 3,549.03 2011 2,350.00 630.00 18,350.0 45,000.0 2,325.00 1,990.00 76.00 52.00 3,790.85 Nov1,2011 2,000.00 630.000 31,000.0 2,325.00 1,730.00 67.00 51.00 3,715.08 Dec 1,2011 2,175.00 660.00 34,000.0 2,475.00 1,660.00 69.00 52.00 3,821.99
Lampiran 2 Return saham emiten
DATE RBUMI RDOID RPTBA RPTRO RMEC RTINS RCTH RMITI RIHSG Jan1,07 0.2 -1 -0.11347 -0.1239 -0.03521 0.774011 -0.0857 -0.0267291 Feb 1,2007 0.120370 -1 0.056 0.00943 0.065693 0.222929 0.0857 0.5625
- 0.00927011
- 0.020547 945 0.234375
- 0.013986
- 0.025104
- 0.036144
- 0.01562
- 0.013986
- 0.336363
Mar 1, 2007
- 0.0111
- 0.055555 556
- 0.135338
- 0.12698
- 0.087719
- 0.127659
- 0.0898
- 0.012048
- 0.06570952
- 0.030487
- 0.026548
- 0.245283
- 0.04687
- 0.1078
- 0.108333
- 0.056451
- 0.008264
- 0.06557
- 0.046296 296 0.148
- 0.0439
- 0.017094 017 -0.05
- 0.07017
- 0.213592
- 0.2068
- 0.196261
- 0.04318548
- 0.043478
- 0.194805
8
024 0.471698
5 0.155080
0.337016 575
0.127272 727
0.177083 333
3 Nov 1, 2007
019 0.12049796
0099
113 0.0099
6667 0.126506
282
389 0.06666
673 0.381679
343
9 Oct 1,2007 0.342657
805 0.07513420
1358
772 0.2469
564 0.077235
214 0.282051
43137
419 0.03604148
321
71014 0.197674
333 0.0579
519 0.130208
965 0.018518
261 0.004385
5 Feb 1, 2008 0.203125
682
96552
233 0.003484
9091 0.064102
5439
667
3 Jan 1, 2008 0.066666
56044 0.02138874
377
463
613
0.061946 903
5 Dec 3, 2007
333 0.01696242
462 0.139130
435 0.09090
0.697368 421
603 0.1830
0.014184 397
0.16363 6364
0.346153 846
0.077922 078
0.268115 942
3 May 1, 2007
0.09189369
014 0.008438 819 0.775
357 0.04259267
0.02803 7383
0.130434 783
0.480769 231
0.037593 985
Apr 1, 2007
0.0526 31579 0.52 0.0516666
545
182 0.045454
5 0.181818
98592 0.705426
6 Jun 1, 2007 0.3
0.099173
11111 0.136986
193
8764
574
298
4127
346
0.009708 738
6 Aug 1, 2007
301 0.09787872
0.160493 827
578 0.247619
0.212765 957
0.015267 176
2 Jul 1, 2007 0.186813 187 0.2875
636 0.02636831
28571
455 0.0714
014 0.042918
5
048
9 Sept3,2007 0.401960 0.086538
- 0.122270
- 0.11320
- 0.193939
- 0.110599
- 0.1780
- 0.077669
- 0.10089862
- 0.0833
- 0.157894
- 0.05834184
- 0.064356
- 0.0985
- 0.03896741
- 0.176829
- 0.060240
- 0.167682
- 0.03174
- 0.026455
- 0.146862 483 -0.125
- 0.106194
- 0.01898173
- 0.185185
- 0.025641
- 0.06557
- 0.919405
- 0.0178
- 0.079207
- 0.06012991
- 0.418181
- 0.131578
- 0.355172
- 0.05263
- 0.260204
- 0.355339
- 0.0909
- 0.279569
- 0.15394239
- 0.320312
- 0.212121
- 0.414438
- 0.27777
- 0.420689
- 0.301204
- 0.253731
- 0.31421929
- 0.535632
- 0.05128
- 0.119047
- 0.094827
- 0.01206334
- 0.099009
- 0.177419
- 0.02702
- 0.439560
- 0.090909
- 0.01677721
- 0.027027 027 1.525
- 0.027522
- 0.03541011
- 0.05797
- 0.074074
- 0.051020
- 0.075757
1111
0.804878 049
3 Apr 1, 2009
165 0.11559106
2475 0.067961
0.019607 843 -0.0625 0.02475
0.064935 065
7 Mar 1, 2009
936
0.211764 706
0.509803 922
1 Feb 2, 2009
259
091 0.009259
768 0.11111
5 Nov 6, 2008
0.038461 538
9 Jan 1, 2009
429 0.09171673
811 0.028571
7027 0.010810
355
901
Dec 1, 2008
586
619
2051
973
692 0.260273
184 0.192307
44 0.072463
1014 0.193181
0.407407 407
576 0.027918
0.035714 286
6 Aug 3, 2009
03226 0.14627142
037 0.1129
934 0.037037
303 0.090163
793 0.03030
667 0.172413
344 0.322916
9 Jul 1, 2009 0.505376
541 0.05736032
07692 0.131147
782 0.1923
111
818 0.339622
0.92 0.031111
408
2 Jun 1, 2009
396 0.11264417
0.04 0.150943
944
857 0.387323
4615 0.257142
526 0.01538
074 0.184210
0.324324 324
8 May 1, 2009
0.06 0.20131513
642
343
655
819
33333
671
122 0.123287
54 0.012195
0.018633
0.2909 09091 0.1125 0.06067641 Jun 2, 2008
0.055987 558
0.286624 204
0.28571 4286
0.377358 491
0.123287 671
0.210526 316
6 May 1, 2008
737
406
7778
128 0.110535
3191 0.180451
368 0.04255
0.072580 645 -0.416 0.054726
4 Apr 1, 2008
903
82192
078
394
7547
742
636
195 0.136363
Mar 3, 2008
436 0.103092
784
91549 0.269662
921
503
212
5
9 Oct 6, 2008
892
09091
806
082
1579
414
947
818
9 Sept 1, 2008
57143
921
026
5 Jul 1, 2008
268
964
927
6032
69
321
8 Aug 1, 2008
185
026 0.062271
062
377 0.065217
391
0.559055 118
- 0.044117
- 0.00980
- 0.120300
- 0.011904
- 0.0434
- 0.144927 0.00787693
- 0.050505
- 0.15841
- 0.008547
- 0.0303
- 0.263565
- 0.026595
- 0.060344
- 0.093023
- 0.096774
- 0.04048079
- 0.010526
- 0.163934
- 0.082568
- 0.030769
- 0.0307
- 0.035714
- 0.16279 0698 -0.02
- 0.002898
- 0.020408 163 0.1125
- 0.0294
- 0.090909
- 0.090909
- 0.122905
- 0.093023
- 0.17647 0588 0.03125
- 0.033707
- 0.02365941
- 0.318471
- 0.018691
- 0.147368
- 0.238095
- 0.061827
- 0.033898
- 0.175925
- 0.105263
- 0.05865881
- 0.1625
- 0.071604 938 0.2375
- 0.011461
- 0.033707
- 0.085106
- 0.031884
- 0.034883 721 -0.2
- 0.040404
- 0.0273 9726 -0.1
- 0.095238
- 0.035087
- 0.048346
- 0.15156
- 0.177914
- 0.078947
- 0.0263
- 0.02863846
- 0.03867
- 0.0270
- 0.018181
383 0.010101
7 Sept 1, 2010
0.00410519
04
0.47058 8235 0.025
0.047904 192
6 Aug 1, 2010
153 0.05340325
71014 0.016949
791 0.0579
153 0.151162
3636 0.016949
058 0.23636
01
2 Jul 1, 2010
571
745 0.04173102
50746 0.156862
865 0.0298
719
2222 0.035087
318 0.22222
4 Jun 1, 2010
158
926
305
957
238
421
0.280120 482 0.2875 0.111428
0.38 0.081300
818 0.04879347
0.177570 093
27027
048
687 0.047619
4033 0.007462
0.227272 727
0.277777 778
0.141509 434
9 Dec 1, 2010
15789
368
11
25
056
0.191011 236
1 May 1, 2010
1 Nov 1, 2010
719 0.03827721
33333
095 0.0133
91
0.225563
0.15942 029
0.010282 776
0.038834 951
0.047058 824
5 Oct 1, 2010
556 0.13609225
38028 0.055555
789 0.0563
813 0.326315
90411 0.117647
059 0.06983401
9412
286 0.02033196
69231
231
807
3846
842 0.03365
426 0.082236
316
3 Nov 1, 2009
194
25
256 0.0156
828
184 0.22352
105 0.0958
745 0.078014
891
3 Oct 1, 2009
458 0.05383209
0303 0.050847
578
009 0.036144
5842
385
051 0.084615
966
2009 0.112068
647 3922 752 762 78261 536 Sept 1,
8 Dec 1, 2009
0.031914 894
0.104575 163
0.048632 219
385 0.136842
517 0.134615
589 0.068965
0.055555 556
2 Apr 1, 2010
0.02 0.08955171
71014
163 0.0579
051 0.104651
8571 0.050505
615 0.07142
338 0.115384
5 Mar 1, 2010
54545
865 0.0454
256
028
091
1 Feb 1, 2010
091 0.03016146
11765
3333
551 0.13333
0.059171 598
0.020618 557
0.018518 519 0.04905954 Jan 1, 2010
0.0793 65079
0.058201 058
3 Jan 1, 2011
- 0.099173
- 0.204968
- 0.139433
- 0.19540
- 0.044444
- 0.0416
- 0.055555
- 0.07947595
- 0.093023
- 0.018181
- 0.019607
- 0.034482
- 0.017094
- 0.0263
- 0.043478
- 0.0270
- 0.036496 35 -0.1
- 0.047085 202 0.125
- 0.054545
- 0.095652
- 0.106060
- 0.136752
- 0.021176
- 0.08641
- 0.096153
- 0.038461
- 0.0135
- 0.036363
- 0.029702
- 0.07972
- 0.172131
- 0.122448
- 0.105633
- 0.11894 2731 -0.05
- 0.091836
- 0.114754
- 0.06997918
- 0.227722
- 0.197674
- 0.118110
- 0.094736
- 0.204494
- 0.0476
- 0.074074
- 0.07618963
- 0.086956
- 0.148936
- 0.073569
- 0.31111
- 0.130653
- 0.1184
- 0.019230
- 0.01998760
- 0.040462
19048
382
842
6667
236 0.06666
419
772
1 Sept 1, 2011
098
35135
735 0.1351
803
98
148
2 Aug 1, 2011
0.06229282
0.150943 396
0.0136 9863
973 0.063829 787 -0.02
074
3 Oct 3, 2011
0.205128 205
769
843 0.02877730
50746 0.019607
428 0.0298
129
4194 0.064516
529 0.09677
048 0.008823
2 Dec 1, 2011 0.0875 0.047619
21053
522 0.092261 905 0.40625
266
1111
482
17
8 Nov 1, 2011
0.04 0.06813692
0.124293 785 -0.05
0.081395 349
462
305
97 0.024038
0.116666 667
7 Apr 1, 2011
0.02 0.06002852
15789
778
017 0.027777
4286
546 0.28571
759 0.047381
7 Mar 1, 2011
06 0.160714
843 0.01794571
49275
818 0.1014
256
873
0.100917 431 -0.09375 0.015189
7 Feb 1, 2011
554 944 551 2299 444 66667 556
0.022388
286 0.061904
1 Jul 1, 2011 0.033898
7 Jun 1, 2011
636 0.01344811
13514
538
846
9753
471
137
606
308 0.00454233
762 0.33333
77778 0.057692
174 0.0277
455
8 May 1, 2011
843 0.03831547
27027 0.019607
036
261 0.036036
3333
8
Lampiran 3 Variabel Makro ekonomi DATE INFLASI KURS JUB (M2)
VOLUME EKSPOR SBI
Jan 1, 2007 6.26% 9090 1367956.94 6,651,034
9.00 Apr 1, 2007 6.29% 9083 1385714.84 8,029,015
7.00 Jul 1, 2009 2.71% 9920 1960950.07 40,114,518
9.25 Jan 1, 2009 9.17% 11355 1874145.25 11,307,163
8.75 Feb 2, 2009 8.60% 11980 1900208.32 12,029,550
8.25 Marc1,2009 7.92% 11575 1916752.36 8,905,918
7.75 Apr 1, 2009 7.31% 10713 1912622.97 26,146,697
7.50 May 1,2009 6.04% 10340 1927069.54 38,714,036
7.25 Jun 1, 2009 3.65% 10225 1977532.44 26,332,127
6.75 Aug 3, 2009 2.75% 10060 1995294.18 31,030,892
9.50 Nov 6, 2008 11.68% 12151 1851023.41 11,270,135
6.50 Sept 1, 2009 2.83% 9681 2018510.3 12,388,938
6.50 Oct 1, 2009 2.57% 9545 2021517.32 22,556,890
6.50 Nov 1, 2009 2.41% 9480 2062206.27 25,951,939
6.50 Dec 1, 2009 2.78% 9400 2141383.7 10,949,776
6.50
9.25 Mar 1, 2007 6.52% 9118 1379237.22 9,011,961
9.50 Dec 1, 2008 11.06% 10950 1895838.62 11,607,313
9.25 Oct 6, 2008 11.77% 10995 1812490.13 6,089,029
9.00 May 1,2007 6.01% 8828 1396067.41 6,481,872
8.25 Dec 3, 2007 6.59% 9419 1649661.79 7,755,121
8.75 Jun 1, 2007 5.77% 9054 1454577.15 11,233,164
8.50 Jul 1, 2007 6.06% 9186 1474768.83 10,538,971
8.25 Aug 1, 2007 6.51% 9410 1493049.73 9,844,778
8.25 Sept 3, 2007 6.95% 9137 1516884.35 11,742,222
8.25 Oct 1, 2007 6.88% 9103 1533845.67 14,380,847
8.25 Nov 1, 2007 6.71% 9376 1559569.17 17,625,479
8.00 Jan 1, 2008 7.36% 9291 1596564.53 10,808,266
9.00 Sept 1, 2008 12.14% 9378 1778138.88 15,024,548
8.00 Feb 1, 2008 7.40% 9051 1603750.38 10,351,758
8.00 Mar 3, 2008 8.17% 9217 1594389.68 8,369,632
8.00 Apr 1, 2008 8.96% 9234 1611690.58 21,504,854
8.00 May 1,2008 10.38% 9318 1641732.98 8,591,866
8.25 Jun 2, 2008 11.03% 9225 1703381.42 5,608,948
8.50 Jul 1, 2008 11.90% 9118 1686050.3 8,646,350
9.50 Feb 1, 2007 6.30% 9160 1369242.72 8,646,304
8.75 Aug 1, 2008 11.85% 9153 1682811.45 7,390,544
Jan 1, 2010 3.72% 9365 2073859.77 23,167,004
6.75 Mar 1, 2011 6.65% 8709 2451367 23,574,899
6.00
6.00 Dec 1, 2011 3.79% 9068 2877220 21,492,812
6.50 Nov 1, 2011 4.15% 9170 2729538 21,723,188
6.75 Oct 3, 2011 4.42% 8835 2677787 31,416,359
6.75 Sept 1, 2011 4.61% 8823 2643330 17,457,339
6.75 Aug 1, 2011 4.79% 8578 2621346 28,356,578
6.75 Jul 1, 2011 4.61% 8508 2564556 22,902,185
6.75 Jun 1, 2011 5.54% 8597 2522784 27,909,484
6.75 May 1,2011 5.98% 8537 2475286 36,297,143
6.75 Apr 1, 2011 6.16% 8574 2434478 46,576,697
6.50 Feb 1, 2010 3.81% 9335 2066480.99 26,208,577
6.50 Mar 1, 2010 3.43% 9115 2112082.7 24,479,687
6.50 Jan 1, 2011 7.02% 9057 2436679 17,087,689
6.50 Dec 1, 2010 6.96% 8991 2471205.79 18,719,772
6.50 Nov 1, 2010 6.33% 9013 2347806.86 30,696,908
6.50 Oct 1, 2010 5.67% 8928 2308845.97 23,391,300
6.50 Sept 1, 2010 5.80% 8924 2274954.57 28,323,953
6.50 Aug 1, 2010 6.44% 9041 2236459.45 23,897,930
6.50 Jul 1, 2010 6.22% 8952 2217588.81 18,741,039
6.50 Jun 1, 2010 5.05% 9083 2231144.33 23,383,364
6.50 May 1,2010 4.16% 9180 2143234.05 26,927,201
6.50 Apr 1, 2010 3.91% 9012 2116023.54 21,255,052
6.50 Feb 1, 2011 6.84% 8823 2420191 9,839,194
Lampiran 4 Perubahan Variabel Makroekonomi DATE PINFLASI PKURS
PJUB (M2) PVS PSBI
Jan 1, 2007 - - - - - Feb 1, 2007 0.00639 0.007701 0.00094 0.299994 -0.02631578
March1,2007 0.034921 -0.004585 0.007299 0.042291 -0.02702702
Apr 1, 2007 -0.035276 -0.003839 0.004697 -0.109071
May 1, 2007 -0.044515 -0.028074 0.007471 -0.192694 -0.02777777
Jun 1, 2007 -0.039933 0.0256 0.04191 0.733012 -0.02857142 Jul 1, 2007 0.05026 0.014579 0.013881 -0.061799 -0.02941176 Aug 1, 2007 0.074257 0.024385 0.012396 -0.065869Sept 3, 2007 0.067588 -0.029012 0.015964 0.192736 Oct 1, 2007 -0.010072 -0.003721 0.011182 0.224713 Nov 1, 2007 -0.024709 0.02999 0.016771 0.225622
Dec 3, 2007 -0.017884 0.004586 0.057768 -0.560005 -0.03030303
Jan 1, 2008 0.116844 -0.01359 -0.032187 0.393694 Feb 1, 2008 0.005435 -0.025831 0.004501 -0.042237 March3,2008 0.104054 0.018341 -0.005837 -0.191477 Apr 1, 2008 0.096695 0.001844 0.010851 1.569391
May 1, 2008 0.158482 0.009097 0.01864 -0.600469 0.03125
Jun 2, 2008 0.06262 -0.009981 0.037551 -0.347179 0.03030303 Jul 1, 2008 0.078876 -0.011599 -0.010175 0.541528 0.029411765Aug 1, 2008 -0.004202 0.003839 -0.001921 -0.145241 0.028571429
Sept 1, 2008 0.024473 0.024582 0.056648 1.032942 0.027777778
Oct 6, 2008 -0.030478 0.172425 0.019319 -0.594728 0.027027027 Nov 6, 2008 -0.007647 0.105139 0.02126 0.850892Dec 1, 2008 -0.053082 -0.09884 0.024211 0.029918 -0.02631578
Jan 1, 2009 -0.170886 0.036986 -0.011443 -0.025859 -0.05405405 Feb 2, 2009 -0.062159 0.055042 0.013907 0.063888 -0.05714285
March1,2009 -0.07907 -0.033806 0.008706 -0.259663 -0.06060606
Apr 1, 2009 -0.07702 -0.074471 -0.002154 1.935879 -0.03225806
May 1, 2009 -0.173735 -0.034818 0.007553 0.480647 -0.03333333
Jun 1, 2009 -0.395695 -0.011122 0.026186 -0.31983 -0.0344827 Jul 1, 2009 -0.257534 -0.029829 -0.008385 0.523406 -0.03571428Aug 3, 2009 0.01476 0.014113 0.017514 -0.226442 -0.03703703
Sept 1, 2009 0.029091 -0.037674 0.011635 -0.600755 Oct 1, 2009 -0.091873 -0.014048 0.00149 0.820728 Nov 1, 2009 -0.062257 -0.00681 0.020128 0.150511 Dec 1, 2009 0.153527 -0.008439 0.038395 -0.578075
Jan 1, 2010 0.338129 -0.003723 -0.031533 1.115751 Feb 1, 2010 0.024194 -0.003203 -0.003558 0.131289 March1,2010 -0.099738 -0.023567 0.022067 -0.065967 Apr 1, 2010 0.139942 -0.0113 0.001866 -0.131727 May 1, 2010 0.063939 0.018642 0.012859 0.266861
Jun 1, 2010 0.213942 -0.010566 0.041018 -0.131608 Jul 1, 2010 0.231683 -0.014423 -0.006076 -0.198531 Aug 1, 2010 0.03537 0.009942 0.00851 0.275166 Sept 1, 2010 -0.099379 -0.012941 0.017213 0.185205
Oct 1, 2010 -0.022414 0.000448 0.014898 -0.174151 Nov 1, 2010 0.116402 0.009521 0.016875 0.312322 Dec 1, 2010 0.099526 -0.002441 0.052559 -0.390174 Jan 1, 2011 0.008621 0.007341 -0.013972 -0.087185
Feb 1, 2011 -0.025641 -0.025836 -0.006767 -0.424194 0.038461538 Mar1, 2011 -0.027778 -0.012921 0.012882 1.396019 Apr 1, 2011 -0.073684 -0.015501 -0.00689 0.97569 May 1, 2011 -0.029221 -0.004315 0.016763 -0.220702
Jun 1, 2011 -0.073579 0.007028 0.019189 -0.231083 Jul 1, 2011 -0.16787 -0.010352 0.016558 -0.179412 Aug 1, 2011 0.039046 0.008228 0.022144 0.23816 Sept 1, 2011 -0.037578 0.028561 0.008387 -0.384364
Oct 3, 2011 -0.041215 0.00136 0.013035 0.799608 -0.03703703
Nov 1, 2011 -0.061086 0.037917 0.019326 -0.308539 -0.07692307
Dec 1, 2011 -0.086747 -0.011123 0.054105 -0.010605Lampiran 5 Lampiran 5 Pengujian Stasioneritas Data
Null Hypothesis: RBUMI has a unit root Exogenous: Constant Lag Length: 5 (Automatic based on AIC, MAXLAG=8) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.090942 0.0022 Test critical values: 1% level -3.560019
5% level -2.917650 10% level -2.596689 *MacKinnon (1996) one-sided p-values. Null Hypothesis: RDOID has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on AIC, MAXLAG=8) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.110901 0.0020 Test critical values: 1% level -3.550396
5% level -2.913549 10% level -2.594521 *MacKinnon (1996) one-sided p-values.
Null Hypothesis: RPTBA has a unit root Exogenous: Constant Lag Length: 3 (Automatic based on AIC, MAXLAG=8) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.619688 0.0004 Test critical values: 1% level -3.555023
5% level -2.915522 10% level -2.595565 *MacKinnon (1996) one-sided p-values. Null Hypothesis: RPTRO has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on AIC, MAXLAG=8) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.725386 0.0000 Test critical values: 1% level -3.548208
5% level -2.912631 10% level -2.594027 *MacKinnon (1996) one-sided p-values.
Null Hypothesis: RMEDC has a unit root Exogenous: Constant Lag Length: 4 (Automatic based on AIC, MAXLAG=8) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.563774 0.0005 Test critical values: 1% level -3.557472
5% level -2.916566 10% level -2.596116 *MacKinnon (1996) one-sided p-values.
Null Hypothesis: RTINS has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on AIC, MAXLAG=8) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.004760 0.0001 Test critical values: 1% level -3.548208
5% level -2.912631 10% level -2.594027 *MacKinnon (1996) one-sided p-values.
Null Hypothesis: RCTTH has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on AIC, MAXLAG=8) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.645999 0.0000 Test critical values: 1% level -3.548208
5% level -2.912631 10% level -2.594027 *MacKinnon (1996) one-sided p-values.
Null Hypothesis: RMITI has a unit root Exogenous: Constant Lag Length: 7 (Automatic based on AIC, MAXLAG=8) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.898461 0.0000 Test critical values: 1% level -3.565430
5% level -2.919952 10% level -2.597905 *MacKinnon (1996) one-sided p-values.
Null Hypothesis: PINFLASI has a unit root Exogenous: None Lag Length: 2 (Automatic based on AIC, MAXLAG=2) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.888314 0.0046 Test critical values: 1% level -2.606911
5% level -1.946764 10% level -1.613062 *MacKinnon (1996) one-sided p-values. Null Hypothesis: PKURS has a unit root Exogenous: Constant Lag Length: 1 (Fixed) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.250875 0.0000 Test critical values: 1% level -3.550396
5% level -2.913549 10% level -2.594521 *MacKinnon (1996) one-sided p-values.
Null Hypothesis: PM2 has a unit root Exogenous: Constant Lag Length: 4 (Fixed) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.600120 0.0004 Test critical values: 1% level -3.557472
5% level -2.916566 10% level -2.596116 *MacKinnon (1996) one-sided p-values.
Null Hypothesis: PVPS has a unit root Exogenous: Constant Lag Length: 4 (Fixed) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.559730 0.0005 Test critical values: 1% level -3.557472
5% level -2.916566 10% level -2.596116 *MacKinnon (1996) one-sided p-values. Null Hypothesis: PSBI has a unit root Exogenous: None Lag Length: 0 (Automatic based on AIC, MAXLAG=2) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.322012 0.0013 Test critical values: 1% level -2.605442
5% level -1.946549 10% level -1.613181 *MacKinnon (1996) one-sided p-values.
Lampiran 6 Pengujian Multikorelasi
PINFLASI PKURS PM2 PVPS PSBI
PINFLASI 1.000000 0.063081 -0.098166 -0.000139 0.404452
PKURS 0.063081 1.000000 0.124747 -0.142736 0.096367 PM2 -0.098166 0.124747 1.000000 -0.234511 0.013586PVPS -0.000139 -0.142736 -0.234511 1.000000 -0.051546 PSBI 0.404452 0.096367 0.013586 -0.051546 1.000000 Lampiran 7 Pengujian Autokorelasi
1. RBUMI
Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.149543 Prob. F(1,52) 0.700550 Obs*R-squared 0.169187 Prob. Chi-Square(1) 0.680835
2. RDOID
Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.056059 Prob. F(1,52) 0.813768
Obs*R-squared 0.063536 Prob. Chi-Square(1) 0.800991
3. RPTBA 4.
Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.220439 Prob. F(1,52) 0.640668 Obs*R-squared 0.249058 Prob. Chi-Square(1) 0.617739
4.RPTRO
Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.216903 Prob. F(1,52) 0.643354 Obs*R-squared 0.245080 Prob. Chi-Square(1) 0.620561
5. RMEDC
Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.000556 Prob. F(1,52) 0.981270 Obs*R-squared 0.000631 Prob. Chi-Square(1) 0.979954
6. RTINS
Breusch-Godfrey Serial Correlation LM Test: F-statistic 6.058289 Prob. F(1,52) 0.017196 Obs*R-squared 6.156555 Prob. Chi-Square 0.091323
7. RCTTH
Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.827514 Prob. F(1,52) 0.367190 Obs*R-squared 0.924203 Prob. Chi-Square(1) 0.336374
Breusch-Godfrey Serial Correlation LM Test: F-statistic 9.610127 Prob. F(1,52) 0.003121 Obs*R-squared 9.202992 Prob. Chi-Square(1) 0.059160
Lampiran 8 Hasil Regresi Emiten Saham
Dependent Variable: RBUMI Method: Least Squares Date: 04/03/12 Time: 23:21 Sample (adjusted): 2007M02 2011M12 Included observations: 59 after adjustments Variable
Coefficie nt Std. Error t-Statistic Prob. C 0.006534 0.036144 0.180788 0.8572 PINFLASI 0.055472 0.259820 0.213502 0.8318 PKURS
- 2.685407 0.757661 -3.544339 0.0008 PM2 0.603509 1.515398 0.398251 0.6920 PVPS 0.058915 0.051255 1.149449 0.2555 PSBI
- 2.436642 1.272782 -1.914422 0.0610 R-squared 0.283184 Mean dependent var 0.038781 Adjusted R-squared 0.215560 S.D. dependent var 0.233516 S.E. of regression 0.206822 Akaike info criterion
- 0.217776 Sum squared resid 2.267084 Schwarz criterion
- 0.006501 Log likelihood 12.42440 F-statistic 4.187612 Durbin-Watson stat 1.893487 Prob(F-statistic) 0.002793 Dependent Variable: RDOID Method: Least Squares
Date: 04/03/12 Time: 23:32 Sample (adjusted): 2007M02 2011M12 Included observations: 59 after adjustments Variable
Coefficie nt Std. Error t-Statistic Prob. C 0.031989 0.041788 0.765499 0.4474 PINFLASI
- 0.170895 0.300391 -0.568909 0.5718 PKURS - 0.875970 -0.159649 0.8738
0.139848
- PM2 0.061690 1.752029 -0.035211 0.9720
- PVPS 0.059555 0.059258 -1.005011 0.3195
- PSBI 2.374028 1.471528 -1.613307 0.1126 R-squared 0.091798 Mean dependent var 0.041131 Adjusted R-squared 0.006119 S.D. dependent var 0.239852 S.E. of regression 0.239117 Akaike info criterion 0.072417 Sum squared resid 3.030378 Schwarz criterion 0.283692
Log likelihood 3.863707 F-statistic 1.071413 Durbin-Watson stat 1.725916 Prob(F-statistic) 0.386715 Dependent Variable: RPTBA Method: Least Squares Date: 04/03/12 Time: 23:34 Sample (adjusted): 2007M02 2011M12 Included observations: 59 after adjustments Coefficie
Variable nt Std. Error t-Statistic Prob.
C 0.022938 0.026060 0.880216 0.3827
- PINFLASI 0.104416 0.187327 -0.557398 0.5796
- PKURS 1.370955 0.546264 -2.509694 0.0152 PM2 0.705997 1.092582 0.646173 0.5210 PVPS 0.045150 0.036954 1.221799 0.2272
- PSBI 0.503459 0.917659 -0.548633 0.5856 R-squared 0.163901 Mean dependent var 0.041216 Adjusted R-squared 0.085024 S.D. dependent var 0.155890
- S.E. of regression 0.149116 Akaike info criterion 0.872044
- Sum squared resid 1.178481 Schwarz criterion 0.660769 Log likelihood 31.72531 F-statistic 2.077923 Durbin-Watson stat 1.879358 Prob(F-statistic) 0.082666
Dependent Variable: RPTRO Method: Least Squares Date: 04/03/12 Time: 23:37 Sample (adjusted): 2007M02 2011M12 Included observations: 59 after adjustments Variable
- 0.123249 1.865770 -0.066058 0.9476 PVPS 0.066678 0.063105 1.056615 0.2955 PSBI
- 2.150359 1.567059 -1.372226 0.1758 R-squared 0.060089 Mean dependent var 0.053322 Adjusted R-squared
- 0.028581 S.D. dependent var 0.251078 S.E. of regression 0.254640 Akaike info criterion 0.198215 Sum squared resid 3.436611 Schwarz criterion 0.409490 Log likelihood 0.152653 F-statistic 0.677669 Durbin-Watson stat 1.870748 Prob(F-statistic) 0.642239
Dependent Variable: RMEDC Method: Least Squares Date: 04/03/12 Time: 23:38 Sample (adjusted): 2007M02 2011M12 Included observations: 59 after adjustments Variable
Coefficie nt Std. Error t-Statistic Prob.
- 0.012099 0.020318 -0.595459 0.5541 PINFLASI 0.081742 0.146056 0.559661 0.5781 PKURS
C
- 1.387157 0.425914 -3.256897 0.0020 PM2 0.298000 0.851870 0.349818 0.7279 PVPS 0.016341 0.028813 0.567136 0.5730
- 1.329402 0.715486 -1.858041 0.0687 R-squared 0.235279 Mean dependent var 0.002927 Adjusted R-squared 0.163135 S.D. dependent var 0.127091 S.E. of regression 0.116263 Akaike info criterion
PSBI
- 1.369774 Sum squared resid 0.716410 Schwarz criterion
- 1.158499 Log likelihood 46.40832 F-statistic 3.261262 Durbin-Watson stat 1.999127 Prob(F-statistic) 0.012185 Dependent Variable: RTINS Method: Least Squares
Date: 04/03/12 Time: 23:40 Sample (adjusted): 2007M02 2011M12 Included observations: 59 after adjustments Variable
Coefficie nt Std. Error t-Statistic Prob.
- 0.019262 0.031640 -0.608782 0.5453 PINFLASI 0.201932 0.227442 0.887838 0.3786 PKURS
C
- 1.650004 0.663245 -2.487775 0.0160 PM2 0.506311 1.326557 0.381673 0.7042 PVPS 0.045521 0.044868 1.014563 0.3149 PSBI
- 2.646451 1.114175 -2.375257 0.0212 R-squared 0.218997 Mean dependent var 0.011878 Adjusted R-squared 0.145317 S.D. dependent var 0.195836 S.E. of regression 0.181049 Akaike info criterion
- 0.483959 Sum squared resid 1.737264 Schwarz criterion
- 0.272684 Log likelihood 20.27679 F-statistic 2.972283 Durbin-Watson stat 1.381165 Prob(F-statistic) 0.019433 Dependent Variable: RCTTH Method: Least Squares
Variable nt Std. Error t-Statistic Prob.
C 0.031141 0.023829 1.306838 0.1969
- PINFLASI 0.214410 0.171294 -1.251711 0.2162
- PKURS 0.625907 0.499510 -1.253042 0.2157
- PM2 0.096681 0.999069 -0.096771 0.9233
- PVPS 0.049349 0.033791 -1.460403 0.1501 PSBI 0.559453 0.839118 0.666715 0.5078 R-squared 0.087633 Mean dependent var 0.019038 Adjusted R-squared 0.001560 S.D. dependent var 0.136460
- S.E. of regression 0.136353 Akaike info criterion 1.050994
- Sum squared resid 0.985384 Schwarz criterion 0.839719 Log likelihood 37.00433 F-statistic 1.018128 Durbin-Watson stat 1.747262 Prob(F-statistic) 0.416391 Dependent Variable: RMITI Method: Least Squares
Date: 04/03/12 Time: 23:42 Sample (adjusted): 2007M02 2011M12 Included observations: 59 after adjustments Coefficie
Variable nt Std. Error t-Statistic Prob.
C 0.041525 0.033306 1.246760 0.2180
- PINFLASI 0.038504 0.239416 -0.160823 0.8728
- PKURS 1.512024 0.698163 -2.165720 0.0349 >PM2 0.965315 1.396395 -0.691291 0.4924
- PVPS 0.047230 -2.068442 0.0435
0.097692
- PSBI 1.283064 1.172832 -1.093988 0.2789 R-squared 0.162155 Mean dependent var 0.024728 Adjusted R-squared 0.083113 S.D. dependent var 0.199031
- S.E. of regression 0.190580 Akaike info criterion 0.381344
- Sum squared resid 1.925002 Schwarz criterion 0.170069 Log likelihood 17.24964 F-statistic 2.051505 Durbin-Watson stat 1.075512 Prob(F-statistic) 0.086247
Lampiran 8 Regres Panel
Dependent Variable: RETURN? Method: Pooled Least Squares Date: 06/09/12 Time: 08:52 Sample (adjusted): 2007M02 2011M12 Included observations: 59 after adjustments Cross-sections included: 8 Total pool (balanced) observations: 472 Coefficie
Variable nt Std. Error t-Statistic Prob.
C 0.016569 0.011729 1.412656 0.1584
- PINFLASI? 0.015961 0.084311 -0.189305 0.8499
- PKURS? 1.140362 0.245859 -4.638277 0.0000 PM2? 0.108360 0.491743 0.220360 0.8257 PVPS? 0.003251 0.016632 0.195472 0.8451
- PSBI? 1.520494 0.413015 -3.681453 0.0003 Fixed Effects (Cross) _RBUMI--C 0.009653 _RDOID--C 0.012003 _RPTBA--C 0.012088
_RPTRO--C 0.024194
- _RMEDC--C 0.026200
- _RTINS--C 0.017249
- _RCTTH--C 0.010089
- _RMITI--C 0.004400 Effects Specification Cross-section fixed (dummy variables) R-squared 0.092563 Mean dependent var 0.029128 Adjusted R-squared 0.068839 S.D. dependent var 0.196716
- S.E. of regression 0.189824 Akaike info criterion 0.458278
- Sum squared resid 16.53930 Schwarz criterion 0.343785 Log likelihood 121.1535 F-statistic 3.901671 Durbin-Watson stat 1.703973 Prob(F-statistic) 0.000010 Substituted Coefficients: =====================
RETURN_RBUMI = 0.009653010593 + 0.01656869012 - 0.0159605059*PINFLASI_RBUMI - 1.140362347*PKURS_RBUMI + 0.1083603019*PM2_RBUMI + 0.003251102271*PVPS_RBUMI - 1.520493955*PSBI_RBUMI RETURN_RDOID = 0.0120029089 + 0.01656869012 - 0.0159605059*PINFLASI_RDOID - 1.140362347*PKURS_RDOID + 0.1083603019*PM2_RDOID + 0.003251102271*PVPS_RDOID - 1.520493955*PSBI_RDOID RETURN_RPTBA = 0.01208836653 + 0.01656869012 - 0.0159605059*PINFLASI_RPTBA - 1.140362347*PKURS_RPTBA + 0.1083603019*PM2_RPTBA + 0.003251102271*PVPS_RPTBA - 1.520493955*PSBI_RPTBA RETURN_RPTRO = 0.02419443432 + 0.01656869012 - 0.0159605059*PINFLASI_RPTRO - 1.140362347*PKURS_RPTRO + 0.1083603019*PM2_RPTRO + 0.003251102271*PVPS_RPTRO - 1.520493955*PSBI_RPTRO
RETURN_RMEDC = -0.02620048093 + 0.01656869012 - 0.0159605059*PINFLASI_RMEDC - 1.140362347*PKURS_RMEDC + 0.1083603019*PM2_RMEDC + 0.003251102271*PVPS_RMEDC - 1.520493955*PSBI_RMEDC RETURN_RTINS = -0.0172491589 + 0.01656869012 - 0.0159605059*PINFLASI_RTINS - 1.140362347*PKURS_RTINS + 0.1083603019*PM2_RTINS + 0.003251102271*PVPS_RTINS - 1.520493955*PSBI_RTINS RETURN_RCTTH = -0.01008937924 + 0.01656869012 - 0.0159605059*PINFLASI_RCTTH - 1.140362347*PKURS_RCTTH + 0.1083603019*PM2_RCTTH + 0.003251102271*PVPS_RCTTH - 1.520493955*PSBI_RCTTH RETURN_RMITI = -0.004399701271 + 0.01656869012 - 0.0159605059*PINFLASI_RMITI - 1.140362347*PKURS_RMITI + 0.1083603019*PM2_RMITI + 0.003251102271*PVPS_RMITI - 1.520493955*PSBI_RMITI