Faktor- Faktor Yang Mempengaruhi Return Saham Perusahaan LQ 45 Di Bursa Efek Indonesia

  

LAMPIRAN

Lampiran 1

  14 Juli 2003

  13 PT London Sumatera Tbk LSIP Perkebunan

  30 Juli 2001

  12 PT Kalbe Farma Tbk KLBF Farmasi

  12November 2007

  11 PT Jasa Marga Tbk JSMR Infrastruktur,Uti litas dan Transportasi

  18 Desember 2007

  ITMG Pertambangan

  10 PT Indo Tambangraya Megah Tbk

  5 Desember 1989

  INTP Industri Dasar dan Kimia

  9 PT Indocement Tunggal Prakarsa Tbk

  14 Juli 2004

  INDF Industri Barang Konsumsi

  8 PT Indofood CBP Sukses Makmur,Tbk

  7 PT Bank Mandiri (Persero) Tbk BMRI Keuangan

  

Daftar Perusahaan Indeks LQ-45 di Bursa Efek Indonesia

No Emiten Kode

  6 PT Bank Danamon Tbk BDMN Keuangan 6 desember 1989

  10 November 2003

  BBRI Keuangan

  5 PT Bank Rakyat Indonesia (Persero),Tbk

  25 November 1996

  BBNI Keuangan

  4 PT Bank Negara Indonesia (Persero)Tbk

  31 Mei 2000

  3 PT Bank Central Asia,Tbk BBCA Keuangan

  4 April 1990

  2 PT Astra International,Tbk ASII Aneka Industri

  9 Desember 1997

  1 PT Astra Agro Lestari,Tbk AALI Pertanian

  

Emiten

Sektor Industri Tanggal Listing

  5 Juli 1996

  14 PT Perusahaan Gas Negara PGAS Infrastruktur,

  15 Desember 2003 (Persero) Tbk

  Utilitas dan Transportasi

  15 PT Tambang Batubara Bukit Asam PTBA Pertambangan

  23 Desember 2002 (Persero) Tbk

  16 PT Semen Indonesia Tbk SMGR Perdagangan,

  8 Juli 1991 Jasa dan Investasi

  17 PT Telekomukasi Indonesia TLKM Infrastruktur,Uti

  14 November 1995 (Persero) Tbk litas,Transportas i

  18 PT United Tractors Tbk UNTR Perdagangan,

  19 September 1989 Jasa,dan Investasi

  19 PT Unilever Indonesia Tbk UNVR Industri Barang

  11 Januari 1982 Konsumsi

  Lampiran 2

Nilai Book to Market Value (BTM) , Price Earning Ratio (PER),

  

Dividend Yield (DY), Size, Price to Net Asset Value (PNAV), Cash Flow to

Price (CFTP) dan Return Saham Perusahaan LQ 45 di Bursa Efek Indonesia

Periode 2010-2013

  Tahun Kode Emiten BTM PER DY SIZE PNAV CFTP RETURN AALI 0.175 20.460 3.170 31.351 5.533 0.071 1.479 ASII 0.223 15.370 0.860 32.690 2.682 0.019 4.222 BBCA 0.216 18.610 1.760 32.682 4.580 0.017 2.574 BBNI 0.458 17.620 1.700 31.901 2.158 0.111 4.969 BBRI 0.283 11.290 1.100 32.485 3.496 0.363 2.965 BDMN 0.385 16.640 2.100 31.622 2.906 -0.055 2.216 BMRI 0.304 14.810 2.160 32.643 3.569 0.280 3.177

  INDF 0.392 14.500 2.730 31.388 1.722 0.161 3.038

  INTP 0.223 18.210 1.650 31.704 4.482 0.058 1.424 2010

  ITMG 0.113 31.290 2.370 31.680 8.858 0.038 4.170 JSMR 0.332 19.510 3.090 30.779 2.786 0.066 5.984 KLBF 0.163 25.660 2.150 30.642 3.520 0.062 8.562 LSIP 0.260 16.970 0.470 30.495 3.850 0.079 3.979 PGAS 0.129 17.190 3.490 32.306 7.103 0.089 1.235 PTBA 0.120 26.320 2.280 31.599 8.210 0.047 2.765 SMGR 0.214 15.430 3.240 31.657 4.617 0.060 2.091 TLKM 0.277 13.890 4.060 32.382 2.605 0.240 -1.211 UNTR 0.204 20.440 2.480 32.117 5.492 0.027 3.800 UNVR 0.032 37.170 2.690 32.466 31.094 0.043 3.685 Tahun Kode Emiten BTM PER DY SIZE PNAV CFTP RETURN AALI 0.247 13.680 4.590 31.162 4.055 0.093 -1.283 ASII 0.253 14.030 2.680 32.995 2.816 0.044 2.785 BBCA 0.213 18.310 1.960 32.905 4.646 0.191 2.116 BBNI 0.534 11.830 1.640 31.882 1.854 0.219 0.262 BBRI 0.299 10.890 1.810 32.736 3.309 0.097 2.545 BDMN 0.657 11.650 2.550 31.292 1.506 -0.225 -2.483 BMRI 0.398 12.620 1.560 32.680 2.487 0.131 0.736

  INDF 0.783 8.050 3.800 31.330 1.278 0.123 -0.137

  INTP 0.251 17.430 1.720 31.770 3.989 0.062 1.028 2011

  ITMG 0.224 8.740 3.020 31.408 4.456 0.123 -1.855 JSMR 0.324 21.610 1.880 30.983 3.091 0.063 1.895 KLBF 0.189 22.430 2.790 30.688 3.262 0.069 0.630 LSIP 0.380 7.340 4.440 30.362 2.629 0.113 -1.433 PGAS 0.223 12.490 4.240 31.974 4.479 0.108 -2.168 PTBA 0.204 12.950 4.630 31.319 4.897 0.090 -2.030 SMGR 0.215 17.150 2.890 31.849 3.176 0.065 2.154 TLKM 0.429 9.180 5.260 32.262 1.966 0.298 -0.950 UNTR 0.280 16.760 3.110 32.219 3.574 0.106 1.260 UNVR 0.026 34.450 2.900 32.597 38.969 0.038 1.320

  Tahun Kode Emiten BTM PER DY SIZE PNAV CFTP RETURN AALI 0.302 12.640 3.480 31.066 3.313 0.084 -0.496 ASII 0.292 13.700 2.840 33.360 3.426 0.029 0.527 BBCA 0.231 18.860 1.260 33.034 4.197 0.125 1.248 BBNI 0.631 9.580 3.060 31.855 1.569 0.102 -0.115 BBRI 0.378 9.180 3.240 32.765 2.616 -0.012 0.489 BDMN 0.531 13.270 2.220 31.613 1.866 -0.059 3.048 BMRI 0.405 11.630 2.460 32.863 2.445 0.047 1.710

  INDF 0.665 10.540 3.160 31.570 1.505 0.144 2.104

  INTP 0.235 17.350 2.000 32.046 4.256 0.069 2.581 2012

  ITMG 0.206 11.380 7.530 31.480 4.843 0.085 0.977 JSMR 0.264 24.120 1.730 31.244 3.786 0.052 2.281 KLBF 0.114 30.380 1.790 31.537 6.740 0.028 3.973 LSIP 0.400 13.980 2.870 30.384 2.499 0.090 0.940 PGAS 0.204 12.610 4.410 32.345 4.897 0.101 3.414 PTBA 0.244 15.330 4.770 31.180 4.091 0.064 -0.640 SMGR 0.193 19.090 2.320 32.174 5.176 0.060 3.005 TLKM 0.367 9.920 4.820 32.512 1.966 0.212 2.380 UNTR 0.440 12.540 4.210 31.928 2.275 0.086 -1.734 UNVR 0.025 32.870 3.040 32.700 40.088 0.033 1.219 Tahun Kode Emiten BTM PER DY SIZE PNAV CFTP RETURN AALI 0.260 32.540 2.690 31.308 3.850 0.080 2.767 ASII 0.404 15.330 3.180 33.249 2.593 0.077 -0.756 BBCA 0.270 17.130 1.720 33.088 3.663 -0.018 0.726 BBNI 0.647 8.450 3.690 31.920 1.529 -0.069 1.112 BBRI 0.444 8.690 3.550 32.808 2.232 0.025 0.993 BDMN 0.872 9.030 3.350 31.210 1.135 0.099 -2.890 BMRI 0.485 10.730 2.980 32.831 2.042 0.070 0.235

  INDF 0.662 22.610 2.150 31.691 1.510 0.120 1.272

  INTP 0.312 15.300 4.500 31.930 3.204 0.074 -0.525 2013

  ITMG 0.138 11.280 6.980 31.103 2.723 0.060 -2.209 JSMR 0.338 23.550 1.660 31.101 2.957 0.065 -0.967 KLBF 0.134 32.170 1.360 31.702 6.893 0.016 1.718 LSIP 0.502 22.300 2.380 30.209 1.991 0.095 0.575 PGAS 0.308 10.920 4.700 32.318 3.242 0.093 0.144 PTBA 0.321 14.170 4.530 30.788 3.112 0.087 -2.400 SMGR 0.260 16.110 2.880 32.061 3.849 0.072 -0.549 TLKM 0.357 14.700 4.760 33.010 2.799 0.169 1.661 UNTR 0.503 15.730 3.630 31.892 1.988 0.172 -0.119 UNVR 0.021 36.370 2.700 32.921 46.626 0.032 2.115

  Lampiran 3

STATISTIK DESKRIPTIF

  Descriptive Statistics N Minimum Maximum Mean Std.

  Deviation BTM 76 .021 .872 .31580 .171672 PER

  76 7.340 37.170 16.96118 7.148579 DY 76 .470 7.530 2.96868 1.282111 SIZE

  76 30.209 33.360 31.89208 .764721 PNAV 76 1.135 46.626 5.34717 8.276694 CFTP

  76 -.225 .363 .08210 .081386 RETURN SAHAM 76 -2.890 8.562 1.25434 2.100708 Valid N (listwise)

76 Lampiran 4

UJI NORMALITAS

  76 Normal Parameters

  N

  Mean

  0E-7 Std. Deviation

  1.67159633 Most Extreme Differences

  Absolute .070 Positive .070 Negative -.051

  Kolmogorov-Smirnov Z .612 Asymp. Sig. (2-tailed) .848 a. Test distribution is Normal.

  b. Calculated from data.

  Unstandardized Residual

  One-Sample Kolmogorov-Smirnov Test

  a,b Grafik Histogram Grafik Normal Plot

  Lampiran 5 UJI MULTIKOLINEARITAS

Hasil Uji Multikolinearitas

Coefficients a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. Collinearity Statistics

  B Std. Error Beta Tolerance

  VIF

  1 (Constant) -5.056 10.173 -.497 .621 BTM -2.401 1.551 -.196 -1.548 .126 .571 1.751 PER .110 .052 .374 2.115 .038 .294 3.398 DY -.576 .189 -.352 -3.046 .003 .689 1.451 SIZE .223 .300 .081 .745 .459 .770 1.299 PNAV -.063 .038 -.250 -1.667 .100 .408 2.453 CFTP 1.628 2.566 .063 .634 .528 .928 1.077

  a. Dependent Variable: RETURN SAHAM

  Lampiran 6 UJI HETEROKEDASTISITAS Grafik Scatterplot

UJI GLEJSER

  

Hasil Uji Glejser

Coefficients a

  Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) 9.021 6.124 1.473 .145 BTM -.095 .934 -.016 -.102 .919 PER .009 .031 .064 .300 .765 DY .066 .114 .080 .577 .566 SIZE -.246 .181 -.179 -1.363 .177 PNAV -.026 .023 -.208 -1.152 .253 CFTP -.775 1.545 -.060 -.501 .618

  a. Dependent Variable: Absut

  Lampiran 7 UJI AUTOKORELASI Model Summary b

  Model R R Square Adjusted R Square

  Std. Error of the Estimate

  Durbin-Watson 1 .606

  a

  .367 .312 1.742760 1.413

  a. Predictors: (Constant), CFTP, BTM, DY, SIZE, PNAV, PER

  b. Dependent Variable: RETURN SAHAM Lampiran 8 Hasil Regresi

  

Hasil Uji Regresi Univariat

Coefficients

Unstandardized Coefficients Standardized

Model Coefficients t Sig.

  B Std. Error Beta (Constant 2.454 .485 5.057 .000

BTM -3.799 1.352 -.310 -2.810 .006

(Constant) -.914 .566 -1.616 .110

  

PER .128 .031 .435 4.157 .000

(Constant) 3.627 .537 6.753 .000

DY -.799 .166 -.488 -4.807 .000

(Constant) -6.046 10.152 -.596 .553

  

SIZE .229 .318 .083 .719 .474

(Constant) 1.076 .287 3.750 .000

PNAV .033 .029 .132 1.141 .257

(Constant) 1.312 .346 3.822 .000

CFTP -.526 2.999 -.031 -.270 .788

  Hasil Uji Regresi Bivariat

  Model Unstandardized Coefficients Standardized T Sig Coefficients

  B Std. Error Beta Constant -.358 1.054 -.346 .735

  BTM -.999 1.595 -.082 -.626 .533 PER .114 .038 .387 2.967 .004

  Constant 4.683 .620 7.554 .000 BTM -3.541 1.181 -.289 -2.999 .004

  DY -.778 .158 -.475 -4.923 .000 Constant -.819 9.932 -.082 .935

  BTM -3.730 1.376 -.305 -2.710 .008 SIZE .102 .309 .037 .330 .742

  Constant 2.602 .659 3.948 .000 BTM -4.079 1.599 -.333 -2.552 .013

  PNAV -.011 .033 -.044 -.333 .740 Constant 2.483 .533 4.657 .000

  BTM -3.789 1.363 -.310 -2.780 .007 CFTP -.390 2.875 -.015 -.136 .892

• .620
• .378
• 3.621
• 9.347
• 1.014
• 1.508

• .075
• .297
• 2.441
• 2.143
• 1.142
• 1.712
• .794
• .485
• 4.717
• .791
• .483
• 4.756
• .806
• .492
• 4.779
• 3.681
• .353
• 6.287
• 1.022
• .040
• .614
• .338

  .298 .919 .000 .766

  Constant DY PNAV

  3.455

  .028 .560 .166 .026

  .109 6.167

  1.072 .000 .000 .287

  Constant DY CFTP

  3.578

  .848 .562 .169

  2.658

  .033 6.372

  .319 .000 .000 .751

  Constant SIZE PNAV

  .150 .030

  10.431 .328 .030

  .055 .118

  .456 .990

  .725 .650 .326

  Constant SIZE CFTP

  .239

  10.238 .322

  3.021 .087

  .744

  .541 .460 .736

  Constant PNAV CFTP

  1.103 .033

  .398 .030

  3.030 .130

  2.774 1.105

  .031 .102

  .168 .282

  .084 9.069

  4.177 .917

  Model B Std.Error Beta

  T Sig Constant

  PER DY 1.627

  .087

  .876 .031 .171

  .294

  1.857 2.817

  .067 .006 .001

  Constant PER SIZE

  .129 .264

  9.216 .031 .288

  .438 .096

  .314 .000 .362

  .928

  Constant PER PNAV

  .187

  .618 .041 .035

  .618

  4.588

  .017 .000 .035

  Constant PER CFTP

  .133 1.813

  .667 .032

  2.784 .451 .070

  4.181 .651

  .091 .000 .517

  Constant DY SIZE

  .007 .273 .922

• .298
• .012
• .098

  ANALISIS REGRESI LINEAR BERGANDA Coefficients a

  b. Predictors: (Constant), CFTP, BTM, DY, SIZE, PNAV, PER

  a. Predictors: (Constant), CFTP, BTM, DY, SIZE, PNAV, PER

  .367 .312 1.742760

  a

  Std. Error of the Estimate 1 .606

  Model R R Square Adjusted R Square

  Lampiran 10 KOEFISIEN DETERMINASI Model Summary b

  a. Dependent Variable: RETURN SAHAM

  Model Unstandardized Coefficients Standardized Coefficients T Sig. B Std. Error Beta

  75

  Residual 209.568 69 3.037 Total 330.973

  b

  1 Regression 121.405 6 20.234 6.662 .000

  Lampiran 9 Hasil Uji Hipotesis Secara Simultan (Uji F) ANOVA a Model Sum of Squares Df Mean Square F Sig.

  a. Dependent Variable: RETURN SAHAM

  1 (Constant) -5.056 10.173 -.497 .621 BTM -2.401 1.551 -.196 -1.548 .126 PER .110 .052 .374 2.115 .038 DY -.576 .189 -.352 -3.046 .003 SIZE .223 .300 .081 .745 .459 PNAV -.063 .038 -.250 -1.667 .100 CFTP 1.628 2.566 .063 .634 .528

  b. Dependent Variable: RETURN SAHAM