PADA KONDISI BULLISH Return Saham Return Pasar Beta Saham

105 LAMPIRAN 4 HASIL UJI DURBIN WATSON

1. PADA KONDISI BULLISH

Variabel R R Square Adjusted R square Std. Error Of The Estimate Durbin- Watson AALI ,115 a 0,013 -0,004 0,35245 2,217 ASII ,075 a 0,006 -0,011 0,3538 2,291 BDMN ,071 a 0,005 -0,012 0,35391 2,268 BNGA ,191 a 0,036 0,02 0,3483 2,207 BRPT ,113 a 0,013 -0,004 0,35252 2,275 BUMI ,219 a 0,048 0,032 0,34618 2,356 CMNP ,022 a -0,017 0,35472 2,235 CTRA ,048 a 0,002 -0,015 0,35439 2,241 ELTY ,079 a 0,006 -0,011 0,3537 2,262 GGRM ,230 a 0,053 0,036 0,34532 2,216 GJTL ,107 a 0,011 -0,006 0,35277 2,328 INDF ,155 a 0,024 0,007 0,35051 2,296 INKP ,044 a 0,002 -0,015 0,35447 2,247 INTP ,201 a 0,041 0,024 0,34754 2,209 KIJA ,031 a 0,001 -0,016 0,35463 2,246 LSIP ,195 a 0,038 0,021 0,34799 2,157 MEDC ,176 a 0,031 0,014 0,34924 2,246 SMCB ,163 a 0,027 0,01 0,35007 2,284 SMRA ,031 a 0,001 -0,016 0,35463 2,259 TINS ,005 a -0,017 0,3548 2,242 TKIM ,091 a 0,008 -0,009 0,35335 2,27 106

2. PADA KONDISI BEARISH

Variabel R R Square Adjusted R square Std. Error Of The Estimate Durbin- Watson AALI ,013 a -0,017 0,158802 1,782 ASII ,009 a -0,017 0,158809 1,78 BDMN ,144 a 0,021 0,004 0,157165 1,759 BNGA ,101 a 0,01 -0,007 0,158006 1,777 BRPT ,051 a 0,003 -0,015 0,158609 1,77 BUMI ,008 a -0,017 0,15881 1,79 CMNP ,156 a 0,024 0,008 0,156872 1,782 CTRA ,036 a 0,001 -0,016 0,15871 1,78 ELTY ,029 a 0,001 -0,016 0,158751 1,788 GGRM ,103 a 0,011 -0,006 0,157972 1,788 GJTL ,006 a -0,017 0,158813 1,785 INDF ,027 a 0,001 -0,016 0,158758 1,782 INKP ,060 a 0,004 -0,014 0,158532 1,801 INTP ,048 a 0,002 -0,015 0,158633 1,79 KIJA ,070 a 0,005 -0,012 0,158429 1,801 LSIP ,073 a 0,005 -0,012 0,158389 1,751 MEDC ,112 a 0,013 -0,004 0,157808 1,818 SMCB ,008 a -0,017 0,15881 1,786 SMRA ,122 a 0,015 -0,002 0,157638 1,838 TINS ,085 a 0,007 -0,01 0,158235 1,835 TKIM ,141 a 0,02 0,003 0,157225 1,753 107 LAMPIRAN 5 HASIL UJI GEJSER PADA KONDISI BULLISH No Variabel T Sig 1 AALI -,652 0,517 2 ASII ,230 0,819 3 BDMN ,278 0,782 4 BNGA -,297 0,767 5 BRPT -,778 0,440 6 BUMI -,207 0,837 7 CMNP ,332 0,741 8 `CTRA ,769 0,445 9 ELTY -,600 0,551 10 GGRM 1,840 0,071 11 GJTL ,023 0,981 12 INDF ,900 0,372 13 INKP ,046 0,964 14 INTP ,618 0,539 15 KIJA -,597 0,553 16 LSIP -,733 0,467 17 MEDC -1,325 0,190 18 SMCB -,043 0,966 19 SMRA ,553 0,583 20 TINS -,469 0,641 21 TKIM -,606 0,547 108 HASIL UJI GEJSER PADA KONDISI BEARISH No Variabel t Sig 1 AALI 1,154 0,253 2 ASII 1,467 0,148 3 BDMN -1,154 0,253 4 BNGA -,973 0,335 5 BRPT -,751 0,456 6 BUMI ,010 0,992 7 CMNP -1,243 0,219 8 CTRA ,336 0,738 9 ELTY ,582 0,563 10 GGRM 1,571 0,122 11 GJTL ,906 0,369 12 INDF ,971 0,336 13 INKP ,959 0,342 14 INTP ,497 0,621 15 KIJA -1,464 0,149 16 LSIP 1,167 0,248 17 MEDC ,239 0,812 18 SMCB 1,226 0,225 19 SMRA ,290 0,773 20 TINS -,782 0,438 21 TKIM -1,101 0,276 109 LAMPIRAN 6 HASIL ANALISIS SINGLE INDEX MODEL PADA PERIODE BULLISH 1. AALI Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,169 a ,028 ,012 ,1055407 1. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,019 1 ,019 1,697 ,198 b Residual ,646 58 ,011 Total ,665 59 a. Dependent Variable: R_AALI b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,066 ,014 4,579 ,000 R_IHSG ,031 ,024 ,169 1,303 ,198 a. Dependent Variable: R_AALI 2. ASII Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,415 a ,172 ,158 ,0795278 1. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,076 1 ,076 12,070 ,001 b Residual ,367 58 ,006 Total ,443 59 a. Dependent Variable: R_ASII 2. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,113 ,011 10,434 ,000 R_IHSG ,062 ,018 ,415 3,474 ,001 a. Dependent Variable: R_ASII 110 3. BDMN Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,180 a ,032 ,016 6,7196807 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression 18,606 1 18,606 1,933 ,170 b Residual 54,827 58 0,095 Total 73,433 59 a. Dependent Variable: BDMN b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant 10,465 1,767 2,645 ,010 R_IHSG 5,702 8,826 ,180 1,390 ,170 a. Dependent Variable: BDMN 4. BNGA Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,308 a ,095 ,079 ,2293045 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,319 1 ,319 6,059 ,017 b Residual 3,050 58 ,053 Total 3,368 59 a. Dependent Variable: R_BNGA b. Predictors: Constant, R_IHSG Coefficients a 111 Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,539 ,031 -17,265 ,000 R_IHSG ,127 ,051 ,308 2,461 ,017 a. Dependent Variable: R_BNGA 5. BRPT Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,132 a ,017 ,000 ,6664756 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,457 1 ,457 1,029 ,314 b Residual 25,763 58 ,444 Total 26,220 59 a. Dependent Variable: R_BRPT b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,083 ,091 -1,423 ,160 R_IHSG ,171 ,150 ,132 1,015 ,114 a. Dependent Variable: R_BRPT 6. BUMI Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,158 a ,025 ,008 ,2127585 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,067 1 ,067 1,488 ,227 b Residual 2,625 58 ,045 Total 2,693 59 a. Dependent Variable: R_BUMI 2. Predictors: Constant, R_IHSG 112 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,123 ,029 4,230 ,000 R_IHSG ,058 ,048 ,158 1,220 ,227 a. Dependent Variable: R_BUMI 7. CMNP Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,103 a ,011 -,006 ,1308093 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,011 1 ,011 ,622 ,434 b Residual ,992 58 ,017 Total 1,003 59 a. Dependent Variable: R_CMNP b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,077 ,018 4,296 ,000 R_IHSG ,023 ,029 ,103 ,789 ,434 a. Dependent Variable: R_CMNP 8. CTRA Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,036 a ,001 -,016 ,2164671 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,004 1 ,004 ,076 ,783 b Residual 2,718 58 ,047 Total 2,721 59 a. Dependent Variable: R_CTRA b. Predictors: Constant, R_IHSG 113 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,121 ,029 4,091 ,000 R_IHSG ,013 ,049 ,036 ,277 ,783 a. Dependent Variable: R_CTRA 9. ELTY Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,263 a ,069 ,053 ,6342367 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression 1,739 1 1,739 4,322 ,042 b Residual 23,331 58 ,402 Total 25,069 59 a. Dependent Variable: R_ELTY b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,042 ,086 ,482 ,632 R_IHSG ,296 ,142 ,263 2,079 ,042 a. Dependent Variable: R_ELTY 10. GGRM Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,210 a ,044 ,028 ,1150809 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,036 1 ,036 2,685 ,107 b Residual ,768 58 ,013 Total ,804 59 a. Dependent Variable: R_GGRM b. Predictors: Constant, R_IHSG 114 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,060 ,016 3,829 ,000 R_IHSG ,042 ,026 ,210 1,639 ,107 a. Dependent Variable: R_GGRM 11. GJTL Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,163 a ,027 ,010 ,2115858 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,071 1 ,071 1,593 ,212 b Residual 2,597 58 ,045 Total 2,668 59 a. Dependent Variable: R_GJTL b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,536 ,029 -18,606 ,000 R_IHSG ,060 ,047 ,163 1,262 ,212 a. Dependent Variable: R_GJTL 12. INDF Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,282 a ,079 ,063 ,1035845 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,054 1 ,054 4,996 ,029 b Residual ,622 58 ,011 Total ,676 59 a. Dependent Variable: R_INDF b. Predictors: Constant, R_IHSG 115 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,083 ,014 5,894 ,000 R_IHSG ,052 ,023 ,282 2,235 ,029 a. Dependent Variable: R_INDF 13. INKP Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,199 a ,040 ,023 ,6759665 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression 1,091 1 1,091 2,387 ,128 b Residual 26,502 58 ,457 Total 27,593 59 a. Dependent Variable: R_INKP b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,083 ,092 -,903 ,371 R_IHSG ,234 ,152 ,199 1,545 ,128 a. Dependent Variable: R_INKP 14. INTP Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,176 a ,031 ,014 ,1159706 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,025 1 ,025 1,851 ,179 b Residual ,780 58 ,013 Total ,805 59 a. Dependent Variable: R_INTP b. Predictors: Constant, R_IHSG 116 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,102 ,016 6,442 ,000 R_IHSG ,035 ,026 ,176 1,361 ,179 a. Dependent Variable: R_INTP 15. KIJA Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,093 a ,009 -,009 ,2556541 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,033 1 ,033 ,502 ,481 b Residual 3,791 58 ,065 Total 3,824 59 a. Dependent Variable: R_KIJA b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,269 ,035 -7,724 ,000 R_IHSG ,041 ,057 ,093 ,709 ,481 a. Dependent Variable: R_KIJA 16. LSIP Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,143 a ,020 ,004 1,3323957 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression 2,151 1 2,151 1,211 ,276 b Residual 102,966 58 1,775 Total 105,117 59 a. Dependent Variable: R_LSIP b. Predictors: Constant, R_IHSG 117 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -1,849 ,181 -10,192 ,000 R_IHSG ,329 ,299 ,143 1,101 ,276 a. Dependent Variable: R_LSIP 17. MEDC Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,135 a ,018 ,001 ,0944551 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,010 1 ,010 1,076 ,304 b Residual ,517 58 ,009 Total ,527 59 a. Dependent Variable: R_MEDC b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,050 ,013 3,911 ,000 R_IHSG ,022 ,021 ,135 1,037 ,304 a. Dependent Variable: R_MEDC 18. SMCB Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,179 a ,032 ,015 ,1280092 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,031 1 ,031 1,915 ,172 b Residual ,950 58 ,016 Total ,982 59 a. Dependent Variable: R_SMCB b. Predictors: Constant, R_IHSG 118 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,107 ,017 6,140 ,000 R_IHSG ,040 ,029 ,179 1,384 ,172 a. Dependent Variable: R_SMCB 19. SMRA Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,331 a ,110 ,094 ,1556165 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,173 1 ,173 7,150 ,010 b Residual 1,405 58 ,024 Total 1,578 59 a. Dependent Variable: R_SMRA b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,135 ,021 6,362 ,000 R_IHSG ,093 ,035 ,331 2,674 ,010 a. Dependent Variable: R_SMRA 20. TINS Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,172 a ,030 ,013 ,2677811 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,127 1 ,127 1,778 ,188 b Residual 4,159 58 ,072 Total 4,286 59 a. Dependent Variable: R_TINS b. Predictors: Constant, R_IHSG 119 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,241 ,036 -6,610 ,000 R_IHSG ,080 ,060 ,172 1,333 ,188 a. Dependent Variable: R_TINS 21. TKIM Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,204 a ,042 ,025 ,2675021 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares Df Mean Square F Sig. 1 Regression ,181 1 ,181 2,527 ,117 b Residual 4,150 58 ,072 Total 4,331 59 a. Dependent Variable: R_TKIM b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,253 ,036 -6,936 ,000 R_IHSG ,095 ,060 ,204 1,590 ,117 a. Dependent Variable: R_TKIM 120 HASIL ANALISIS SINGLE INDEX MODEL PADA PERIODE BEARISH 1. AALI Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,294 a ,087 ,071 ,1320449 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,096 1 ,096 5,494 ,023 b Residual 1,011 58 ,017 Total 1,107 59 a. Dependent Variable: R_AALI b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,017 ,019 -,899 ,372 R_IHSG ,100 ,043 ,294 2,344 ,023 a. Dependent Variable: R_AALI 2. ASII Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,423 a ,179 ,165 ,1079534 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,147 1 ,147 12,653 ,001 b Residual ,676 58 ,012 Total ,823 59 a. Dependent Variable: R_ASII b. Predictors: Constant, R_IHSG 121 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,040 ,015 -2,611 ,011 R_IHSG ,124 ,035 ,423 3,557 ,001 a. Dependent Variable: R_ASII 3. BDMN Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,311 a ,097 ,081 ,0502345 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,016 1 ,016 6,205 ,016 b Residual ,146 58 ,003 Total ,162 59 a. Dependent Variable: R_BDMN b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,007 ,007 -1,054 ,296 R_IHSG ,041 ,016 ,311 2,491 ,016 a. Dependent Variable: R_BDMN 4. BNGA Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,278 a ,077 ,061 181,7539238 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression 16,428 1 160706,428 2,865 ,031 b Residual 19,352 58 0,333 Total 35,780 59 a. Dependent Variable: BNGA b. Predictors: Constant, R_IHSG 122 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant 5,678 5,705 2,555 ,013 R_IHSG -4,947 8,916 -,278 -2,206 ,031 a. Dependent Variable: BNGA 5. BRPT Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,404 a ,163 ,148 ,1566417 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,277 1 ,277 11,283 ,001 b Residual 1,423 58 ,025 Total 1,700 59 a. Dependent Variable: R_BRPT b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,083 ,022 -3,749 ,000 R_IHSG ,171 ,051 ,404 3,359 ,001 a. Dependent Variable: R_BRPT 6. BUMI Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,261 a ,068 ,052 ,6522830 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression 1,808 1 1,808 4,248 ,044 b Residual 24,677 58 ,425 Total 26,485 59 a. Dependent Variable: R_BUMI b. Predictors: Constant, R_IHSG 123 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,208 ,092 -2,257 ,028 R_IHSG ,436 ,211 ,261 2,061 ,044 a. Dependent Variable: R_BUMI 7. CMNP Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,132 a ,018 ,001 ,0536781 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,003 1 ,003 1,035 ,313 b Residual ,167 58 ,003 Total ,170 59 a. Dependent Variable: R_CMNP b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant ,980 ,008 129,086 ,000 R_IHSG ,018 ,017 ,132 1,017 ,313 a. Dependent Variable: R_CMNP 8. CTRA Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,423 a ,179 ,165 ,1677042 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,356 1 ,356 12,659 ,001 b Residual 1,631 58 ,028 Total 1,987 59 a. Dependent Variable: R_CTRA b. Predictors: Constant, R_IHSG 124 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,061 ,024 -2,566 ,013 R_IHSG ,193 ,054 ,423 3,558 ,001 a. Dependent Variable: R_CTRA 9. ELTY Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,423 a ,179 ,165 ,2003264 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,507 1 ,507 12,634 ,001 b Residual 2,328 58 ,040 Total 2,835 59 a. Dependent Variable: ELTY b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,094 ,028 -3,315 ,002 R_IHSG ,231 ,065 ,423 3,554 ,001 a. Dependent Variable: ELTY 10. GGRM Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,338 a ,114 ,099 ,0889262 a. Predictors: Constant, R_IHSG 125 ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,059 1 ,059 7,469 ,008 b Residual ,459 58 ,008 Total ,518 59 a. Dependent Variable: R_GGRM b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,022 ,013 -1,730 ,089 R_IHSG ,079 ,029 ,338 2,733 ,008 a. Dependent Variable: R_GGRM 11. GJTL Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,476 a ,227 ,213 ,1095946 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,204 1 ,204 16,999 ,000 b Residual ,697 58 ,012 Total ,901 59 a. Dependent Variable: R_GJTL b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,061 ,015 -3,906 ,000 R_IHSG ,146 ,036 ,476 4,123 ,000 a. Dependent Variable: R_GJTL 12. INDF Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,438 a ,192 ,178 ,1018423 a. Predictors: Constant, R_IHSG 126 ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,143 1 ,143 13,805 ,000 b Residual ,602 58 ,010 Total ,745 59 a. Dependent Variable: R_INDF b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,041 ,014 -2,863 ,006 R_IHSG ,123 ,033 ,438 3,716 ,000 a. Dependent Variable: R_INDF 13. INKP Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,384 a ,147 ,133 ,1322489 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,175 1 ,175 10,012 ,002 b Residual 1,014 58 ,017 Total 1,190 59 a. Dependent Variable: R_INKP b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,062 ,019 -3,305 ,002 R_IHSG ,136 ,043 ,384 3,164 ,002 a. Dependent Variable: R_INKP 14. INTP Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,376 a ,141 ,126 ,1055291 a. Predictors: Constant, R_IHSG 127 ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,106 1 ,106 9,526 ,003 b Residual ,646 58 ,011 Total ,752 59 a. Dependent Variable: R_INTP b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,038 ,015 -2,527 ,014 R_IHSG ,106 ,034 ,376 3,086 ,003 a. Dependent Variable: R_INTP 15. KIJA Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,349 a ,121 ,106 ,1803624 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,261 1 ,261 8,019 ,006 b Residual 1,887 58 ,033 Total 2,148 59 a. Dependent Variable: R_KIJA b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,304 ,026 -11,914 ,000 R_IHSG ,166 ,058 ,349 2,832 ,006 a. Dependent Variable: R_KIJA 16. LSIP Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,394 a ,155 ,140 ,1435592 a. Predictors: Constant, R_IHSG 128 ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,219 1 ,219 10,642 ,002 b Residual 1,195 58 ,021 Total 1,415 59 a. Dependent Variable: R_LSIP b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,042 ,020 -2,051 ,045 R_IHSG ,152 ,047 ,394 3,262 ,002 a. Dependent Variable: R_LSIP 17. MEDC Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,275 a ,075 ,059 ,1045618 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,052 1 ,052 4,727 ,034 b Residual ,634 58 ,011 Total ,686 59 a. Dependent Variable: R_MEDC b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,043 ,015 -2,900 ,005 R_IHSG ,074 ,034 ,275 2,174 ,034 a. Dependent Variable: R_MEDC 18. SMCB Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,396 a ,157 ,142 ,1249690 a. Predictors: Constant, R_IHSG 129 Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,051 ,018 -2,889 ,005 R_IHSG ,133 ,041 ,396 3,287 ,002 a. Dependent Variable: R_SMCB 19. SMRA Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,386 a ,149 ,135 ,1677330 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,286 1 ,286 10,177 ,002 b Residual 1,632 58 ,028 Total 1,918 59 a. Dependent Variable: SMRA b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,056 ,024 -2,343 ,023 R_IHSG ,173 ,054 ,386 3,190 ,002 a. Dependent Variable: SMRA 20. TINS Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,317 a ,101 ,085 ,4838070 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 130 1 Regression 1,518 1 1,518 6,486 ,014 b Residual 13,576 58 ,234 Total 15,094 59 a. Dependent Variable: R_TINS b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,217 ,068 -3,178 ,002 R_IHSG ,399 ,157 ,317 2,547 ,014 a. Dependent Variable: R_TINS 21. TKIM Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 ,072 a ,005 -,012 ,2023123 a. Predictors: Constant, R_IHSG ANOVA a Model Sum of Squares df Mean Square F Sig. 1 Regression ,012 1 ,012 ,299 ,587 b Residual 2,374 58 ,041 Total 2,386 59 a. Dependent Variable: R_TKIM b. Predictors: Constant, R_IHSG Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 Constant -,258 ,029 -9,000 ,000 R_IHSG ,036 ,066 ,072 ,547 ,587 a. Dependent Variable: R_TKIM 131 LAMPIRAN 7 HASIL UJI INDEPENDET SAMPLE T- test Group Statistics PERIODE N Mean Std. Deviation Std. Error Mean BETA 1 21 4,64790 20,863307 4,552747 2 21 -6,04348 28,390739 6,195367 Independent Samples Test BETA Equal variances assumed Equal variances not assumed Levenes Test for Equality of Variances F ,202 Sig. ,655 t-test for Equality of Means T 1,391 1,391 Df 40 36,724 Sig. 2-tailed ,172 ,173 Mean Difference 10,691381 10,691381 Std. Error Difference 7,688308 7,688308 95 Confidence Interval of the Difference Lower -4,847269 -4,890565 Upper 26,230031 26,273327 97 DAFTAR PUSTAKA Ahmed, P dan L. J. Lockwood, 1998, “Changes in Factor Betas and Risk Premium Over Varying Markets Conditions,” Financial Review, 33. Azis, Muzdalifah, dkk, 2015. Manajemen Investasi Fundamental, Teknikal, Perilaku Investor dan Return Saham, Badan Pengawas Pasar Modal, 2003. Panduan Investasi di Pasar Modal, hal 1-13 Bardwaj, R.K. dan Brooks, L. D., 1993. “Dual Betas From Bull and Bear markets: Reversal of The Size Effect”, Journal Financial Research, 4. Blume, E. M., 1975. “Betas and Their regression Tendencies,” Journal Finance, hal 785-795. Cara Uji Independent Sample T- Test dan Interpretasi dengan SPSS, online, http:www.spssindonesia.com Agustus 2015 30 Daniel N. Rahina, 2003. Analisis Pengaruh Ukuran Perusahaan dan Beta Terhadap Return Saham LQ45 Pada Pasar Bullish dan Bearish di BEJ Periode 1997-1999. Tesis tidak diterbitkan. Semarang : Universitas Diponegoro. Fabozzi F. J. dan Francis, J. C., 1977. “Stability Tests For Alphas and Betas Over Bull and Bear market Conditions”, Journal Finance, 32. Fabozzi, J. Frank, 1999. Manajemen Investasi, Buku Satu, Salemba Empat, Jakarta. Ghasarma, Reza, dkk, 2013. Analisis Beta Pada Pasar Bullish dan Bearish. Laporan Penelitian tidak dipublikasikan. Palembang. Universitas Sriwijaya. H. M Jogiyanto, 1998. Teori Portofolio dan Analisis Investasi. Edisi Kedua, BPFE Yogyakarta. Halim, Abdul, 2005, Analisis Investasi, Edisi Kedua, Salemba Empat. Husnan, Suad dan Pudjiastuti Enny 1993. Dasar-Dasar Teori Portofolio dan Analisis Sekuritas, Unit Penerbit dan Percetakan YKPN, Yokyakarta. Husnan, Suad, 1998. Dasar-Dasar Teori Portofolio dan Analisis Sekuritas, Edisi Kedua, UPP AMP YKPN, Yokyakarta. 98 Independen T Test dengan Uji Statistik, online, http:www.statistikian.com30 Agustus 2015 Istilah Bullish dan Bearish di Pasar Saham, online, http:pusatis.com 18 Mei 2015 Joe, 2012. Tutorial Trading Instaforex Indonesia. http:blog.primafx.comapa-itu-bullish-bearish-dan-sideways-market18 Mei 2015 Kondisi Perekonomian Indonesia, online, http:www.antaranews.comberita293176ekonomi-indonesia-2012-siap- tinggal-landas5 Desember 2015 http:bisnis.vivanews.comnewsread275807-gambaran-ekonomi-ri- tahun-20125 Desember 2015 http:24bit.wordpress.com20100328dampak-positif-dan-negatif- globalisasi-bagi-indonesia5 Desember 2015 http:id.wikipedia.orgwikiSpecial:Search?search=dampak+positif+dan+ negatif+globalisasi+ekonomigo=Go5 Desember 2015 Martono dan Harjito, Agus, 2001. Manajemen Keuangan. Edisi pertama, Ekonisia, Yogyakarta. Pasar Modal Indonesia, online, http:www.sahamok.com18 Mei 2015 Uung Kusneri, 2002. Beta Saham LQ45: Suatu Perbandingan Pada Periode Bullish Dan Periode Bearish Untuk Saham-Saham Yang Tercatat Di Bursa Efek Jakarta. Tesis tidak diterbitkan. Semarang: Universitas Diponegoro 38

BAB III METODE PENELITIAN

3.1 Jenis Penelitian dan Sumber Data

Jenis data yang digunakan dalam penelitian ini adalah data sekunder. Periode waktu yang digunakan dalam penelitian adalah dari tahun 2003 – 2012. Sumber data yang diperoleh berasal dari situs resmi BEI dan Yahoo Finance. Penelitian ini juga menggunakan sumber-sumber lain seperti jurnal, artikel serta literatur-literatur lainnya untuk menambahkan informasi terkait penelitian.

3.2 Populasi dan Sampel

Populasi yang digunakan sebagai objek penelitian ini adalah perusahaan- perusahaan go public yang tercatat di Bursa Efek Indonesia BEI dari Januari 2003 hingga Desember 2012. Sampel dalam penelitian ini adalah saham-saham yang termasuk dalam indeks LQ45. Penentuan sampel dalam penelitian ini menggunakan metode purposive sampling, yaitu sampel diseleksi berdasarkan kriteria-kriteria tertentu. Data yang digunakan adalah data harga penutupan saham closing price bulanan, serta Indeks Harga Saham Gabungan IHSG bulanan, dari periode Januari 2003 hingga tahun Desember 2012, data tersebut dipakai untuk menghitung return saham dan return pasar bulanan. Sampel yang digunakan dalam penelitian ini dipilih berdasarkan empat kriteria pemilihan saham, yaitu: 1. Tercatat di Bursa Efek Indonesia sejak tahun 2003 hingga 31 Desember 2012. 39 2. Tidak melakukan company action stock split, stock dividend, dan right issue selama periode periode Januari 2003 hingga tahun Desember 2012. Alasan penggunaan kriteria-kriteria tersebut adalah untuk menghindari bias pada data harga saham yang dilakukan perusahaan. 3. Telah tercatat minimal 5 kali dalam tercatat dalam indeks LQ45 selama periode penelitian, yaitu dari tahun 2003 sampai 2012. Tabel 3.1 Sampel Penelitian No Kode Saham No Kode Saham 1 AALI 12 INDF 2 ASII 13 INKP 3 BDMN 14 INTP 4 BNGA 15 KIJA 5 BRPT 16 LSIP 6 BUMI 17 MEDC 7 CMNP 18 SMCB 8 CTRA 19 SMRA 9 ELTY 20 TINS 10 GGRM 21 TKIM 11 GJTL Sumber: Data Olahan, Lampiran 1. Berdasarkan penilaian terhadap sampel-sampel diatas, maka terdapat 21 sampel yang terpilih menjadi objek penelitian yang mana sampel-sampel tersebut telah memenuhi kriteria dalam penelitian ini.

3.3 Defenisi Operasional

Berikut ini adalah defenisi operasional variabel yang digunakan dalam penelitian ini :

1. Return Saham

40 Return saham adalah keuntungan yang diperoleh dari kepemilikan saham investor atas investasi yang dilakukan. Return saham dihitung dengan formulasi berikut: Ri t = P t - P t – 1 P t - 1 dimana: R i,t = Return saham i untuk bulan ke-t Pt = Harga penutupan untuk bulan ke-t P t -1 = Harga penutupan untuk bulan ke t-1

2. Return Pasar

Return Pasar R m,t adalah tingkat keuntungan pasar, return pasar dihitung dengan formulasi berikut: Rm t = IHSG t – IHSG t – 1 IHSG t - 1 dimana: R mt = return pasar pada akhir bulan ke t IHSG t = IHSG untuk bulan ke t IHSG t-1 = IHSG untuk bulan ke t-1

3. Beta Saham

Beta saham merupakan perbandingan antara return saham dengan return pasar. Beta menggambarkan nilai resiko suatu saham. Apabila beta saham tinggi, berarti resiko terhadap saham tersebut tinggi dan memiliki return investasi yang tinggi juga. Beta saham yang rendah β1 berarti tingkat resiko saham rendah dan return invetasi rendah. Pergerakan beta saham yang bernilai kurang dari satu 41 juga cenderung lambat. Untuk menghitung beta saham digunakan model indeks tunggal dengan rumus : R i = α i + β i . R M + e i Dimana: R i = return sekuritas ke-i, β i = beta yang merupakan koefisien yang mengukur perubahan R i akibat dari perubahan R M R M = tingkat return dari indeks pasar, juga merupakan suatu variabel acak. α i = nilai ekspektasi dari return sekuritas yang independen terhadap return pasar, e i = kesalahan residu yang merupakan variabel acak dengan nilai ekspektasinya sama dengan nol atau Ee i = 0. Menurut PEFINDO Pemeringkat Efek Indonesia kriteria beta saham terbaik yaitu : 1. Beta saham harus stabil sepanjang waktu selama tidak terdapat perubahan fundamental kegiatan usaha atau tingkat risiko perusahaan. 2. Beta saham tidak terpengaruh oleh volatilitas pasar dalam jangka pendek. 3. Dalam jangka panjang beta saham cenderung mendekati nilai 1.

4. Kondisi Bulan Bullish dan Bearish.