Analisis Pengaruh Debt to Eqiuty Ratio (DER), Current Ratio (CR), Dividen per Share (DPS), dan Return On Assets (ROA) terhadap Harga Saham Perusahaan Finansial Indeks KOMPAS 100

Lampiran 1
Data Keuangan Harga Saham (Stock Price), DER, CR, DPS, dan ROA
Perusahaan Finansial di Indeks KOMPAS 100 Tahun 2007-2012.
No
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17

18
19
20
21
22
23
24
25
26
27
28
29
30
31

Emiten
BBCA 2007
BBCA 2008
BBCA 2009
BBCA 2010

BBCA 2011
BBCA 2012
BBKP 2007
BBKP 2008
BBKP 2009
BBKP 2010
BBKP 2011
BBKP 2012
BBNI 2007
BBNI 2008
BBNI 2009
BBNI 2010
BBNI 2011
BBNI 2012
BBRI 2007
BBRI 2008
BBRI 2009
BBRI 2010
BBRI 2011
BBRI 2012

BBTN 2007
BBTN 2008
BBTN 2009
BBTN 2010
BBTN 2011
BBTN 2012
BDMN 2007

SP
7300
3250
4850
6400
8000
9100
560
200
361
626
580

620
1970
680
1891
3875
3800
3700
7400
4575
3825
5250
6750
6950
506
604
807
1577
1163
1450
8000

DER
9.66
9.54
9.14
8.51
8.09
13.3
16.53
14.08
13.65
15.45
12.07
12.14
9.64
12.07
10.88
6.5
6.9
15.02

9.48
10.01
10.63
10.02
8.43
7.5
7.78
8.98
9.71
9.61
11.17
10.13
7.22

CR
110
108
108
110
110

113
103
103
104
105
107
107
108
104
105
117
114
114
111
110
111
111
111
113
106

105
107
110
109
110
123

DPS
118.50
100.00
110.00
112.50
157.00
43.50
33.70
19.38
30.14
21.00
54.80
71.70

10.00
8.00
56.92
65.98
62.48
70.98
150.88
168.82
132.08
115.97
122.28
132.87
0.00
0.00
15.09
31.19
25.31
32.44
90.55

ROA
2.94
3.14
2.41
3.28
3.57
3.32
1.20
1.69
1.4
1.40
1.64
1.61
0.77
0.96
1.51
2.21
2.49
2.67
3.82

3.59
3.12
3.69
3.99
4.33
0.98
0.78
1.27
1.83
1.71
1.68
3.70

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32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68

BDMN 2008
BDMN 2009
BDMN 2010
BDMN 2011
BDMN 2012
BHIT 2007
BHIT 2008
BHIT 2009
BHIT 2010
BHIT 2011
BHIT 2012
BJBR 2007
BJBR 2008
BJBR 2009
BJBR 2010
BJBR 2011
BJBR 2012
BMRI 2007
BMRI 2008
BMRI 2009
BMRI 2010
BMRI 2011
BMRI 2012
PNBN 2007
PNBN 2008
PNBN 2009
PNBN 2010
PNBN 2011
PNBN 2012
PNLF 2007
PNLF 2008
PNLF 2009
PNLF 2010
PNLF 2011
PNLF 2012
SMMA 2007
SMMA 2008

3100
4418
5535
4100
5650
1050
199
50
163
295
540
650
870
970
1450
910
1060
3500
2025
4662
6392
6750
8100
680
580
760
1140
780
630
195
83
140
210
115
135
810
255

9.09
5.23
5.4
4.49
4.26
2.28
1.51
1.39
1.23
0.54
0.47
3.89
2.09
3.04
7.7
9.11
10.79
9.91
10.75
10.23
9.81
7.81
7.31
6.02
7.02
6.16
7.81
6.85
7.43
0.59
0.37
0.48
0.45
0.46
0.41
4.21
4.81

114
111
118
122
128
350
210
176
149
224
302
111
109
111
112
111
107
106
109
110
111
114
114
118
112
115
111
112
111
267
371
309
319
317
340
109
116

90.82
90.77
119.87
104.43
102.65
5.00
0.00
0.00
2.00
6.00
5.00
0.00
0.00
0.00
64.17
59.67
61.07
186.00
88.55
19.26
0.00
140.24
104.97
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

2.50
2.40
3.39
3.25
3.52
7.88
-1.84
3.06
9.10
7.34
9.41
1.90
2.28
3.04
0.81
2.42
1.76
1.99
2.25
2.74
3.11
2.99
3.23
2.45
1.79
1.81
1.74
2.19
2.04
7.66
6.39
6.65
8.42
8.80
9.46
2.00
2.24

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69
70
71
72

SMMA 2009
SMMA 2010
SMMA 2011
SMMA 2012

345
1800
4275
4575

4.48
4.46
2.08
2

118
101
102
110

1.00
1.00
1.00
1.00

3.96
4.91
4.57
2.41

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Lampiran 2
Hasil Statistik Deskriptif

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

DER
7.198056
7.740000
16.53000
0.370000
4.170232
-0.055312
2.262815

CR
138.5278
111.0000
371.0000
101.0000
69.00459
2.280497
6.676676

DPS
47.47958
23.15500
186.0000
0.000000
53.58772
0.794482
2.365092

ROA
3.204444
2.495000
9.460000
-1.840000
2.275944
1.296868
4.412668

SP
2500.653
1100.000
9100.000
50.00000
2549.041
0.954616
2.638191

Jarque-Bera
Probability

1.667037
0.434518

102.9618
0.000000

8.783748
0.012378

26.16928
0.000002

11.32821
0.003468

Sum
Sum Sq. Dev.

518.2600
1234.749

9974.000
338075.9

3418.530
203886.7

230.7200
367.7744

180047.0
4.61E+08

Observations
Cross sections

72
12

72
12

72
12

72
12

72
12

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Lampiran 3
Uji Akar Unit Variabel Debt to Equity Ratio
Null Hypothesis: Unit root (individual unit root process)
Series: DER_BBCA, DER_BBKP, DER_BBNI, DER_BBRI, DER_BBTN,
DER_BDMN, DER_BHIT, DER_BJBR, DER_BMRI, DER_PNBN,
DER_PNLF, DER_SMMA
Date: 06/09/14 Time: 23:23
Sample: 2007 2012
Exogenous variables: Individual effects
Automatic selection of maximum lags
Automatic selection of lags based on AIC: 0
Total (balanced) observations: 48
Cross-sections included: 12
Method
ADF - Fisher Chi-square
ADF - Choi Z-stat

Statistic
55.3371
-3.32707

Prob.**
0.0003
0.0004

** Probabilities for Fisher tests are computed using an asymptotic Chi
-square distribution. All other tests assume asymptotic normality.
Intermediate ADF test results D(DER?)
Series
D(DER_BBCA)
D(DER_BBKP)
D(DER_BBNI)
D(DER_BBRI)
D(DER_BBTN)
D(DER_BDMN)
D(DER_BHIT)
D(DER_BJBR)
D(DER_BMRI)
D(DER_PNBN)
D(DER_PNLF)
D(DER_SMMA)

Prob.
0.8473
0.1381
0.7582
0.6539
0.0707
0.0154
0.0916
0.2289
0.2136
0.0082
0.0018
0.2240

Lag
0
0
0
0
0
0
0
0
0
0
0
0

Max Lag
0
0
0
0
0
0
0
0
0
0
0
0

Obs
4
4
4
4
4
4
4
4
4
4
4
4

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Lampiran 4
Uji Akar Unit Current Ratio
Null Hypothesis: Unit root (individual unit root process)
Series: CR_BBCA, CR_BBKP, CR_BBNI, CR_BBRI, CR_BBTN,
CR_BDMN, CR_BHIT, CR_BJBR, CR_BMRI, CR_PNBN, CR_PNLF,
CR_SMMA
Date: 06/09/14 Time: 23:18
Sample: 2007 2012
Exogenous variables: Individual effects
Automatic selection of maximum lags
Automatic selection of lags based on AIC: 0
Total (balanced) observations: 48
Cross-sections included: 12
Method
ADF - Fisher Chi-square
ADF - Choi Z-stat

Statistic
50.7583
-3.08726

Prob.**
0.0011
0.0010

** Probabilities for Fisher tests are computed using an asymptotic Chi
-square distribution. All other tests assume asymptotic normality.
Intermediate ADF test results D(CR?)
Series
D(CR_BBCA)
D(CR_BBKP)
D(CR_BBNI)
D(CR_BBRI)
D(CR_BBTN)
D(CR_BDMN)
D(CR_BHIT)
D(CR_BJBR)
D(CR_BMRI)
D(CR_PNBN)
D(CR_PNLF)
D(CR_SMMA)

Prob.
0.4228
0.1780
0.2499
0.2754
0.1938
0.3500
0.4610
0.6737
0.0991
0.0004
0.0049
0.4185

Lag
0
0
0
0
0
0
0
0
0
0
0
0

Max Lag
0
0
0
0
0
0
0
0
0
0
0
0

Obs
4
4
4
4
4
4
4
4
4
4
4
4

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Lampiran 5
Uji Akar Unit Dividen Per Share
Null Hypothesis: Unit root (individual unit root process)
Series: DPS_BBCA, DPS_BBKP, DPS_BBNI, DPS_BBRI,
DPS_BBTN,
DPS_BDMN, DPS_BHIT, DPS_BJBR, DPS_BMRI, DPS_PNBN,
DPS_PNLF, DPS_SMMA
Date: 06/12/14 Time: 00:40
Sample: 2007 2012
Exogenous variables: Individual effects
Automatic selection of maximum lags
Automatic selection of lags based on AIC: 0
Total (balanced) observations: 30
Cross-sections included: 10 (2 dropped)
Method
ADF - Fisher Chi-square
ADF - Choi Z-stat

Statistic
39.9491
-2.89197

Prob.**
0.0051
0.0019

** Probabilities for Fisher tests are computed using an asymptotic Chi
-square distribution. All other tests assume asymptotic normality.
Intermediate ADF test results D(DPS?,2)
Series
D(DPS_BBCA,2)
D(DPS_BBKP,2)
D(DPS_BBNI,2)
D(DPS_BBRI,2)
D(DPS_BBTN,2)
D(DPS_BDMN,2)
D(DPS_BHIT,2)
D(DPS_BJBR,2)
D(DPS_BMRI,2)
D(DPS_PNBN,2)
D(DPS_PNLF,2)
D(DPS_SMMA,2)

Prob.
0.2409
0.0253
0.0910
0.0324
0.3501
0.2345
0.8737
0.3122
0.1475
0.0356

Lag
Max Lag
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Dropped from Test
Dropped from Test
0
0

Obs
3
3
3
3
3
3
3
3
3
3

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Lampiran 6
Uji Akar Unit Return On Assets
Null Hypothesis: Unit root (individual unit root process)
Series: ROA_BBCA, ROA_BBKP, ROA_BBNI, ROA_BBRI, ROA_BBTN,
ROA_BDMN, ROA_BHIT, ROA_BJBR, ROA_BMRI, ROA_PNBN,
ROA_PNLF, ROA_SMMA
Date: 06/12/14 Time: 00:37
Sample: 2007 2012
Exogenous variables: Individual effects
Automatic selection of maximum lags
Automatic selection of lags based on AIC: 0
Total (balanced) observations: 48
Cross-sections included: 12
Method
ADF - Fisher Chi-square
ADF - Choi Z-stat

Statistic
38.1574
-2.28042

Prob.**
0.0334
0.0113

** Probabilities for Fisher tests are computed using an asymptotic Chi
-square distribution. All other tests assume asymptotic normality.
Intermediate ADF test results D(ROA?)
Series
D(ROA_BBCA)
D(ROA_BBKP)
D(ROA_BBNI)
D(ROA_BBRI)
D(ROA_BBTN)
D(ROA_BDMN)
D(ROA_BHIT)
D(ROA_BJBR)
D(ROA_BMRI)
D(ROA_PNBN)
D(ROA_PNLF)
D(ROA_SMMA)

Prob.
0.2143
0.0473
0.4790
0.5066
0.3343
0.1769
0.0549
0.0762
0.4444
0.1222
0.1767
0.8884

Lag
0
0
0
0
0
0
0
0
0
0
0
0

Max Lag
0
0
0
0
0
0
0
0
0
0
0
0

Obs
4
4
4
4
4
4
4
4
4
4
4
4

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Lampiran 7
Uji Akar Unit Harga Saham (Stock Price)
Null Hypothesis: Unit root (individual unit root process)
Series: SP_BBCA, SP_BBKP, SP_BBNI, SP_BBRI, SP_BBTN, SP_BDMN,
SP_BHIT, SP_BJBR, SP_BMRI, SP_PNBN, SP_PNLF, SP_SMMA
Date: 06/09/14 Time: 23:41
Sample: 2007 2012
Exogenous variables: Individual effects
Automatic selection of maximum lags
Automatic selection of lags based on AIC: 0
Total (balanced) observations: 36
Cross-sections included: 12
Method
ADF - Fisher Chi-square
ADF - Choi Z-stat

Statistic
36.8543
0.77786

Prob.**
0.0452
0.7817

** Probabilities for Fisher tests are computed using an asymptotic Chi
-square distribution. All other tests assume asymptotic normality.
Intermediate ADF test results D(SP?,2)
Series
D(SP_BBCA,2)
D(SP_BBKP,2)
D(SP_BBNI,2)
D(SP_BBRI,2)
D(SP_BBTN,2)
D(SP_BDMN,2)
D(SP_BHIT,2)
D(SP_BJBR,2)
D(SP_BMRI,2)
D(SP_PNBN,2)
D(SP_PNLF,2)
D(SP_SMMA,2)

Prob.
0.9984
0.8467
0.7195
0.9622
0.8710
0.0118
0.4898
0.7612
0.0001
0.0622
0.8926
0.7971

Lag
0
0
0
0
0
0
0
0
0
0
0
0

Max Lag
0
0
0
0
0
0
0
0
0
0
0
0

Obs
3
3
3
3
3
3
3
3
3
3
3
3

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Lampiran 8
Hasil Uji Hausman (Hausman Test)
Correlated Random Effects - Hausman Test
Pool: POOL1
Test cross-section random effects
Chi-Sq.
Statistic

Chi-Sq. d.f.

Prob.

3.921700

4

0.4167

Random

Var(Diff.)

Prob.

20.028085 19.595966
-2.402180 -10.130719
9.560509 22.664177
130.232730 172.018982

11778.853096
76.465840
51.327462
3674.052361

0.9968
0.3768
0.0674
0.4906

Test Summary
Cross-section random

Cross-section random effects test comparisons:
Variable
DER?
CR?
DPS?
ROA?

Fixed

Cross-section random effects test equation:
Dependent Variable: SP?
Method: Panel Least Squares
Date: 06/12/14 Time: 01:14
Sample: 2007 2012
Included observations: 6
Cross-sections included: 12
Total pool (balanced) observations: 72
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
DER?
CR?
DPS?
ROA?

1818.006
20.02808
-2.402180
9.560509
130.2327

1864.618
140.7796
10.84201
9.131795
185.8611

0.975002
0.142266
-0.221562
1.046947
0.700699

0.3338
0.8874
0.8255
0.2996
0.4864

Effects Specification
Cross-section fixed (dummy variables)
R-squared
Adjusted R-squared

0.519503
0.390798

Mean dependent var
S.D. dependent var

2500.653
2549.041

Universitas Sumatera Utara

S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

1989.563
2.22E+08
-640.0045
4.036392
0.000066

Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

18.22235
18.72827
18.42376
1.563881

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Lampiran 9
Hasil Estimasi Random Effect Model (REM)
Dependent Variable: SP?
Method: Pooled EGLS (Cross-section random effects)
Date: 06/12/14 Time: 00:00
Sample: 2007 2012
Included observations: 6
Cross-sections included: 12
Total pool (balanced) observations: 72
Swamy and Arora estimator of component variances
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
DER?
CR?
DPS?
ROA?
Random Effects
(Cross)
_BBCA—C
_BBKP—C
_BBNI—C
_BBRI—C
_BBTN—C
_BDMN—C
_BHIT—C
_BJBR—C
_BMRI—C
_PNBN—C
_PNLF—C
_SMMA—C

2135.675
19.59597
-10.13072
22.66418
172.0190

1255.696
89.66631
6.409623
5.662351
175.6994

1.700790
0.218543
-1.580548
4.002609
0.979053

0.0936
0.8277
0.1187
0.0002
0.3311

406.7514
-598.6308
342.1782
-104.2141
139.1714
44.95368
-181.8221
-249.0301
365.3424
-269.5986
-2.510647
107.4093
Effects Specification
S.D.

Cross-section random
Idiosyncratic random

585.8307
1989.563

Rho
0.0798
0.9202

Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)

0.305623
0.264167
1988.400
7.372337
0.000055

Mean dependent var
S.D. dependent var
Sum squared resid
Durbin-Watson stat

2028.156
2318.004
2.65E+08
1.318392

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Unweighted Statistics
R-squared
Sum squared resid

0.388319
2.82E+08

Mean dependent var
Durbin-Watson stat

2500.653
1.237627

Universitas Sumatera Utara