Faktor-faktor yang Mempengaruhi Harga Saham Perusahaan Otomotif dan Komponen di Bursa Efek Indonesia
Lampiran 1
Daftar Populasi Sampel Penelitian
No.
Kode
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.
13.
ASII
AUTO
BRAM
GDYR
IMAS
INDS
MASA
NIPS
SMSM
GJTL
LPIN
PRAS
BOLT
Nama Perusahaan
PT. Astra Internasional, Tbk.
PT. Astra Otoparts, Tbk.
PT. Indokordsa, Tbk.
PT. Goodyear Indonesia, Tbk.
PT. Indomobil Sukses Internasional, Tbk.
PT. Indospring, Tbk.
PT. Multistrada Arah Sarana, Tbk.
PT. Nipress, Tbk.
PT. Selamat Sempurna, Tbk.
PT. Gajah Tunggal, Tbk.
PT. Multi Prima Sejahtera, Tbk
PT. Prima Alloy Steel Universal, Tbk
PT. Garuda Metalindo, Tbk
Kriteria
1
√
√
√
√
√
√
√
√
√
√
√
√
-
2
√
√
√
√
√
√
√
√
√
√
√
√
-
3
√
√
√
√
√
√
√
√
√
√
√
√
√
Sampel
Ke
1
2
3
4
5
6
7
8
9
10
11
12
-
93
Universitas Sumatera Utara
Lampiran 2
Analisis Statistik Deskriptif
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
Jarque-Bera
Probability
Sum
Sum Sq.
Dev.
Observations
ROE
9.995867
8.894044
36.75038
-7.775063
9.012680
0.595172
3.124556
3.581077
0.166870
ROA
7.873964
7.313857
30.93355
-5.335255
7.216867
1.150224
4.432050
18.35707
0.000103
DER
1.057844
0.948606
2.712202
0.252377
0.662621
0.800323
2.681045
6.659508
0.035802
PBV
1.170837
0.923580
3.949893
0.011283
0.938270
0.965680
3.215340
9.441301
0.008909
PER
20.01207
12.71688
173.3871
-5.894128
31.15112
3.331693
14.87307
463.4263
0.000000
EPS
HARGA_SAHAM
287.5015
2500.150
205.0000
2020.000
1501.440
7600.000
-413.6100
111.0000
331.4616
2195.434
1.372533
0.818076
5.488755
2.583062
34.32322
7.127079
0.000000
0.028338
599.7520 472.4378 63.47065 70.25025 1200.724 17250.09
150009.0
4792.476 3072.907 25.90491 51.94074 57253.14 6482141.
2.84E+08
60
60
60
60
60
60
60
94
Universitas Sumatera Utara
Lampiran 3
Uji Asumsi Klasik
a. Uji Normalitas
10
Series: Residuals
Sample 1 60
Observations 60
8
6
4
2
0
-2500 -2000 -1500 -1000
-500
0
500
1000
1500
2000
0
1,000
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-4.93e-13
-222.3607
2317.298
-2400.968
1184.152
0.362567
2.359374
Jarque-Bera
Probability
2.340557
0.310281
2500
3,000
Quantiles of Normal
2,000
1,000
0
-1,000
-2,000
-3,000
-3,000 -2,000 -1,000
2,000
3,000
Quantiles of RESID
95
Universitas Sumatera Utara
b. Uji Heteroskedastisitas
Heteroskedasticity Test: Glejser
F-statistic
Obs*R-squared
Scaled explained SS
1.038291
6.310762
5.258463
Prob. F(6,53)
Prob. Chi-Square(6)
Prob. Chi-Square(6)
0.4113
0.3893
0.5111
Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 12/18/16 Time: 15:15
Sample: 1 60
Included observations: 60
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROE
ROA
DER
PBV
PER
EPS
1005.567
-32.91629
6.546923
-85.35418
252.9881
0.650951
0.017098
254.4981
21.39028
23.97097
159.7695
128.7822
3.324365
0.332249
3.951176
-1.538843
0.273119
-0.534233
1.964465
0.195812
0.051461
0.0002
0.1298
0.7858
0.5954
0.0547
0.8455
0.9592
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.105179
0.003879
691.9432
25375626
-473.7850
1.038291
0.411256
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
951.9491
693.2891
16.02617
16.27051
16.12174
1.693215
c. Uji Multikolinearitas
Variance Inflation Factors
Date: 12/18/16 Time: 15:15
Sample: 1 60
Included observations: 60
Variable
Coefficient
Variance
Uncentered
VIF
Centered
VIF
C
ROE
ROA
DER
PBV
PER
EPS
211163.7
1491.706
1873.361
83222.02
54070.66
36.03029
0.359897
8.116699
10.30893
8.152361
4.960772
4.648344
1.876167
2.637987
NA
4.579860
3.687905
1.381113
1.799196
1.321527
1.494533
96
Universitas Sumatera Utara
d. Uji Autokorelasi
Dependent Variable: HARGA_SAHAM
Method: Least Squares
Date: 11/29/16 Time: 01:36
Sample: 1 60
Included observations: 60
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROE
ROA
DER
PBV
PER
EPS
943.2010
55.81126
-147.9176
-1125.658
1851.731
28.19940
2.163926
459.5256
38.62262
43.28235
288.4823
232.5310
6.002523
0.599914
2.052554
1.445041
-3.417505
-3.902001
7.963372
4.697924
3.607060
0.0451
0.1543
0.0012
0.0003
0.0000
0.0000
0.0007
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.709080
0.676145
1249.383
82730762
-509.2390
21.53008
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
2500.150
2195.434
17.20797
17.45231
17.30354
1.124775
97
Universitas Sumatera Utara
Lampiran 4
Analisis Regresi Linier Berganda
a. Metode Common Effect Model (CEM)
Dependent Variable: HARGA_SAHAM?
Method: Pooled Least Squares
Date: 12/18/16 Time: 15:07
Sample: 2011 2015
Included observations: 5
Cross-sections included: 12
Total pool (balanced) observations: 60
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROE?
ROA?
DER?
PBV?
PER?
EPS?
943.2010
55.81126
-147.9176
-1125.658
1851.731
28.19940
2.163926
459.5256
38.62262
43.28235
288.4823
232.5310
6.002523
0.599914
2.052554
1.445041
-3.417505
-3.902001
7.963372
4.697924
3.607060
0.0451
0.1543
0.0012
0.0003
0.0000
0.0000
0.0007
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.709080
0.676145
1249.383
82730762
-509.2390
21.53008
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
2500.150
2195.434
17.20797
17.45231
17.30354
0.956105
b. Fixed Effect Model (FEM)
Dependent Variable: HARGA_SAHAM?
Method: Pooled Least Squares
Date: 12/18/16 Time: 15:08
Sample: 2011 2015
Included observations: 5
Cross-sections included: 12
Total pool (balanced) observations: 60
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROE?
ROA?
DER?
PBV?
PER?
EPS?
Fixed Effects (Cross)
1255.592
1.617690
35.00052
-265.7881
941.6519
4.693925
0.130437
501.0668
28.12737
48.24749
380.5457
233.8303
5.090451
0.495531
2.505838
0.057513
0.725437
-0.698440
4.027074
0.922104
0.263226
0.0162
0.9544
0.4722
0.4888
0.0002
0.3617
0.7937
98
Universitas Sumatera Utara
_ASII--C
_AUTO--C
_BRAM--C
_GDYR--C
_IMAS--C
_INDS--C
_MASA--C
_NIPS--C
_SMSM--C
_GJTL--C
_LPIN--C
_PRAS--C
2727.289
-208.2254
1154.370
282.3621
1606.102
-361.5000
-1737.205
-1521.677
-2517.500
-436.4524
2175.931
-1163.495
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)
0.917750
0.884459
746.2572
23389789
-471.3403
27.56714
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
2500.150
2195.434
16.31134
16.93965
16.55711
1.090047
c. Random Effect Model (REM)
Dependent Variable: HARGA_SAHAM?
Method: Pooled EGLS (Cross-section random effects)
Date: 12/18/16 Time: 15:09
Sample: 2011 2015
Included observations: 5
Cross-sections included: 12
Total pool (balanced) observations: 60
Swamy and Arora estimator of component variances
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROE?
ROA?
DER?
PBV?
PER?
EPS?
Random Effects (Cross)
_ASII--C
_AUTO--C
_BRAM--C
_GDYR--C
_IMAS--C
_INDS--C
_MASA--C
_NIPS--C
1362.859
23.75010
-54.87683
-692.5391
1340.946
13.46221
0.783119
475.9575
26.56428
39.22035
301.0646
202.2046
4.565123
0.459383
2.863405
0.894061
-1.399193
-2.300300
6.631631
2.948927
1.704718
0.0060
0.3753
0.1676
0.0254
0.0000
0.0047
0.0941
1831.221
-473.0355
922.0071
345.8935
988.8257
-285.0424
-1366.358
-923.1953
99
Universitas Sumatera Utara
_SMSM--C
_GJTL--C
_LPIN--C
_PRAS--C
-1232.642
-165.0434
1297.573
-940.2037
Effects Specification
S.D.
Cross-section random
Idiosyncratic random
786.8008
746.2572
Rho
0.5264
0.4736
Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.493310
0.435949
872.1852
8.600080
0.000002
Mean dependent var
S.D. dependent var
Sum squared resid
Durbin-Watson stat
976.2896
1161.314
40317468
0.874102
Unweighted Statistics
R-squared
Sum squared resid
0.600159
1.14E+08
Mean dependent var
Durbin-Watson stat
2500.150
0.309938
100
Universitas Sumatera Utara
Lampiran 5
Tabulasi Data Variabel Penelitian
No.
1
2
3
4
Emiten
ASII
AUTO
BRAM
GDYR
Tahun
Ekuitas
Total Aset
Kewajiban
PUC
BVS
ROE
ROA
DER
PBV
PER
EPS
HARGA
SAHAM
21.077.000
25.774.000
75.838.000
154.319.000
78.481.000
40480
1873
27,79
16,70
1,03
3,95
16,86
439,00
7.400,00
2012
22.742.000
27.898.000
89.814.000
182.274.000
92.460.000
40480
2219
25,32
15,31
1,03
3,43
15,83
480,00
7.600,00
2013
22.297.000
27.523.000
106.188.000
213.994.000
107.806.000
40480
2623
21,00
12,86
1,02
2,59
14,17
480,00
6.800,00
2014
22.131.000
27.352.000
120.324.000
236.027.000
115.705.000
40480
2972
18,39
11,59
0,96
2,50
15,66
474,00
7.425,00
2015
15.613.000
19.630.000
126.533.000
245.435.000
118.902.000
40480
3126
12,34
8,00
0,94
1,92
16,81
357,00
6.000,00
2011
1.101.583
1.255.083
4.722.894
6.964.227
2.241.333
3856
1225
23,32
18,02
0,47
2,78
13,03
261,00
3.400,00
2012
1.135.914
1.263.368
5.485.099
8.881.642
3.396.543
3856
1422
20,71
14,22
0,62
2,60
14,02
264,00
3.700,00
2013
1.058.015
1.268.604
9.558.754
12.617.678
3.058.924
4820
1983
11,07
10,05
0,32
1,84
16,44
222,00
3.650,00
2014
954.086
1.091.040
10.142.706
14.387.568
4.244.862
4820
2104
9,41
7,58
0,42
2,00
23,33
180,00
4.200,00
2015
322.701
433.956
10.143.426
14.339.110
4.195.684
4820
2104
3,18
3,03
0,41
0,76
24,24
66,00
1.600,00
2011
71.040
123.007
1.201.725
1.660.119
458.394
450
2671
5,91
7,41
0,38
0,81
14,40
150,00
2.160,00
2012
235.834
237.555
1.591.744
2.160.857
532.422
450
3537
14,82
10,99
0,33
0,85
8,57
350,02
3.000,00
2013
57.972
78.770
1.703.529
2.500.237
796.708
450
3786
3,40
3,15
0,47
0,59
20,10
111,92
2.250,00
2014
195.119
267.470
2.110.609
3.662.204
1.551.595
450
4690
9,24
7,30
0,74
1,07
13,20
378,91
5.000,00
2015
173.352
252.087
2.522.108
4.023.524
1.501.416
450
5605
6,87
6,27
0,60
0,84
14,69
318,48
4.680,00
2011
18.932
27.479
414.155
1.148.313
734.159
41
10101
4,57
2,39
1,77
0,09
2,18
438,95
955,00
2012
59.258
85.399
494.821
1.162.821
668.000
41
12069
11,98
7,34
1,35
0,10
0,82
1.501,44
1.230,00
2013
48.476
73.893
588.123
1.161.564
573.441
41
14344
8,24
6,36
0,98
0,13
1,65
1.150,60
1.900,00
2014
32.567
55.859
687.707
1.490.668
802.961
41
16773
4,74
3,75
1,17
0,10
1,92
831,46
1.600,00
135.932
764.931
1.645.008
880.076
41
18657
-0,20
8,26
1,15
0,15
65,88
41,36
2.725,00
970.891
1.188.362
5.084.181
12.913.942
7.829.760
2420
2101
19,10
9,20
1,54
3,05
9,21
695,00
6.400,00
2012
899.091
1.073.071
5.708.445
17.577.664
11.869.219
2420
2359
15,75
6,10
2,08
2,25
18,28
289,93
5.300,00
2013
621.140
818.672
6.659.870
22.315.023
15.655.152
2765
2409
9,33
3,67
2,35
2,03
25,45
192,55
4.900,00
2014
(64.879)
21.841
6.719.824
23.473.797
16.753.973
2765
2430
-0,97
0,09
2,49
1,65
87,49
45,72
4.000,00
2015
(22.489)
183.307
6.697.092
24.860.958
18.163.866
2765
2422
-0,34
0,74
2,71
0,97
142,44
16,54
2.356,00
2011
IMAS
Laba Sebelum
Pajak
2011
2015
5
Laba Sesudah
Pajak
(1.530)
101
Universitas Sumatera Utara
Lanjutan Lampiran 5
No.
6
7
8
9
10
Emiten
INDS
MASA
NIPS
SMSM
GJTL
Tahun
Laba Sesudah
Pajak
Laba Sebelum
Pajak
2011
120.415
160.680
632.249
1.139.715
507.466
315
2007
19,05
14,10
0,80
1,16
3,03
772,00
2.336,00
2012
134.068
180.798
1.136.573
1.664.779
528.206
315
3608
11,80
10,86
0,46
0,69
5,85
422,80
2.473,00
2013
147.608
184.580
1.752.866
2.196.518
443.653
525
3339
8,42
8,40
0,25
0,64
6,12
349,53
2.140,00
2014
127.820
168.587
1.822.667
2.282.666
459.999
656
2778
7,01
7,39
0,25
0,58
8,28
193,27
1.600,00
2015
1.934
4.134
1.919.039
2.553.928
634.889
656
2925
0,10
0,16
0,33
0,12
30,59
11,44
350,00
2011
142.739
140.869
1.767.027
4.736.349
2.969.322
9183
192
8,08
2,97
1,68
1,30
10,68
23,40
250,00
2012
3.001
14.550
3.490.688
5.860.176
2.369.487
9183
380
0,09
0,25
0,68
1,18
15,98
28,15
450,00
2013
(37.672)
521.251
3.925.421
6.580.029
2.654.607
9183
427
-0,96
7,92
0,68
0,91
0,93
418,40
390,00
2014
6.534
28.070
4.407.737
7.372.913
2.965.177
9183
480
0,15
0,38
0,67
0,88
5,05
83,15
420,00
2015
(370.306)
520.040
4.762.740
8.250.544
3.487.804
9183
519
-7,78
6,30
0,73
0,68
-0,85
(413,61)
351,00
2011
17.831
24.780
165.998
446.688
280.691
20
8300
10,74
5,55
1,69
0,01
0,12
892,00
111,00
Ekuitas
Total Aset
Kewajiban
PUC
BVS
ROE
ROA
DER
PBV
PER
EPS
HARGA
SAHAM
2012
21.610
49.363
202.074
524.694
322.620
20
10104
10,69
9,41
1,60
0,01
0,11
1.081,00
114,00
2013
33.872
45.584
235.946
798.408
562.462
760
310
14,36
5,71
2,38
1,04
6,89
47,00
324,00
2014
49.742
103.700
582.222
1.206.854
624.632
1487
392
8,54
8,59
1,07
1,24
14,76
33,00
487,00
2015
30.671
118.138
609.003
1.547.720
938.717
1487
410
5,04
7,63
1,54
1,04
20,24
21,00
425,00
2011
111.954
309.644
782.892
1.327.800
544.907
1440
544
14,30
23,32
0,70
2,50
9,25
147,00
1.360,00
2012
155.862
344.721
820.329
1.441.204
620.876
1440
570
19,00
23,92
0,76
2,68
9,41
162,00
1.525,00
2013
251.036
416.143
1.016.753
1.712.710
695.957
1440
706
24,69
24,30
0,68
0,64
2,10
214,00
450,00
2014
421.467
541.150
1.146.837
1.749.395
602.558
1440
796
36,75
30,93
0,53
0,94
2,77
271,00
750,00
1.760,00
2015
403.702
583.717
1.440.248
2.220.108
779.860
1440
1000
28,03
26,29
0,54
1,76
5,93
297,00
2011
684.562
1.437.089
4.486.238
11.609.514
7.123.318
3485
1287
15,26
12,38
1,59
2,33
15,31
196,00
3.000,00
2012
1.132.247
942.608
5.478.384
12.869.793
7.391.409
3485
1572
20,67
7,32
1,35
1,42
6,85
325,00
2.225,00
2013
120.330
1.241.026
5.724.343
15.350.754
9.626.411
3485
1643
2,10
8,08
1,68
1,02
48,00
35,00
1.680,00
2014
283.016
394.059
5.983.292
16.042.897
10.059.605
3485
1717
4,73
2,46
1,68
0,83
18,51
77,00
1.425,00
2015
(313.326)
(682.059)
5.394.142
17.509.505
12.115.368
3485
1548
-5,81
-3,90
2,25
0,34
-5,89
(89,92)
530,00
102
Universitas Sumatera Utara
Lanjutan Lampiran 5
No.
11
12
Emiten
LPIN
PRAS
Tahun
Laba Sesudah
Pajak
Laba Sebelum
Pajak
2011
11.319
9.627
118.256
157.371
39.116
21
5631
9,57
6,12
0,33
0,39
4,13
533,00
2.200,00
2012
16.600
4.092
134.856
172.269
37.413
21
6422
12,31
2,38
0,28
0,49
4,03
781,00
3.150,00
2013
8.555
5.041
143.411
196.391
52.980
21
6829
5,97
2,57
0,37
0,73
12,41
403,00
5.000,00
Ekuitas
Total Aset
Kewajiban
PUC
BVS
ROE
ROA
DER
PBV
PER
EPS
HARGA
SAHAM
2014
4.131
8.106
139.280
185.596
46.316
21
6632
2,97
4,37
0,33
0,93
65,96
94,00
6.200,00
2015
18.174
18.699
116.491
324.055
207.564
21
5547
15,60
5,77
1,78
0,97
173,39
31,00
5.375,00
2011
1.354
(25.711)
139.797
481.912
342.115
588
238
0,97
-5,34
2,45
0,56
57,39
2,30
132,00
2012
15.565
9.977
280.294
577.350
297.056
588
477
5,55
1,73
1,06
0,53
9,62
26,50
255,00
185,00
2013
13.197
15.808
406.448
795.630
389.182
701
580
3,25
1,99
0,96
0,32
9,84
18,80
2014
11.341
15.015
685.822
1.286.828
601.006
701
978
1,65
1,17
0,88
0,21
10,85
18,80
204,00
2015
13.640
8.469
720.564
1.531.742
811.178
701
1028
1,89
0,55
1,13
0,15
16,41
9,20
151,00
103
Universitas Sumatera Utara
Daftar Populasi Sampel Penelitian
No.
Kode
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.
13.
ASII
AUTO
BRAM
GDYR
IMAS
INDS
MASA
NIPS
SMSM
GJTL
LPIN
PRAS
BOLT
Nama Perusahaan
PT. Astra Internasional, Tbk.
PT. Astra Otoparts, Tbk.
PT. Indokordsa, Tbk.
PT. Goodyear Indonesia, Tbk.
PT. Indomobil Sukses Internasional, Tbk.
PT. Indospring, Tbk.
PT. Multistrada Arah Sarana, Tbk.
PT. Nipress, Tbk.
PT. Selamat Sempurna, Tbk.
PT. Gajah Tunggal, Tbk.
PT. Multi Prima Sejahtera, Tbk
PT. Prima Alloy Steel Universal, Tbk
PT. Garuda Metalindo, Tbk
Kriteria
1
√
√
√
√
√
√
√
√
√
√
√
√
-
2
√
√
√
√
√
√
√
√
√
√
√
√
-
3
√
√
√
√
√
√
√
√
√
√
√
√
√
Sampel
Ke
1
2
3
4
5
6
7
8
9
10
11
12
-
93
Universitas Sumatera Utara
Lampiran 2
Analisis Statistik Deskriptif
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
Jarque-Bera
Probability
Sum
Sum Sq.
Dev.
Observations
ROE
9.995867
8.894044
36.75038
-7.775063
9.012680
0.595172
3.124556
3.581077
0.166870
ROA
7.873964
7.313857
30.93355
-5.335255
7.216867
1.150224
4.432050
18.35707
0.000103
DER
1.057844
0.948606
2.712202
0.252377
0.662621
0.800323
2.681045
6.659508
0.035802
PBV
1.170837
0.923580
3.949893
0.011283
0.938270
0.965680
3.215340
9.441301
0.008909
PER
20.01207
12.71688
173.3871
-5.894128
31.15112
3.331693
14.87307
463.4263
0.000000
EPS
HARGA_SAHAM
287.5015
2500.150
205.0000
2020.000
1501.440
7600.000
-413.6100
111.0000
331.4616
2195.434
1.372533
0.818076
5.488755
2.583062
34.32322
7.127079
0.000000
0.028338
599.7520 472.4378 63.47065 70.25025 1200.724 17250.09
150009.0
4792.476 3072.907 25.90491 51.94074 57253.14 6482141.
2.84E+08
60
60
60
60
60
60
60
94
Universitas Sumatera Utara
Lampiran 3
Uji Asumsi Klasik
a. Uji Normalitas
10
Series: Residuals
Sample 1 60
Observations 60
8
6
4
2
0
-2500 -2000 -1500 -1000
-500
0
500
1000
1500
2000
0
1,000
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-4.93e-13
-222.3607
2317.298
-2400.968
1184.152
0.362567
2.359374
Jarque-Bera
Probability
2.340557
0.310281
2500
3,000
Quantiles of Normal
2,000
1,000
0
-1,000
-2,000
-3,000
-3,000 -2,000 -1,000
2,000
3,000
Quantiles of RESID
95
Universitas Sumatera Utara
b. Uji Heteroskedastisitas
Heteroskedasticity Test: Glejser
F-statistic
Obs*R-squared
Scaled explained SS
1.038291
6.310762
5.258463
Prob. F(6,53)
Prob. Chi-Square(6)
Prob. Chi-Square(6)
0.4113
0.3893
0.5111
Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 12/18/16 Time: 15:15
Sample: 1 60
Included observations: 60
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROE
ROA
DER
PBV
PER
EPS
1005.567
-32.91629
6.546923
-85.35418
252.9881
0.650951
0.017098
254.4981
21.39028
23.97097
159.7695
128.7822
3.324365
0.332249
3.951176
-1.538843
0.273119
-0.534233
1.964465
0.195812
0.051461
0.0002
0.1298
0.7858
0.5954
0.0547
0.8455
0.9592
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.105179
0.003879
691.9432
25375626
-473.7850
1.038291
0.411256
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
951.9491
693.2891
16.02617
16.27051
16.12174
1.693215
c. Uji Multikolinearitas
Variance Inflation Factors
Date: 12/18/16 Time: 15:15
Sample: 1 60
Included observations: 60
Variable
Coefficient
Variance
Uncentered
VIF
Centered
VIF
C
ROE
ROA
DER
PBV
PER
EPS
211163.7
1491.706
1873.361
83222.02
54070.66
36.03029
0.359897
8.116699
10.30893
8.152361
4.960772
4.648344
1.876167
2.637987
NA
4.579860
3.687905
1.381113
1.799196
1.321527
1.494533
96
Universitas Sumatera Utara
d. Uji Autokorelasi
Dependent Variable: HARGA_SAHAM
Method: Least Squares
Date: 11/29/16 Time: 01:36
Sample: 1 60
Included observations: 60
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROE
ROA
DER
PBV
PER
EPS
943.2010
55.81126
-147.9176
-1125.658
1851.731
28.19940
2.163926
459.5256
38.62262
43.28235
288.4823
232.5310
6.002523
0.599914
2.052554
1.445041
-3.417505
-3.902001
7.963372
4.697924
3.607060
0.0451
0.1543
0.0012
0.0003
0.0000
0.0000
0.0007
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.709080
0.676145
1249.383
82730762
-509.2390
21.53008
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
2500.150
2195.434
17.20797
17.45231
17.30354
1.124775
97
Universitas Sumatera Utara
Lampiran 4
Analisis Regresi Linier Berganda
a. Metode Common Effect Model (CEM)
Dependent Variable: HARGA_SAHAM?
Method: Pooled Least Squares
Date: 12/18/16 Time: 15:07
Sample: 2011 2015
Included observations: 5
Cross-sections included: 12
Total pool (balanced) observations: 60
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROE?
ROA?
DER?
PBV?
PER?
EPS?
943.2010
55.81126
-147.9176
-1125.658
1851.731
28.19940
2.163926
459.5256
38.62262
43.28235
288.4823
232.5310
6.002523
0.599914
2.052554
1.445041
-3.417505
-3.902001
7.963372
4.697924
3.607060
0.0451
0.1543
0.0012
0.0003
0.0000
0.0000
0.0007
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.709080
0.676145
1249.383
82730762
-509.2390
21.53008
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
2500.150
2195.434
17.20797
17.45231
17.30354
0.956105
b. Fixed Effect Model (FEM)
Dependent Variable: HARGA_SAHAM?
Method: Pooled Least Squares
Date: 12/18/16 Time: 15:08
Sample: 2011 2015
Included observations: 5
Cross-sections included: 12
Total pool (balanced) observations: 60
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROE?
ROA?
DER?
PBV?
PER?
EPS?
Fixed Effects (Cross)
1255.592
1.617690
35.00052
-265.7881
941.6519
4.693925
0.130437
501.0668
28.12737
48.24749
380.5457
233.8303
5.090451
0.495531
2.505838
0.057513
0.725437
-0.698440
4.027074
0.922104
0.263226
0.0162
0.9544
0.4722
0.4888
0.0002
0.3617
0.7937
98
Universitas Sumatera Utara
_ASII--C
_AUTO--C
_BRAM--C
_GDYR--C
_IMAS--C
_INDS--C
_MASA--C
_NIPS--C
_SMSM--C
_GJTL--C
_LPIN--C
_PRAS--C
2727.289
-208.2254
1154.370
282.3621
1606.102
-361.5000
-1737.205
-1521.677
-2517.500
-436.4524
2175.931
-1163.495
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)
0.917750
0.884459
746.2572
23389789
-471.3403
27.56714
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
2500.150
2195.434
16.31134
16.93965
16.55711
1.090047
c. Random Effect Model (REM)
Dependent Variable: HARGA_SAHAM?
Method: Pooled EGLS (Cross-section random effects)
Date: 12/18/16 Time: 15:09
Sample: 2011 2015
Included observations: 5
Cross-sections included: 12
Total pool (balanced) observations: 60
Swamy and Arora estimator of component variances
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
ROE?
ROA?
DER?
PBV?
PER?
EPS?
Random Effects (Cross)
_ASII--C
_AUTO--C
_BRAM--C
_GDYR--C
_IMAS--C
_INDS--C
_MASA--C
_NIPS--C
1362.859
23.75010
-54.87683
-692.5391
1340.946
13.46221
0.783119
475.9575
26.56428
39.22035
301.0646
202.2046
4.565123
0.459383
2.863405
0.894061
-1.399193
-2.300300
6.631631
2.948927
1.704718
0.0060
0.3753
0.1676
0.0254
0.0000
0.0047
0.0941
1831.221
-473.0355
922.0071
345.8935
988.8257
-285.0424
-1366.358
-923.1953
99
Universitas Sumatera Utara
_SMSM--C
_GJTL--C
_LPIN--C
_PRAS--C
-1232.642
-165.0434
1297.573
-940.2037
Effects Specification
S.D.
Cross-section random
Idiosyncratic random
786.8008
746.2572
Rho
0.5264
0.4736
Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.493310
0.435949
872.1852
8.600080
0.000002
Mean dependent var
S.D. dependent var
Sum squared resid
Durbin-Watson stat
976.2896
1161.314
40317468
0.874102
Unweighted Statistics
R-squared
Sum squared resid
0.600159
1.14E+08
Mean dependent var
Durbin-Watson stat
2500.150
0.309938
100
Universitas Sumatera Utara
Lampiran 5
Tabulasi Data Variabel Penelitian
No.
1
2
3
4
Emiten
ASII
AUTO
BRAM
GDYR
Tahun
Ekuitas
Total Aset
Kewajiban
PUC
BVS
ROE
ROA
DER
PBV
PER
EPS
HARGA
SAHAM
21.077.000
25.774.000
75.838.000
154.319.000
78.481.000
40480
1873
27,79
16,70
1,03
3,95
16,86
439,00
7.400,00
2012
22.742.000
27.898.000
89.814.000
182.274.000
92.460.000
40480
2219
25,32
15,31
1,03
3,43
15,83
480,00
7.600,00
2013
22.297.000
27.523.000
106.188.000
213.994.000
107.806.000
40480
2623
21,00
12,86
1,02
2,59
14,17
480,00
6.800,00
2014
22.131.000
27.352.000
120.324.000
236.027.000
115.705.000
40480
2972
18,39
11,59
0,96
2,50
15,66
474,00
7.425,00
2015
15.613.000
19.630.000
126.533.000
245.435.000
118.902.000
40480
3126
12,34
8,00
0,94
1,92
16,81
357,00
6.000,00
2011
1.101.583
1.255.083
4.722.894
6.964.227
2.241.333
3856
1225
23,32
18,02
0,47
2,78
13,03
261,00
3.400,00
2012
1.135.914
1.263.368
5.485.099
8.881.642
3.396.543
3856
1422
20,71
14,22
0,62
2,60
14,02
264,00
3.700,00
2013
1.058.015
1.268.604
9.558.754
12.617.678
3.058.924
4820
1983
11,07
10,05
0,32
1,84
16,44
222,00
3.650,00
2014
954.086
1.091.040
10.142.706
14.387.568
4.244.862
4820
2104
9,41
7,58
0,42
2,00
23,33
180,00
4.200,00
2015
322.701
433.956
10.143.426
14.339.110
4.195.684
4820
2104
3,18
3,03
0,41
0,76
24,24
66,00
1.600,00
2011
71.040
123.007
1.201.725
1.660.119
458.394
450
2671
5,91
7,41
0,38
0,81
14,40
150,00
2.160,00
2012
235.834
237.555
1.591.744
2.160.857
532.422
450
3537
14,82
10,99
0,33
0,85
8,57
350,02
3.000,00
2013
57.972
78.770
1.703.529
2.500.237
796.708
450
3786
3,40
3,15
0,47
0,59
20,10
111,92
2.250,00
2014
195.119
267.470
2.110.609
3.662.204
1.551.595
450
4690
9,24
7,30
0,74
1,07
13,20
378,91
5.000,00
2015
173.352
252.087
2.522.108
4.023.524
1.501.416
450
5605
6,87
6,27
0,60
0,84
14,69
318,48
4.680,00
2011
18.932
27.479
414.155
1.148.313
734.159
41
10101
4,57
2,39
1,77
0,09
2,18
438,95
955,00
2012
59.258
85.399
494.821
1.162.821
668.000
41
12069
11,98
7,34
1,35
0,10
0,82
1.501,44
1.230,00
2013
48.476
73.893
588.123
1.161.564
573.441
41
14344
8,24
6,36
0,98
0,13
1,65
1.150,60
1.900,00
2014
32.567
55.859
687.707
1.490.668
802.961
41
16773
4,74
3,75
1,17
0,10
1,92
831,46
1.600,00
135.932
764.931
1.645.008
880.076
41
18657
-0,20
8,26
1,15
0,15
65,88
41,36
2.725,00
970.891
1.188.362
5.084.181
12.913.942
7.829.760
2420
2101
19,10
9,20
1,54
3,05
9,21
695,00
6.400,00
2012
899.091
1.073.071
5.708.445
17.577.664
11.869.219
2420
2359
15,75
6,10
2,08
2,25
18,28
289,93
5.300,00
2013
621.140
818.672
6.659.870
22.315.023
15.655.152
2765
2409
9,33
3,67
2,35
2,03
25,45
192,55
4.900,00
2014
(64.879)
21.841
6.719.824
23.473.797
16.753.973
2765
2430
-0,97
0,09
2,49
1,65
87,49
45,72
4.000,00
2015
(22.489)
183.307
6.697.092
24.860.958
18.163.866
2765
2422
-0,34
0,74
2,71
0,97
142,44
16,54
2.356,00
2011
IMAS
Laba Sebelum
Pajak
2011
2015
5
Laba Sesudah
Pajak
(1.530)
101
Universitas Sumatera Utara
Lanjutan Lampiran 5
No.
6
7
8
9
10
Emiten
INDS
MASA
NIPS
SMSM
GJTL
Tahun
Laba Sesudah
Pajak
Laba Sebelum
Pajak
2011
120.415
160.680
632.249
1.139.715
507.466
315
2007
19,05
14,10
0,80
1,16
3,03
772,00
2.336,00
2012
134.068
180.798
1.136.573
1.664.779
528.206
315
3608
11,80
10,86
0,46
0,69
5,85
422,80
2.473,00
2013
147.608
184.580
1.752.866
2.196.518
443.653
525
3339
8,42
8,40
0,25
0,64
6,12
349,53
2.140,00
2014
127.820
168.587
1.822.667
2.282.666
459.999
656
2778
7,01
7,39
0,25
0,58
8,28
193,27
1.600,00
2015
1.934
4.134
1.919.039
2.553.928
634.889
656
2925
0,10
0,16
0,33
0,12
30,59
11,44
350,00
2011
142.739
140.869
1.767.027
4.736.349
2.969.322
9183
192
8,08
2,97
1,68
1,30
10,68
23,40
250,00
2012
3.001
14.550
3.490.688
5.860.176
2.369.487
9183
380
0,09
0,25
0,68
1,18
15,98
28,15
450,00
2013
(37.672)
521.251
3.925.421
6.580.029
2.654.607
9183
427
-0,96
7,92
0,68
0,91
0,93
418,40
390,00
2014
6.534
28.070
4.407.737
7.372.913
2.965.177
9183
480
0,15
0,38
0,67
0,88
5,05
83,15
420,00
2015
(370.306)
520.040
4.762.740
8.250.544
3.487.804
9183
519
-7,78
6,30
0,73
0,68
-0,85
(413,61)
351,00
2011
17.831
24.780
165.998
446.688
280.691
20
8300
10,74
5,55
1,69
0,01
0,12
892,00
111,00
Ekuitas
Total Aset
Kewajiban
PUC
BVS
ROE
ROA
DER
PBV
PER
EPS
HARGA
SAHAM
2012
21.610
49.363
202.074
524.694
322.620
20
10104
10,69
9,41
1,60
0,01
0,11
1.081,00
114,00
2013
33.872
45.584
235.946
798.408
562.462
760
310
14,36
5,71
2,38
1,04
6,89
47,00
324,00
2014
49.742
103.700
582.222
1.206.854
624.632
1487
392
8,54
8,59
1,07
1,24
14,76
33,00
487,00
2015
30.671
118.138
609.003
1.547.720
938.717
1487
410
5,04
7,63
1,54
1,04
20,24
21,00
425,00
2011
111.954
309.644
782.892
1.327.800
544.907
1440
544
14,30
23,32
0,70
2,50
9,25
147,00
1.360,00
2012
155.862
344.721
820.329
1.441.204
620.876
1440
570
19,00
23,92
0,76
2,68
9,41
162,00
1.525,00
2013
251.036
416.143
1.016.753
1.712.710
695.957
1440
706
24,69
24,30
0,68
0,64
2,10
214,00
450,00
2014
421.467
541.150
1.146.837
1.749.395
602.558
1440
796
36,75
30,93
0,53
0,94
2,77
271,00
750,00
1.760,00
2015
403.702
583.717
1.440.248
2.220.108
779.860
1440
1000
28,03
26,29
0,54
1,76
5,93
297,00
2011
684.562
1.437.089
4.486.238
11.609.514
7.123.318
3485
1287
15,26
12,38
1,59
2,33
15,31
196,00
3.000,00
2012
1.132.247
942.608
5.478.384
12.869.793
7.391.409
3485
1572
20,67
7,32
1,35
1,42
6,85
325,00
2.225,00
2013
120.330
1.241.026
5.724.343
15.350.754
9.626.411
3485
1643
2,10
8,08
1,68
1,02
48,00
35,00
1.680,00
2014
283.016
394.059
5.983.292
16.042.897
10.059.605
3485
1717
4,73
2,46
1,68
0,83
18,51
77,00
1.425,00
2015
(313.326)
(682.059)
5.394.142
17.509.505
12.115.368
3485
1548
-5,81
-3,90
2,25
0,34
-5,89
(89,92)
530,00
102
Universitas Sumatera Utara
Lanjutan Lampiran 5
No.
11
12
Emiten
LPIN
PRAS
Tahun
Laba Sesudah
Pajak
Laba Sebelum
Pajak
2011
11.319
9.627
118.256
157.371
39.116
21
5631
9,57
6,12
0,33
0,39
4,13
533,00
2.200,00
2012
16.600
4.092
134.856
172.269
37.413
21
6422
12,31
2,38
0,28
0,49
4,03
781,00
3.150,00
2013
8.555
5.041
143.411
196.391
52.980
21
6829
5,97
2,57
0,37
0,73
12,41
403,00
5.000,00
Ekuitas
Total Aset
Kewajiban
PUC
BVS
ROE
ROA
DER
PBV
PER
EPS
HARGA
SAHAM
2014
4.131
8.106
139.280
185.596
46.316
21
6632
2,97
4,37
0,33
0,93
65,96
94,00
6.200,00
2015
18.174
18.699
116.491
324.055
207.564
21
5547
15,60
5,77
1,78
0,97
173,39
31,00
5.375,00
2011
1.354
(25.711)
139.797
481.912
342.115
588
238
0,97
-5,34
2,45
0,56
57,39
2,30
132,00
2012
15.565
9.977
280.294
577.350
297.056
588
477
5,55
1,73
1,06
0,53
9,62
26,50
255,00
185,00
2013
13.197
15.808
406.448
795.630
389.182
701
580
3,25
1,99
0,96
0,32
9,84
18,80
2014
11.341
15.015
685.822
1.286.828
601.006
701
978
1,65
1,17
0,88
0,21
10,85
18,80
204,00
2015
13.640
8.469
720.564
1.531.742
811.178
701
1028
1,89
0,55
1,13
0,15
16,41
9,20
151,00
103
Universitas Sumatera Utara