Pengaruh Pengumuman Bond Rating Terhadap Return Saham di Bursa Efek Indonesia (Studi Empiris pada Perusahaan yang Terdaftar dalam Index Kompas 100 Tahun 2010-2014)

   

LAMPIRAN 1.1

  

Data Perusahaan Index Kompas 100 yang Melakukan Bond Rating

NO KODE NAMA PERUSAHAAN

  1 BDMN PT. Bank Danamon Indonesia Tbk.

  2 BMRI PT. Bank Mandiri Tbk.

  3 BSDE PT. Bumi Serpong Damai Tbk.

  4 INDF PT. Indofood sukses Makmur Tbk.

  5 ISAT PT. Indosat Tbk.

  6 JSMR PT. Jasa Marga Tbk.

  7 MEDC PT. Medco Energi International Tbk.

  8 SMRA PT. Summarecon Agung Tbk.

LAMPIRAN 1.2 Data Saham Index Kompas 100 6 Hari Sebelum Pengumuman Bond rating KODE PERUSAHAAN TAHUN t-6 t-5 t-4 t-3 t-2 t-1

                                 

  BDMN 2010 727616 731808 739807 742682 745456 741900 BMRI 2010 849048 843936 832847 834812 834689 849802 BSDE 2010 840623 845647 849048 843936 832847 834812

  INDF 2010 706798 706225 711382 709798 699311 704559

  ISAT 2010 790055 805252 819990 819089 824043 823411 JSMR 2010 601299 648978 653552 675337 655818 657625 MEDC 2010 823411 835407 840623 845647 849048 843936 SMRA 2010 683461 696995 702759 706798 706225 711382 BDMN 2011 938112 932659 944334 956099 947608 942947 BMRI 2011 754968 770416 745083 793331 793949 800147 BSDE 2011 871647 877327 863130 833952 793731 787553

  INDF 2011 879778 880228 876559 872990 880306 880250

  ISAT 2011 800147 802722 754911 735725 741448 777718 JSMR 2011 884249 875822 879803 894911 903846 909795 MEDC 2011 862984 879778 880228 876559 872990 880306 SMRA 2011 879778 880228 876559 872990 880306 880250 BDMN 2012 880797 882165 883743 905082 908145 919655 BMRI 2012 940428 929193 937040 925594 936154 945090 BSDE 2012 929327 923231 927366 932092 926711 929789

  INDF 2012 908416 906113 917378 920272 923415 927437

  ISAT 2012 900460 911804 908127 905565 904877 903805 JSMR 2012 864192 879517 888696 869026 880523 896746 MEDC 2012 908416 906113 917378 920272 923415 927437 SMRA 2012 926788 929709 928126 933602 929091 932135 BDMN 2013 981551 990004 989557 992952 995568 984672 BMRI 2013 917592 927225 938797 945981 939049 936368 BSDE 2013 1078737 1083067 1089969 1074750 1075169 1068318

  INDF 2013 1051076 1033588 1047779 1059081 1078978 1081600

  ISAT 2013 1052222 1049317 1067712 1072221 1077408 1071319 JSMR 2013 987490 956794 939249 936221 979198 1002754 MEDC 2013 943701 947816 917592 927225 938797 945981 SMRA 2013 1049317 1067712 1072221 1077408 1071319 1065991 BDMN 2014 1114731 1116027 1112019 1122352 1119892 1105857 BMRI 2014 1132697 1127260 1134554 1116792 1120713 1118483 BSDE 2014 1021342 1031568 1061383 1060820 1066548 1056975

  INDF 2014 1017833 1022307 1017270 1023780 1021342 1031568

  ISAT 2014 990910 995317 1008454 1015606 1014703 1012481 JSMR 2014 1086748 1087040 1084532 1088681 1061772 1065962 MEDC 2014 1118843 1116696 1081855 1070235 1084442 1092561 SMRA 2014 1114312 1114736 1116027 1112019 1122352 1119892

   

LAMPIRAN 1.3 Data Saham Index Kompas 100 6 Hari Setelah Pengumuman Bond rating

  

KODE PERUSAHAAN KODE t0 t1 t2 t3 t4 t5

  BDMN 2010 747720 748719 737914 736502 731893 745669 BMRI 2010 852172 846490 838490 845129 841720 843013 BSDE 2010 834689 849802 852172 846490 838588 845129

  INDF 2010 715647 712956 713443 684379 675911 656820

  ISAT 2010 835407 840623 845647 849048 843936 832847 JSMR 2010 677676 680047 661251 668685 670075 665050 MEDC 2010 832847 834812 834689 859802 852172 846490 SMRA 2010 709798 669311 704559 715674 712956 713443 BDMN 2011 958738 954841 944803 940700 893721 878271 BMRI 2011 802722 754910 736725 741448 777718 773076 BSDE 2011 813881 817113 816792 808131 810542 807298

  INDF 2011 880533 888378 879257 879252 878722 874402

  ISAT 2011 723076 779653 799880 826576 836072 832997 JSMR 2011 901623 897448 902996 920214 917579 903724 MEDC 2011 880250 880553 888378 879257 879252 878722 SMRA 2011 880533 888378 879257 879252 878722 874402 BDMN 2012 916442 907031 908846 909758 904592 906105 BMRI 2012 938976 944223 942655 949215 959067 950275 BSDE 2012 913131 928848 933709 926788 929709 928126

  INDF 2012 938266 951100 928162 935743 931656 929327

  ISAT 2012 907474 908416 906113 917378 920272 923415 JSMR 2012 880350 859847 864057 864024 864686 841572 MEDC 2012 938266 951100 928162 935743 931656 929327 SMRA 2012 935636 941586 941350 938328 925328 930231 BDMN 2013 999898 1011431 1006359 977406 885488 895631 BMRI 2013 950281 957236 964535 974025 966063 972727 BSDE 2013 1069311 1063129 1075614 1078065 1067517 1081508

  INDF 2013 1078737 1078067 1089969 1074750 1075169 1068318

  ISAT 2013 1065991 1052950 1060279 1057625 1061890 1064091 JSMR 2013 1039837 1028668 1015652 978475 980652 986838 MEDC 2013 939049 936368 950281 957236 964535 974025

  SMRA 2013 1052950 1060279 1057625 1061890 1064091 1055076 BDMN 2014 1107096 1103475 1119384 1123625 1133366 1129388 BMRI 2014 1116696 1081855 1070235 1084442 1092561 1073131 BSDE 2014 1074533 1074923 1033573 1047502 1058803 1059117

  INDF 2014 1061383 1060820 1066548 1056975 1074533 1074923

  ISAT 2014 1018282 1013147 1024041 1065447 1064615 1046950 JSMR 2014 1073391 1070905 1071996 1058737 1075472 1080799 MEDC 2014 1073131 1081665 1073770 1060822 1064208 1073484 SMRA 2014 1105857 1107096 1103475 1119384 1123625 1133366

   

LAMPIRAN 1.4 Data Return Saham 5 Hari Sebelum Pengumuman Bond rating

  DATA RETURN SAHAM SEBELUM KODE PENGUMUMAN BOND RATING KODE PERUSAHAAN t-5 t-4 t-3 t-2 t-1

  BDMN 2010 0.005761 0.01093 0.003886 0.003735 -0.00477 BMRI 2010 -0.00602 -0.01314 0.002359 -0.00015 0.018106 BSDE 2010 0.005977 0.004022 -0.00602 -0.01314 0.002359

  INDF 2010 -0.00081 0.007302 -0.00223 -0.01477 0.007505

  ISAT 2010 0.019235 0.018302 -0.0011 0.006048 -0.00077 JSMR 2010 0.079293 0.007048 0.033333 -0.0289 0.002755 MEDC 2010 0.014569 0.006244 0.005977 0.004022 -0.00602 SMRA 2010 0.019802 0.00827 0.005747 -0.00081 0.007302 BDMN 2011 -0.00581 0.012518 0.012459 -0.00888 -0.00492 BMRI 2011 0.020462 -0.03288 0.064755 0.000779 0.007807 BSDE 2011 0.006516 -0.01618 -0.0338 -0.04823 -0.00778

  INDF 2011 0.000511 -0.00417 -0.00407 0.00838 -6.4E-05

  ISAT 2011 0.003218 -0.05956 -0.02541 0.007779 0.048918 JSMR 2011 -0.00953 0.004545 0.017172 0.009984 0.006582 MEDC 2011 0.01946 0.000511 -0.00417 -0.00407 0.00838 SMRA 2011 0.000511 -0.00417 -0.00407 0.00838 -6.4E-05 BDMN 2012 0.001553 0.001789 0.024146 0.003384 0.012674 BMRI 2012 -0.01195 0.008445 -0.01222 0.011409 0.009545 BSDE 2012 -0.00656 0.004479 0.005096 -0.00577 0.003321

  INDF 2012 -0.00254 0.012432 0.003155 0.003415 0.004356

  ISAT 2012 0.012598 -0.00403 -0.00282 -0.00076 -0.00118 JSMR 2012 0.017733 0.010436 -0.02213 0.01323 0.018424 MEDC 2012 -0.00254 0.012432 0.003155 0.003415 0.004356 SMRA 2012 0.003152 -0.0017 0.0059 -0.00483 0.003276

                                  BDMN 2013 0.008612 -0.00045 0.003431 0.002635 -0.01094 BMRI 2013 0.010498 0.01248 0.007652 -0.00733 -0.00286 BSDE 2013 0.004014 0.006373 -0.01396 0.00039 -0.00637

  INDF 2013 -0.01664 0.01373 0.010787 0.018787 0.00243

  ISAT 2013 -0.00276 0.01753 0.004223 0.004838 -0.00565 JSMR 2013 -0.03108 -0.01834 -0.00322 0.015905 0.024056 MEDC 2013 0.00436 -0.03189 0.010498 0.04248 0.007652 SMRA 2013 0.01753 0.004223 0.004838 -0.00565 -0.00497 BDMN 2014 0.001163 -0.00359 0.009292 -0.00219 -0.01253 BMRI 2014 -0.0048 0.006471 -0.01566 0.003511 -0.00199 BSDE 2014 0.010012 0.028903 -0.00053 0.0054 -0.00898

  INDF 2014 0.004396 -0.00493 0.006399 -0.00238 0.010012

  ISAT 2014 0.004447 0.013199 0.007092 -0.00089 -0.00219 JSMR 2014 0.000269 -0.00231 0.003826 -0.02472 0.003946 MEDC 2014 -0.00192 -0.0312 -0.01074 0.013275 0.007487 SMRA 2014 0.000381 0.001158 -0.00359 0.009292 -0.00219

  Rata-Rata Return Saham 0.004827 0.000131 0.002236 0.000675 0.003425

   

LAMPIRAN 1.5 Data Return Saham 5 Hari Setelah Pengumuman Bond rating KODE PERUSAHAAN KODE DATA RETURN SAHAM SEBELUM PENGUMUMAN BOND

  RATING t-0 t1 t2 t3 t4 t5

  BDMN 2010 0.007845 0.001336 -0.01443 -0.00191 -0.00626 0.018822 BMRI 2010 0.002789 -0.00667 -0.00945 0.007918 -0.00403 0.001536 BSDE 2010 -0.00015 0.018106 0.002789 -0.00667 -0.00934 0.0078

  INDF 2010 0.015738 -0.00376 0.000683 -0.04074 -0.01237 -0.02824

  ISAT 2010 0.014569 0.006244 0.005977 0.004022 -0.00602 -0.01314 JSMR 2010 0.03049 0.003499 -0.02764 0.011242 0.002079 -0.0075 MEDC 2010 -0.01314 0.002359 -0.00015 0.030087 -0.00887 -0.00667 SMRA 2010 -0.00223 -0.05704 0.052663 0.015776 -0.0038 0.000683 BDMN 2011 0.016746 -0.00406 -0.01051 -0.00434 -0.04994 -0.01729 BMRI 2011 0.003218 -0.05956 -0.02409 0.006411 0.048918 -0.00597 BSDE 2011 0.03343 0.003971 -0.00039 -0.0106 0.002983 -0.004

  INDF 2011 0.000321 0.008909 -0.01027 -5.7E-06 -0.0006 -0.00492

  ISAT 2011 -0.07026 0.078245 0.025944 0.033375 0.011488 -0.00368 JSMR 2011 -0.00898 -0.00463 0.006182 0.019068 -0.00286 -0.0151 MEDC 2011 -6.4E-05 0.000344 0.008886 -0.01027 -5.7E-06 -0.0006 SMRA 2011 0.000321 0.008909 -0.01027 -5.7E-06 -0.0006 -0.00492

  BDMN 2012 -0.00349 -0.01027 0.002001 0.001003 -0.00568 0.001673 BMRI 2012 -0.00647 0.005588 -0.00166 0.006959 0.010379 -0.00917 BSDE 2012 -0.01792 0.017212 0.005233 -0.00741 0.003152 -0.0017

  INDF 2012 0.011676 0.013678 -0.02412 0.008168 -0.00437 -0.0025

  ISAT 2012 0.00406 0.001038 -0.00254 0.012432 0.003155 0.003415 JSMR 2012 -0.01828 -0.02329 0.004896 -3.8E-05 0.000766 -0.02673 MEDC 2012 0.011676 0.013678 -0.02412 0.008168 -0.00437 -0.0025 SMRA 2012 0.003756 0.006359 -0.00025 -0.00321 -0.01385 0.005299 BDMN 2013 0.015463 0.011534 -0.00501 -0.0287 -0.0635 -0.03268 BMRI 2013 0.014858 0.007319 0.007625 0.009839 -0.00817 0.006898 BSDE 2013 0.000929 -0.00578 0.011744 0.002279 -0.00978 0.013106

  INDF 2013 -0.00265 -0.00062 0.01104 -0.01396 0.00039 -0.00637

  ISAT 2013 -0.00497 -0.01223 0.00696 -0.0025 0.004033 0.002073 JSMR 2013 0.036981 -0.01074 -0.01265 -0.0366 0.002225 0.006308 MEDC 2013 -0.00733 -0.00286 0.014858 0.007319 0.007625 0.009839 SMRA 2013 -0.01223 0.00696 -0.0025 0.004033 0.002073 -0.00847 BDMN 2014 0.00112 -0.00327 0.014417 0.003789 0.008669 -0.00351 BMRI 2014 -0.0016 -0.0312 -0.01074 0.013275 0.007487 -0.01778 BSDE 2014 0.016612 0.000363 -0.03847 0.013477 0.010789 0.000297

  INDF 2014 0.028903 -0.00053 0.0054 -0.00898 0.016612 0.000363

  ISAT 2014 0.005729 -0.00504 0.010753 0.040434 -0.00078 -0.01659 JSMR 2014 0.006969 -0.00232 0.001019 -0.01237 0.015807 0.004953 MEDC 2014 -0.01778 0.007952 -0.0073 -0.01206 0.003192 0.008716 SMRA 2014 -0.01253 0.00112 -0.00327 0.014417 0.003789 0.008669 Rata-Rata Return Saham 0.002103 -0.00048 -0.00102 0.001828 -0.00124 -0.00349

                     

                                 

LAMPIRAN 2.1 Hasil Statistik Deskriptif Descriptive Statistics

  N Mean Std.

  Deviation Minimum Maximum

t-5 40 0.00483 0.01605 -0.03108 0.07929

t-4 40 0.00013 0.01650 -0.05956 0.02890

t-3 40 0.00224 0.01597 -0.03380 0.06476

t-2 40 0.00067 0.01419 -0.04823 0.04248

t-1 40 0.00343 0.01090 -0.01253 0.04892

t-0 40 0.00210 0.01800 -0.07026 0.03698

t1 40 -0.00048 0.02062 -0.05956 0.07824

t2 40 -0.00102 0.01565 -0.03847 0.05266

t3 40 0.00183 0.01619 -0.04074 0.04043

t4 40 -0.00124 0.01670 -0.06350 0.04892

t5 40 -0.00349 0.01112 -0.03268 0.01882

LAMPIRAN 2.2 Hasil Uji Normalitas One-Sample Kolmogorov-Smirnov Test

• Data tidak normal

                                                                  

  t-5 t-4 t-3 t-2 t-1 t-0 t1 t2 t3 t4 t5

N 40 40 40 40 40 40 40 40 40 40 40

Normal Parameters ^a,,b Mean 0.00483 0.00013 0.00224 0.00067 0.00343 0.00210 -0.00048 -0.00102 0.00183 -0.00124 -0.00349

  Std. Deviation 0.01605 0.01650 0.01597 0.01419 0.01090 0.01800 0.02062 0.01565 0.01619 0.01670 0.01112

  Most Extreme Differences Absolute 0.15807 0.20461 0.17116 0.14973 0.14975 0.10792 0.20704 0.10735 0.09447 0.20442 0.11249 Positive 0.15807 0.12994 0.17116 0.11222 0.14975 0.10792 0.17446 0.10735 0.09447 0.15108 0.06527 Negative -0.13896 -0.20461 -0.14421 -0.14973 -0.08446 -0.10364 -0.20704 -0.09279 -0.09028 -0.20442 -0.11249 Kolmogorov-Smirnov Z 0.99974 1.29405 1.08254 0.94695 0.94712 0.68252 1.30946 0.67896 0.59746 1.29288 0.71143

  Asymp. Sig. (2-tailed) 0.27028 0.07023 0.19176 0.33125 0.33104 0.74011 0.06481 0.74591 0.86762 0.07065 0.69213