Analisis Pengaruh Kebijakan Dividen dan Struktur Modal Terhadap Harga Saham dan Beta Saham Pada Perusahaan yang Terdaftar di Jakarta ISLAMIC Index Periode 2011-2014
Lampiran 1
Populasi dan Sampel Penelitian
No.
Kode
Emiten
Nama Perusahaan
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
AALI
ADRO
AKRA
ANTM
ASII
ASRI
BMTR
BSDE
CPIN
ICBP
INCO
INDF
INTP
ITMG
KLBF
LPKR
LSIP
MNCN
MPPA
PGAS
PTBA
PTPP
SILO
SMGR
SMRA
SSMS
TLKM
UNTR
UNVR
WIKA
PT. Astra Agro Lestari, Tbk
PT. Adaro Energy, Tbk
PT. AKR Corporindo, Tbk
PT. Aneka Tambang (Persero), Tbk
PT. Astra International, Tbk
PT. Alam Sutera Reality, Tbk
PT. Global Mediacom, Tbk
PT. Bumi Serpong Damai, Tbk
PT. Charoen Pokhpand, Tbk
PT. Indofood CBP Sukses Makmur, Tbk
PT. Vale Indonesia, Tbk
PT. Indofood Sukses Makmur, Tbk
PT. Indocement Tunggal Prakasa, Tbk
PT. Indo Tambangraya Megah, Tbk
PT. Kalbe Farma, Tbk
PT. Lippo Karawaci, Tbk
PT. PP. London Sumatera Plantation, Tbk
PT. Media Nusantara Citra, Tbk
PT. Matahari Putra Prima, Tbk
PT. Perusahaan Gas Negara (Persero), Tbk
PT. Tambang Batubara Bukit Asam (Persero), Tbk
PT. PP (Persero), Tbk
PT. Siloam International Hospitals, Tbk
PT. Semen Indonesia, Tbk
PT. Summarecon Agung, Tbk
PT. Sawit Sumbermas Sarana, Tbk
PT. Telekomunikasi Indonesia (Persero), Tbk
PT. United Tractors, Tbk
PT. Unilever Indonesia, Tbk
PT. Wijaya Karya (Persero), Tbk
Terdaftar di
JII pada
Periode 20112014
Membayar
dividen pada
periode 20112014
×
×
×
×
×
×
×
×
×
×
×
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Sampel
ke
Universitas Sumatera Utara
1
2
3
4
5
6
7
8
9
10
11
12
13
14
-
Lampiran 2
Tabulasi Data Variabel Penelitian
Tahun
2011
Dividen
(Rp)
EPS
(Rp)
Total
Hutang (Rp)
DPR
(%)
DER
(%)
Harga
Saham (Rp)
BETA
8.426.158
65,14
21,10
22.217
0,976
28.240
21.440
47,07
131,71
2.227
0,232
600
4.733.540
3.574.704
37,50
132,42
2.191
0,962
198
439
78.481.000
75.838.000
45,10
103,49
61.710
0,195
CPIN
42
144
2.658.734
6.189.470
29,17
42,96
2.154
1,623
6
INDF
175
350
21.975.708
31.610.225
50,00
69,52
5.296
1,100
7
INTP
293
977
2.417.380
15.733.951
29,99
15,36
15.537
1,508
8
ITMG
2.370
4.214
4.369.045
9.488.378
56,24
46,05
45.108
1,280
9
KLBF
95
158
1.758.619
6.515.935
60,13
26,99
3.327
1,237
10
LSIP
100
249
952.435
5.839.424
40,16
16,31
3.719
0,032
11
PTBA
700
1.339
3.342.102
8.165.002
52,28
40,93
19.741
0,028
12
SMGR
331
662
5.046.506
14.615.097
49,98
34,53
9.172
0,018
13
UNTR
820
1.657
18.936.114
27.503.948
49,49
68,85
23.174
0,063
14
UNVR
546
546
6.801.375
3.680.937
100,00
184,77
30.121
0,045
1
AALI
685
1.531
3.054.409
9.365.411
44,75
32,61
21.291
1,208
2
ADRO
22
121
34.695
28.106
18,33
123,44
1.605
1,733
3
AKRA
65
167
7.577.785
4.209.740
38,84
180,01
3.877
1,280
4
ASII
216
480
92.460.000
89.814.000
45,00
102,95
35.079
0,470
5
CPIN
46
164
4.172.163
8.176.464
28,05
51,03
2.882
1,364
6
INDF
185
371
25.249.168
34.140.237
49,87
73,96
5.217
0,849
7
INTP
450
1.293
3.336.422
19.418.738
34,80
17,18
19.339
1,182
8
ITMG
1.569
3.975
4.586.965
9.406.681
39,47
48,76
39.535
1,124
9
KLBF
19
37
2.046.314
7.371.644
51,35
27,76
3.146
1,074
10
LSIP
66
164
1.272.083
6.279.713
40,24
20,26
2.541
0,972
11
PTBA
720
1.262
4.223.812
8.505.169
57,05
49,66
16.957
1,538
12
SMGR
368
817
8.414.229
18.164.855
45,04
46,32
12.677
1,280
13
UNTR
830
1.549
18.000.076
32.300.557
53,58
55,73
24.134
1,605
14
UNVR
634
634
8.016.614
3.968.365
100,00
202,01
22.747
0,976
No.
Emiten
1
AALI
995
1.528
1.778.337
2
ADRO
71
151
3
AKRA
225
4
ASII
5
Ekuitas
(Rp)
2012
Universitas Sumatera Utara
Lanjutan Lapiran 2
Tahun
No.
Emiten
Dividen
(Rp)
EPS
(Rp)
Total
Hutang (Rp)
4.695.331
Ekuitas
(Rp)
DPR
(%)
DER
(%)
Harga
Saham (Rp)
BETA
10.267.859
45,02
45,73
19.266
0,494
1
AALI
515
1.144
2
ADRO
29
88,7
36.597
33.420
32,44
109,51
1.138
0,652
3
AKRA
115
166
9.269.980
5.363.161
69,13
172,85
4.676
1,039
4
ASII
216
480
107.806.000
106.188.000
45,00
101,52
6.969
1,102
5
CPIN
46
154
5.771.297
9.950.900
29,87
58,00
4.152
0,197
6
INDF
142
285
39.719.660
38.373.129
49,82
103,51
6.833
0,957
7
INTP
900
1.361
3.629.554
22.977.687
66,13
15,80
21.632
1,292
8
ITMG
889
2.092
4.479.861
10.081.923
42,50
44,43
32.647
0,552
9
KLBF
17
41
2.815.103
8.499.958
41,46
33,12
1.290
1,284
10
LSIP
46
113
1.360.889
6.613.987
40,71
20,58
1.734
0,398
11
PTBA
462
822
4.125.586
7.551.569
56,20
54,63
13.362
0,654
12
SMGR
407
905
8.988.908
21.803.976
45,02
41,23
15.636
1,414
13
UNTR
690
1.296
21.713.346
35.648.898
53,24
60,91
18.069
1,049
14
UNVR
701
701
9.093.518
4.254.670
100,00
213,73
27.306
1,219
1
AALI
716
1.590
6.725.576
11.833.778
45,02
56,83
25.005
0,827
2
ADRO
11,16532
61,5280
37.468
38.716
18,15
96,78
1.109
1,134
3
AKRA
80
207
8.824.408
5.965.696
38,62
147,92
4.682
0,894
4
ASII
216
474
115.705.000
120.324.000
45,57
96,16
7.223
1,499
5
CPIN
18
107
9.919.150
10.943.289
16,82
90,64
3.964
0,272
6
INDF
220
379
45.803.053
40.274.198
58,05
113,73
6.935
0,794
7
INTP
1.350
1.432
4.100.172
24.784.801
94,29
16,54
23.387
1,551
8
ITMG
1.745
2.138
5.058.531
10.507.516
81,62
48,14
24.779
0,787
9
KLBF
19
44
2.607.557
9.817.476
43,18
26,56
1.601
0,893
10
LSIP
53
136
1.710.342
7.002.732
38,97
24,42
2.042
0,982
11
PTBA
335
856
6.335.533
8.525.078
39,14
74,32
11.241
1,118
12
SMGR
375
937
9.326.745
25.004.930
40,06
37,30
15.622
1,557
13
UNTR
935
1.437
21.777.132
38.529.645
65,07
56,52
20.473
1,211
14
UNVR
416
776
9.534.156
4.746.514
53,61
200,87
30.121
1,036
2013
2014
Universitas Sumatera Utara
Lampiran 3
Analisis Deskriptif Variabel Penelitian
HARGA_SAHAM
14457.48
11959.11
61710.41
1109.384
12979.83
1.214810
4.691767
DPR
49.16626
45.03154
100.0000
16.82243
18.47068
1.167364
4.687340
DER
73.73099
55.17950
213.7303
15.36410
53.68692
1.099724
3.287935
BETA
0.943071
1.037500
1.733000
0.018000
0.468792
-0.546935
2.394847
Jarque-Bera
Probability
20.45197
0.000036
19.36216
0.000062
11.48111
0.003213
3.646450
0.161504
Sum
Sum Sq. Dev.
809618.9
9.27E+09
2753.311
18764.13
4128.935
158525.7
52.81200
12.08712
Observations
56
56
56
56
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
Universitas Sumatera Utara
Lampiran 4
Uji Asumsi Klasik
1. Uji Asumsi Klasik Regresi Linear Berganda Data Panel
a. Uji Normalitas
8
Series: Residuals
Sample 1 56
Observations 56
7
6
5
4
3
2
1
0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
1.19e-15
-0.059449
2.004290
-1.771753
0.932641
0.005574
2.227300
Jarque-Bera
Probability
1.393442
0.498216
2.0
3
2
Quantiles of Normal
-2.0
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
1
0
-1
-2
-3
-2
-1
0
1
2
3
Quantiles of RESID
Universitas Sumatera Utara
b. Uji Heteroskedastisitas Pendekatan Glejser
Heteroskedasticity Test: Glejser
F-statistic
Obs*R-squared
Scaled explained SS
2.421017
4.687835
3.847203
Prob. F(2,53)
Prob. Chi-Square(2)
Prob. Chi-Square(2)
0.0986
0.0960
0.1461
Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 06/15/16 Time: 16:06
Sample: 1 56
Included observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
LOG(DPR)
LOG(DER)
2.441938
-0.303641
-0.127215
0.785954
0.185658
0.093298
3.106974
-1.635486
-1.363524
0.0030
0.1079
0.1785
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.083711
0.049134
0.510502
13.81245
-40.26667
2.421017
0.098595
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.764920
0.523525
1.545238
1.653739
1.587304
1.649203
c. Uji Multikolonearitas
Variance Inflation Factors
Date: 06/15/16 Time: 16:08
Sample: 1 56
Included observations: 56
Variable
Coefficient
Variance
Uncentered
VIF
Centered
VIF
LOG(DPR)
LOG(DER)
C
0.119385
0.030149
2.139515
109.6043
31.57744
132.7355
1.004183
1.004183
NA
Universitas Sumatera Utara
d. Uji Autokorelasi
Dependent Variable: LOG(HARGA_SAHAM)
Method: Least Squares
Date: 06/15/16 Time: 16:05
Sample: 1 56
Included observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(DPR)
LOG(DER)
C
1.611027
-0.038578
3.068599
0.345521
0.173634
1.462708
4.662602
-0.222181
2.097889
0.0000
0.8250
0.0407
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.290933
0.264176
0.950075
47.84009
-75.05090
10.87304
0.000110
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
9.081527
1.107569
2.787532
2.896033
2.829598
2.015195
2. Uji Asumsi Klasik Regresi Linear Sederhana Data Panel
a. Uji Normalitas
10
Series: Residuals
Sample 1 56
Observations 56
8
6
4
2
0
-1.0
-0.8
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-4.58e-17
0.105128
0.781982
-0.923835
0.464940
-0.533720
2.393254
Jarque-Bera
Probability
3.517664
0.172246
0.8
Universitas Sumatera Utara
1.2
Quantiles of Normal
0.8
0.4
0.0
-0.4
-0.8
-1.2
-1.2
-0.8
-0.4
0.0
0.4
0.8
Quantiles of RESID
b. Uji Heteroskedastisitas Pendekatan Glejser
Heteroskedasticity Test: Glejser
F-statistic
Obs*R-squared
Scaled explained SS
0.130560
0.135069
0.129111
Prob. F(1,54)
Prob. Chi-Square(1)
Prob. Chi-Square(1)
0.7193
0.7132
0.7194
Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 06/30/16 Time: 22:19
Sample: 1 56
Included observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
Y
0.332223
0.000711
0.107342
0.001966
3.094986
0.361331
0.0031
0.7193
0.002412
-0.016062
0.281280
4.272390
-7.411567
0.130560
0.719262
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.368554
0.279048
0.336127
0.408461
0.364171
1.787868
Universitas Sumatera Utara
c. Uji Autokorelas
Dependent Variable: BETA
Method: Least Squares
Date: 06/24/16 Time: 15:40
Sample: 1 56
Included observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y
C
-0.003109
1.102058
0.003280
0.179066
-0.947874
6.154462
0.3474
0.0000
0.016366
-0.001850
0.469225
11.88931
-36.06861
0.898465
0.347416
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.943071
0.468792
1.359593
1.431927
1.387637
1.545140
Universitas Sumatera Utara
Lampiran 5
Analisis Regresi Linear Berganda Data Panel
1. Metode Analisis Regresi Linear Berganda Data Panel
a. Metode Common Effect Model (CEM)
Dependent Variable: LOG(HARGA_SAHAM?)
Method: Pooled Least Squares
Date: 06/15/16 Time: 15:53
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(DPR?)
LOG(DER?)
C
1.611027
-0.038578
3.068599
0.345521
0.173634
1.462708
4.662602
-0.222181
2.097889
0.0000
0.8250
0.0407
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.290933
0.264176
0.950075
47.84009
-75.05090
10.87304
0.000110
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
9.081527
1.107569
2.787532
2.896033
2.829598
1.655054
b. Metode Fixed Effect Model (FEM)
Dependent Variable: LOG(HARGA_SAHAM?)
Method: Pooled Least Squares
Date: 06/15/16 Time: 16:02
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(DPR?)
LOG(DER?)
C
Fixed Effects (Cross)
_AALI--C
_ADRO--C
_AKRA--C
_ASII--C
_CPIN--C
_INDF--C
1.810965
-0.335318
3.502711
0.385774
0.250452
1.620826
4.694363
-1.338851
2.161065
0.0000
0.1882
0.0367
0.070460
0.210165
-0.636792
0.523879
0.165440
-0.047562
Universitas Sumatera Utara
_INTP--C
_ITMG--C
_KLBF--C
_LSIP--C
_PTBA--C
_SMGR--C
_UNTR--C
_UNVR--C
0.313462
-0.358790
0.257394
-0.776199
0.381866
0.190107
-1.019871
0.726441
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)
0.450738
0.244764
0.962525
37.05820
-67.90042
2.188331
0.024570
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
9.081527
1.107569
2.996444
3.575115
3.220793
2.022482
2. Pemilihan Model Analisis Regresi Linear Berganda Data Panel
a. Uji Chow
Redundant Fixed Effects Tests
Pool: MAWAN
Test cross-section fixed effects
Effects Test
Statistic
Cross-section F
Cross-section Chi-square
0.895215
14.300968
d.f.
Prob.
(13,40)
13
0.5648
0.3530
Cross-section fixed effects test equation:
Dependent Variable: LOG(HARGA_SAHAM?)
Method: Panel Least Squares
Date: 06/15/16 Time: 16:10
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(DPR?)
LOG(DER?)
C
1.611027
-0.038578
3.068599
0.345521
0.173634
1.462708
4.662602
-0.222181
2.097889
0.0000
0.8250
0.0407
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
0.290933
0.264176
0.950075
47.84009
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
9.081527
1.107569
2.787532
2.896033
Universitas Sumatera Utara
Log likelihood
F-statistic
Prob(F-statistic)
-75.05090
10.87304
0.000110
Hannan-Quinn criter.
Durbin-Watson stat
2.829598
1.655054
3. Pengujian Hipotesis Regresi Linear Berganda Dengan Metode
Common Effect Model
Dependent Variable: LOG(HARGA_SAHAM?)
Method: Pooled Least Squares
Date: 06/15/16 Time: 15:53
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(DPR?)
LOG(DER?)
C
1.611027
-0.038578
3.068599
0.345521
0.173634
1.462708
4.662602
-0.222181
2.097889
0.0000
0.8250
0.0407
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.290933
0.264176
0.950075
47.84009
-75.05090
10.87304
0.000110
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
9.081527
1.107569
2.787532
2.896033
2.829598
1.655054
Universitas Sumatera Utara
Lampiran 6
Analisis Regresi Linear Sederhana Data Panel
1. Metode Analisis Regresi Linear Sederhana Data Panel
a. Metode Common Effect Model (CEM)
Dependent Variable: BETA?
Method: Pooled Least Squares
Date: 06/30/16 Time: 22:21
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y?
C
-0.003109
1.102058
0.003280
0.179066
-0.947874
6.154462
0.3474
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.016366
-0.001850
0.469225
11.88931
-36.06861
0.898465
0.347416
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.943071
0.468792
1.359593
1.431927
1.387637
1.422297
b. Metode Fixed Effect Model (FEM)
Dependent Variable: BETA?
Method: Pooled Least Squares
Date: 06/30/16 Time: 22:21
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y?
C
Fixed Effects (Cross)
_AALI--C
_ADRO--C
_AKRA--C
_ASII--C
_CPIN--C
_INDF--C
_INTP--C
-0.007687
1.336131
0.003359
0.180302
-2.288274
7.410518
0.0273
0.0000
-0.334478
0.405211
-0.656518
-0.127111
-0.006904
0.120911
0.556509
Universitas Sumatera Utara
_ITMG--C
_KLBF--C
_LSIP--C
_PTBA--C
_SMGR--C
_UNTR--C
_UNVR--C
-0.183047
-0.273757
0.005168
0.040173
-0.141664
0.282729
0.312779
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)
0.429480
0.234669
0.410114
6.895943
-20.81684
2.204592
0.024964
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.943071
0.468792
1.279173
1.821678
1.489501
2.398051
c. Metode Random Effect Model (REM)
Dependent Variable: BETA?
Method: Pooled EGLS (Cross-section random effects)
Date: 06/30/16 Time: 22:22
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Swamy and Arora estimator of component variances
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y?
C
Random Effects (Cross)
_AALI--C
_ADRO--C
_AKRA--C
_ASII--C
_CPIN--C
_INDF--C
_INTP--C
_ITMG--C
_KLBF--C
_LSIP--C
_PTBA--C
_SMGR--C
_UNTR--C
_UNVR--C
-0.004927
1.195009
0.003072
0.174336
-1.603894
6.854615
0.1146
0.0000
-0.161789
0.197444
-0.304563
-0.069518
0.006027
0.061511
0.238722
-0.076399
-0.116327
0.000623
0.031694
-0.056472
0.104839
0.144206
Effects Specification
S.D.
Rho
Universitas Sumatera Utara
Cross-section random
Idiosyncratic random
0.194995
0.410114
0.1844
0.8156
Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.043094
0.025374
0.421803
2.431880
0.124732
Mean dependent var
S.D. dependent var
Sum squared resid
Durbin-Watson stat
0.683408
0.427258
9.607551
1.728047
Unweighted Statistics
R-squared
Sum squared resid
0.010772
11.95692
Mean dependent var
Durbin-Watson stat
0.943071
1.388509
2. Pemilihan Model Analisis Regresi Linear Sederhana Data Panel
a. Uji Chow
Dependent Variable: BETA?
Method: Pooled Least Squares
Date: 06/30/16 Time: 22:23
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y?
C
Fixed Effects (Cross)
_AALI--C
_ADRO--C
_AKRA--C
_ASII--C
_CPIN--C
_INDF--C
_INTP--C
_ITMG--C
_KLBF--C
_LSIP--C
_PTBA--C
_SMGR--C
_UNTR--C
_UNVR--C
-0.007687
1.336131
0.003359
0.180302
-2.288274
7.410518
0.0273
0.0000
-0.334478
0.405211
-0.656518
-0.127111
-0.006904
0.120911
0.556509
-0.183047
-0.273757
0.005168
0.040173
-0.141664
0.282729
0.312779
Effects Specification
Cross-section fixed (dummy variables)
Universitas Sumatera Utara
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.429480
0.234669
0.410114
6.895943
-20.81684
2.204592
0.024964
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.943071
0.468792
1.279173
1.821678
1.489501
2.398051
b. Uji Hausman
Correlated Random Effects - Hausman Test
Pool: TWOSTEP
Test cross-section random effects
Test Summary
Cross-section random
Chi-Sq.
Statistic
Chi-Sq. d.f.
Prob.
4.121932
1
0.0423
Random
Var(Diff.)
Prob.
-0.004927
0.000002
0.0423
Cross-section random effects test comparisons:
Variable
Y?
Fixed
-0.007687
Cross-section random effects test equation:
Dependent Variable: BETA?
Method: Panel Least Squares
Date: 06/30/16 Time: 22:23
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
Y?
1.336131
-0.007687
0.180302
0.003359
7.410518
-2.288274
0.0000
0.0273
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)
0.429480
0.234669
0.410114
6.895943
-20.81684
2.204592
0.024964
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.943071
0.468792
1.279173
1.821678
1.489501
2.398051
Universitas Sumatera Utara
3. Pengujian Hipotesis Regresi Linear Sederhana Dengan Metode Fixed Effect
Model (FEM)
Dependent Variable: BETA?
Method: Pooled Least Squares
Date: 06/30/16 Time: 22:21
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y?
C
Fixed Effects (Cross)
_AALI--C
_ADRO--C
_AKRA--C
_ASII--C
_CPIN--C
_INDF--C
_INTP--C
_ITMG--C
_KLBF--C
_LSIP--C
_PTBA--C
_SMGR--C
_UNTR--C
_UNVR--C
-0.007687
1.336131
0.003359
0.180302
-2.288274
7.410518
0.0273
0.0000
-0.334478
0.405211
-0.656518
-0.127111
-0.006904
0.120911
0.556509
-0.183047
-0.273757
0.005168
0.040173
-0.141664
0.282729
0.312779
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)
0.429480
0.234669
0.410114
6.895943
-20.81684
2.204592
0.024964
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.943071
0.468792
1.279173
1.821678
1.489501
2.398051
Universitas Sumatera Utara
Populasi dan Sampel Penelitian
No.
Kode
Emiten
Nama Perusahaan
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
AALI
ADRO
AKRA
ANTM
ASII
ASRI
BMTR
BSDE
CPIN
ICBP
INCO
INDF
INTP
ITMG
KLBF
LPKR
LSIP
MNCN
MPPA
PGAS
PTBA
PTPP
SILO
SMGR
SMRA
SSMS
TLKM
UNTR
UNVR
WIKA
PT. Astra Agro Lestari, Tbk
PT. Adaro Energy, Tbk
PT. AKR Corporindo, Tbk
PT. Aneka Tambang (Persero), Tbk
PT. Astra International, Tbk
PT. Alam Sutera Reality, Tbk
PT. Global Mediacom, Tbk
PT. Bumi Serpong Damai, Tbk
PT. Charoen Pokhpand, Tbk
PT. Indofood CBP Sukses Makmur, Tbk
PT. Vale Indonesia, Tbk
PT. Indofood Sukses Makmur, Tbk
PT. Indocement Tunggal Prakasa, Tbk
PT. Indo Tambangraya Megah, Tbk
PT. Kalbe Farma, Tbk
PT. Lippo Karawaci, Tbk
PT. PP. London Sumatera Plantation, Tbk
PT. Media Nusantara Citra, Tbk
PT. Matahari Putra Prima, Tbk
PT. Perusahaan Gas Negara (Persero), Tbk
PT. Tambang Batubara Bukit Asam (Persero), Tbk
PT. PP (Persero), Tbk
PT. Siloam International Hospitals, Tbk
PT. Semen Indonesia, Tbk
PT. Summarecon Agung, Tbk
PT. Sawit Sumbermas Sarana, Tbk
PT. Telekomunikasi Indonesia (Persero), Tbk
PT. United Tractors, Tbk
PT. Unilever Indonesia, Tbk
PT. Wijaya Karya (Persero), Tbk
Terdaftar di
JII pada
Periode 20112014
Membayar
dividen pada
periode 20112014
×
×
×
×
×
×
×
×
×
×
×
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Sampel
ke
Universitas Sumatera Utara
1
2
3
4
5
6
7
8
9
10
11
12
13
14
-
Lampiran 2
Tabulasi Data Variabel Penelitian
Tahun
2011
Dividen
(Rp)
EPS
(Rp)
Total
Hutang (Rp)
DPR
(%)
DER
(%)
Harga
Saham (Rp)
BETA
8.426.158
65,14
21,10
22.217
0,976
28.240
21.440
47,07
131,71
2.227
0,232
600
4.733.540
3.574.704
37,50
132,42
2.191
0,962
198
439
78.481.000
75.838.000
45,10
103,49
61.710
0,195
CPIN
42
144
2.658.734
6.189.470
29,17
42,96
2.154
1,623
6
INDF
175
350
21.975.708
31.610.225
50,00
69,52
5.296
1,100
7
INTP
293
977
2.417.380
15.733.951
29,99
15,36
15.537
1,508
8
ITMG
2.370
4.214
4.369.045
9.488.378
56,24
46,05
45.108
1,280
9
KLBF
95
158
1.758.619
6.515.935
60,13
26,99
3.327
1,237
10
LSIP
100
249
952.435
5.839.424
40,16
16,31
3.719
0,032
11
PTBA
700
1.339
3.342.102
8.165.002
52,28
40,93
19.741
0,028
12
SMGR
331
662
5.046.506
14.615.097
49,98
34,53
9.172
0,018
13
UNTR
820
1.657
18.936.114
27.503.948
49,49
68,85
23.174
0,063
14
UNVR
546
546
6.801.375
3.680.937
100,00
184,77
30.121
0,045
1
AALI
685
1.531
3.054.409
9.365.411
44,75
32,61
21.291
1,208
2
ADRO
22
121
34.695
28.106
18,33
123,44
1.605
1,733
3
AKRA
65
167
7.577.785
4.209.740
38,84
180,01
3.877
1,280
4
ASII
216
480
92.460.000
89.814.000
45,00
102,95
35.079
0,470
5
CPIN
46
164
4.172.163
8.176.464
28,05
51,03
2.882
1,364
6
INDF
185
371
25.249.168
34.140.237
49,87
73,96
5.217
0,849
7
INTP
450
1.293
3.336.422
19.418.738
34,80
17,18
19.339
1,182
8
ITMG
1.569
3.975
4.586.965
9.406.681
39,47
48,76
39.535
1,124
9
KLBF
19
37
2.046.314
7.371.644
51,35
27,76
3.146
1,074
10
LSIP
66
164
1.272.083
6.279.713
40,24
20,26
2.541
0,972
11
PTBA
720
1.262
4.223.812
8.505.169
57,05
49,66
16.957
1,538
12
SMGR
368
817
8.414.229
18.164.855
45,04
46,32
12.677
1,280
13
UNTR
830
1.549
18.000.076
32.300.557
53,58
55,73
24.134
1,605
14
UNVR
634
634
8.016.614
3.968.365
100,00
202,01
22.747
0,976
No.
Emiten
1
AALI
995
1.528
1.778.337
2
ADRO
71
151
3
AKRA
225
4
ASII
5
Ekuitas
(Rp)
2012
Universitas Sumatera Utara
Lanjutan Lapiran 2
Tahun
No.
Emiten
Dividen
(Rp)
EPS
(Rp)
Total
Hutang (Rp)
4.695.331
Ekuitas
(Rp)
DPR
(%)
DER
(%)
Harga
Saham (Rp)
BETA
10.267.859
45,02
45,73
19.266
0,494
1
AALI
515
1.144
2
ADRO
29
88,7
36.597
33.420
32,44
109,51
1.138
0,652
3
AKRA
115
166
9.269.980
5.363.161
69,13
172,85
4.676
1,039
4
ASII
216
480
107.806.000
106.188.000
45,00
101,52
6.969
1,102
5
CPIN
46
154
5.771.297
9.950.900
29,87
58,00
4.152
0,197
6
INDF
142
285
39.719.660
38.373.129
49,82
103,51
6.833
0,957
7
INTP
900
1.361
3.629.554
22.977.687
66,13
15,80
21.632
1,292
8
ITMG
889
2.092
4.479.861
10.081.923
42,50
44,43
32.647
0,552
9
KLBF
17
41
2.815.103
8.499.958
41,46
33,12
1.290
1,284
10
LSIP
46
113
1.360.889
6.613.987
40,71
20,58
1.734
0,398
11
PTBA
462
822
4.125.586
7.551.569
56,20
54,63
13.362
0,654
12
SMGR
407
905
8.988.908
21.803.976
45,02
41,23
15.636
1,414
13
UNTR
690
1.296
21.713.346
35.648.898
53,24
60,91
18.069
1,049
14
UNVR
701
701
9.093.518
4.254.670
100,00
213,73
27.306
1,219
1
AALI
716
1.590
6.725.576
11.833.778
45,02
56,83
25.005
0,827
2
ADRO
11,16532
61,5280
37.468
38.716
18,15
96,78
1.109
1,134
3
AKRA
80
207
8.824.408
5.965.696
38,62
147,92
4.682
0,894
4
ASII
216
474
115.705.000
120.324.000
45,57
96,16
7.223
1,499
5
CPIN
18
107
9.919.150
10.943.289
16,82
90,64
3.964
0,272
6
INDF
220
379
45.803.053
40.274.198
58,05
113,73
6.935
0,794
7
INTP
1.350
1.432
4.100.172
24.784.801
94,29
16,54
23.387
1,551
8
ITMG
1.745
2.138
5.058.531
10.507.516
81,62
48,14
24.779
0,787
9
KLBF
19
44
2.607.557
9.817.476
43,18
26,56
1.601
0,893
10
LSIP
53
136
1.710.342
7.002.732
38,97
24,42
2.042
0,982
11
PTBA
335
856
6.335.533
8.525.078
39,14
74,32
11.241
1,118
12
SMGR
375
937
9.326.745
25.004.930
40,06
37,30
15.622
1,557
13
UNTR
935
1.437
21.777.132
38.529.645
65,07
56,52
20.473
1,211
14
UNVR
416
776
9.534.156
4.746.514
53,61
200,87
30.121
1,036
2013
2014
Universitas Sumatera Utara
Lampiran 3
Analisis Deskriptif Variabel Penelitian
HARGA_SAHAM
14457.48
11959.11
61710.41
1109.384
12979.83
1.214810
4.691767
DPR
49.16626
45.03154
100.0000
16.82243
18.47068
1.167364
4.687340
DER
73.73099
55.17950
213.7303
15.36410
53.68692
1.099724
3.287935
BETA
0.943071
1.037500
1.733000
0.018000
0.468792
-0.546935
2.394847
Jarque-Bera
Probability
20.45197
0.000036
19.36216
0.000062
11.48111
0.003213
3.646450
0.161504
Sum
Sum Sq. Dev.
809618.9
9.27E+09
2753.311
18764.13
4128.935
158525.7
52.81200
12.08712
Observations
56
56
56
56
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
Universitas Sumatera Utara
Lampiran 4
Uji Asumsi Klasik
1. Uji Asumsi Klasik Regresi Linear Berganda Data Panel
a. Uji Normalitas
8
Series: Residuals
Sample 1 56
Observations 56
7
6
5
4
3
2
1
0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
1.19e-15
-0.059449
2.004290
-1.771753
0.932641
0.005574
2.227300
Jarque-Bera
Probability
1.393442
0.498216
2.0
3
2
Quantiles of Normal
-2.0
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
1
0
-1
-2
-3
-2
-1
0
1
2
3
Quantiles of RESID
Universitas Sumatera Utara
b. Uji Heteroskedastisitas Pendekatan Glejser
Heteroskedasticity Test: Glejser
F-statistic
Obs*R-squared
Scaled explained SS
2.421017
4.687835
3.847203
Prob. F(2,53)
Prob. Chi-Square(2)
Prob. Chi-Square(2)
0.0986
0.0960
0.1461
Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 06/15/16 Time: 16:06
Sample: 1 56
Included observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
LOG(DPR)
LOG(DER)
2.441938
-0.303641
-0.127215
0.785954
0.185658
0.093298
3.106974
-1.635486
-1.363524
0.0030
0.1079
0.1785
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.083711
0.049134
0.510502
13.81245
-40.26667
2.421017
0.098595
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.764920
0.523525
1.545238
1.653739
1.587304
1.649203
c. Uji Multikolonearitas
Variance Inflation Factors
Date: 06/15/16 Time: 16:08
Sample: 1 56
Included observations: 56
Variable
Coefficient
Variance
Uncentered
VIF
Centered
VIF
LOG(DPR)
LOG(DER)
C
0.119385
0.030149
2.139515
109.6043
31.57744
132.7355
1.004183
1.004183
NA
Universitas Sumatera Utara
d. Uji Autokorelasi
Dependent Variable: LOG(HARGA_SAHAM)
Method: Least Squares
Date: 06/15/16 Time: 16:05
Sample: 1 56
Included observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(DPR)
LOG(DER)
C
1.611027
-0.038578
3.068599
0.345521
0.173634
1.462708
4.662602
-0.222181
2.097889
0.0000
0.8250
0.0407
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.290933
0.264176
0.950075
47.84009
-75.05090
10.87304
0.000110
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
9.081527
1.107569
2.787532
2.896033
2.829598
2.015195
2. Uji Asumsi Klasik Regresi Linear Sederhana Data Panel
a. Uji Normalitas
10
Series: Residuals
Sample 1 56
Observations 56
8
6
4
2
0
-1.0
-0.8
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-4.58e-17
0.105128
0.781982
-0.923835
0.464940
-0.533720
2.393254
Jarque-Bera
Probability
3.517664
0.172246
0.8
Universitas Sumatera Utara
1.2
Quantiles of Normal
0.8
0.4
0.0
-0.4
-0.8
-1.2
-1.2
-0.8
-0.4
0.0
0.4
0.8
Quantiles of RESID
b. Uji Heteroskedastisitas Pendekatan Glejser
Heteroskedasticity Test: Glejser
F-statistic
Obs*R-squared
Scaled explained SS
0.130560
0.135069
0.129111
Prob. F(1,54)
Prob. Chi-Square(1)
Prob. Chi-Square(1)
0.7193
0.7132
0.7194
Test Equation:
Dependent Variable: ARESID
Method: Least Squares
Date: 06/30/16 Time: 22:19
Sample: 1 56
Included observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
Y
0.332223
0.000711
0.107342
0.001966
3.094986
0.361331
0.0031
0.7193
0.002412
-0.016062
0.281280
4.272390
-7.411567
0.130560
0.719262
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.368554
0.279048
0.336127
0.408461
0.364171
1.787868
Universitas Sumatera Utara
c. Uji Autokorelas
Dependent Variable: BETA
Method: Least Squares
Date: 06/24/16 Time: 15:40
Sample: 1 56
Included observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y
C
-0.003109
1.102058
0.003280
0.179066
-0.947874
6.154462
0.3474
0.0000
0.016366
-0.001850
0.469225
11.88931
-36.06861
0.898465
0.347416
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.943071
0.468792
1.359593
1.431927
1.387637
1.545140
Universitas Sumatera Utara
Lampiran 5
Analisis Regresi Linear Berganda Data Panel
1. Metode Analisis Regresi Linear Berganda Data Panel
a. Metode Common Effect Model (CEM)
Dependent Variable: LOG(HARGA_SAHAM?)
Method: Pooled Least Squares
Date: 06/15/16 Time: 15:53
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(DPR?)
LOG(DER?)
C
1.611027
-0.038578
3.068599
0.345521
0.173634
1.462708
4.662602
-0.222181
2.097889
0.0000
0.8250
0.0407
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.290933
0.264176
0.950075
47.84009
-75.05090
10.87304
0.000110
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
9.081527
1.107569
2.787532
2.896033
2.829598
1.655054
b. Metode Fixed Effect Model (FEM)
Dependent Variable: LOG(HARGA_SAHAM?)
Method: Pooled Least Squares
Date: 06/15/16 Time: 16:02
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(DPR?)
LOG(DER?)
C
Fixed Effects (Cross)
_AALI--C
_ADRO--C
_AKRA--C
_ASII--C
_CPIN--C
_INDF--C
1.810965
-0.335318
3.502711
0.385774
0.250452
1.620826
4.694363
-1.338851
2.161065
0.0000
0.1882
0.0367
0.070460
0.210165
-0.636792
0.523879
0.165440
-0.047562
Universitas Sumatera Utara
_INTP--C
_ITMG--C
_KLBF--C
_LSIP--C
_PTBA--C
_SMGR--C
_UNTR--C
_UNVR--C
0.313462
-0.358790
0.257394
-0.776199
0.381866
0.190107
-1.019871
0.726441
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)
0.450738
0.244764
0.962525
37.05820
-67.90042
2.188331
0.024570
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
9.081527
1.107569
2.996444
3.575115
3.220793
2.022482
2. Pemilihan Model Analisis Regresi Linear Berganda Data Panel
a. Uji Chow
Redundant Fixed Effects Tests
Pool: MAWAN
Test cross-section fixed effects
Effects Test
Statistic
Cross-section F
Cross-section Chi-square
0.895215
14.300968
d.f.
Prob.
(13,40)
13
0.5648
0.3530
Cross-section fixed effects test equation:
Dependent Variable: LOG(HARGA_SAHAM?)
Method: Panel Least Squares
Date: 06/15/16 Time: 16:10
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(DPR?)
LOG(DER?)
C
1.611027
-0.038578
3.068599
0.345521
0.173634
1.462708
4.662602
-0.222181
2.097889
0.0000
0.8250
0.0407
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
0.290933
0.264176
0.950075
47.84009
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
9.081527
1.107569
2.787532
2.896033
Universitas Sumatera Utara
Log likelihood
F-statistic
Prob(F-statistic)
-75.05090
10.87304
0.000110
Hannan-Quinn criter.
Durbin-Watson stat
2.829598
1.655054
3. Pengujian Hipotesis Regresi Linear Berganda Dengan Metode
Common Effect Model
Dependent Variable: LOG(HARGA_SAHAM?)
Method: Pooled Least Squares
Date: 06/15/16 Time: 15:53
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(DPR?)
LOG(DER?)
C
1.611027
-0.038578
3.068599
0.345521
0.173634
1.462708
4.662602
-0.222181
2.097889
0.0000
0.8250
0.0407
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.290933
0.264176
0.950075
47.84009
-75.05090
10.87304
0.000110
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
9.081527
1.107569
2.787532
2.896033
2.829598
1.655054
Universitas Sumatera Utara
Lampiran 6
Analisis Regresi Linear Sederhana Data Panel
1. Metode Analisis Regresi Linear Sederhana Data Panel
a. Metode Common Effect Model (CEM)
Dependent Variable: BETA?
Method: Pooled Least Squares
Date: 06/30/16 Time: 22:21
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y?
C
-0.003109
1.102058
0.003280
0.179066
-0.947874
6.154462
0.3474
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.016366
-0.001850
0.469225
11.88931
-36.06861
0.898465
0.347416
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.943071
0.468792
1.359593
1.431927
1.387637
1.422297
b. Metode Fixed Effect Model (FEM)
Dependent Variable: BETA?
Method: Pooled Least Squares
Date: 06/30/16 Time: 22:21
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y?
C
Fixed Effects (Cross)
_AALI--C
_ADRO--C
_AKRA--C
_ASII--C
_CPIN--C
_INDF--C
_INTP--C
-0.007687
1.336131
0.003359
0.180302
-2.288274
7.410518
0.0273
0.0000
-0.334478
0.405211
-0.656518
-0.127111
-0.006904
0.120911
0.556509
Universitas Sumatera Utara
_ITMG--C
_KLBF--C
_LSIP--C
_PTBA--C
_SMGR--C
_UNTR--C
_UNVR--C
-0.183047
-0.273757
0.005168
0.040173
-0.141664
0.282729
0.312779
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)
0.429480
0.234669
0.410114
6.895943
-20.81684
2.204592
0.024964
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.943071
0.468792
1.279173
1.821678
1.489501
2.398051
c. Metode Random Effect Model (REM)
Dependent Variable: BETA?
Method: Pooled EGLS (Cross-section random effects)
Date: 06/30/16 Time: 22:22
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Swamy and Arora estimator of component variances
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y?
C
Random Effects (Cross)
_AALI--C
_ADRO--C
_AKRA--C
_ASII--C
_CPIN--C
_INDF--C
_INTP--C
_ITMG--C
_KLBF--C
_LSIP--C
_PTBA--C
_SMGR--C
_UNTR--C
_UNVR--C
-0.004927
1.195009
0.003072
0.174336
-1.603894
6.854615
0.1146
0.0000
-0.161789
0.197444
-0.304563
-0.069518
0.006027
0.061511
0.238722
-0.076399
-0.116327
0.000623
0.031694
-0.056472
0.104839
0.144206
Effects Specification
S.D.
Rho
Universitas Sumatera Utara
Cross-section random
Idiosyncratic random
0.194995
0.410114
0.1844
0.8156
Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.043094
0.025374
0.421803
2.431880
0.124732
Mean dependent var
S.D. dependent var
Sum squared resid
Durbin-Watson stat
0.683408
0.427258
9.607551
1.728047
Unweighted Statistics
R-squared
Sum squared resid
0.010772
11.95692
Mean dependent var
Durbin-Watson stat
0.943071
1.388509
2. Pemilihan Model Analisis Regresi Linear Sederhana Data Panel
a. Uji Chow
Dependent Variable: BETA?
Method: Pooled Least Squares
Date: 06/30/16 Time: 22:23
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y?
C
Fixed Effects (Cross)
_AALI--C
_ADRO--C
_AKRA--C
_ASII--C
_CPIN--C
_INDF--C
_INTP--C
_ITMG--C
_KLBF--C
_LSIP--C
_PTBA--C
_SMGR--C
_UNTR--C
_UNVR--C
-0.007687
1.336131
0.003359
0.180302
-2.288274
7.410518
0.0273
0.0000
-0.334478
0.405211
-0.656518
-0.127111
-0.006904
0.120911
0.556509
-0.183047
-0.273757
0.005168
0.040173
-0.141664
0.282729
0.312779
Effects Specification
Cross-section fixed (dummy variables)
Universitas Sumatera Utara
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.429480
0.234669
0.410114
6.895943
-20.81684
2.204592
0.024964
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.943071
0.468792
1.279173
1.821678
1.489501
2.398051
b. Uji Hausman
Correlated Random Effects - Hausman Test
Pool: TWOSTEP
Test cross-section random effects
Test Summary
Cross-section random
Chi-Sq.
Statistic
Chi-Sq. d.f.
Prob.
4.121932
1
0.0423
Random
Var(Diff.)
Prob.
-0.004927
0.000002
0.0423
Cross-section random effects test comparisons:
Variable
Y?
Fixed
-0.007687
Cross-section random effects test equation:
Dependent Variable: BETA?
Method: Panel Least Squares
Date: 06/30/16 Time: 22:23
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
Y?
1.336131
-0.007687
0.180302
0.003359
7.410518
-2.288274
0.0000
0.0273
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)
0.429480
0.234669
0.410114
6.895943
-20.81684
2.204592
0.024964
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.943071
0.468792
1.279173
1.821678
1.489501
2.398051
Universitas Sumatera Utara
3. Pengujian Hipotesis Regresi Linear Sederhana Dengan Metode Fixed Effect
Model (FEM)
Dependent Variable: BETA?
Method: Pooled Least Squares
Date: 06/30/16 Time: 22:21
Sample: 2011 2014
Included observations: 4
Cross-sections included: 14
Total pool (balanced) observations: 56
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y?
C
Fixed Effects (Cross)
_AALI--C
_ADRO--C
_AKRA--C
_ASII--C
_CPIN--C
_INDF--C
_INTP--C
_ITMG--C
_KLBF--C
_LSIP--C
_PTBA--C
_SMGR--C
_UNTR--C
_UNVR--C
-0.007687
1.336131
0.003359
0.180302
-2.288274
7.410518
0.0273
0.0000
-0.334478
0.405211
-0.656518
-0.127111
-0.006904
0.120911
0.556509
-0.183047
-0.273757
0.005168
0.040173
-0.141664
0.282729
0.312779
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)
0.429480
0.234669
0.410114
6.895943
-20.81684
2.204592
0.024964
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.943071
0.468792
1.279173
1.821678
1.489501
2.398051
Universitas Sumatera Utara