Analisis Fundamental Terhadap Return Saham Pada Periode Bullish Dan Bearish (Studi Kasus Perusahaan Manufaktur Yang Terdaftar di BEI tahun 2000 dan 2006) - Unika Repository

  DAFTAR PUSTAKA Copeland,T.E, and Weston, F., 1996, Manajemen Keuangan, Jakarta : Erlangga.

  Dajan,Anto.,1984, Pengantar Metode Statistik, Jilid I dan II, Jakarta : PT Pustaka LP35. Darmadji, Tjiptono, Fakhrudin dan Hendy M., 2001, .Pasar Modal di Indonesia,Pendekatan Tanya Jawab, Jakarta : Salemba Empat. Ghozali, Imam., 2006, Aplikasi Analisis Multivariat Dengan Program SPSS, Semarang : UNDIP. Harahap, Sofyan., 1994, Teori Akuntansi Laporan Keuangan, Jakarta : PT. Bumi Aksara. Indriantoro, Nur, dan Supomo., B. 1999, Metodologi Penelitian Bisnis

Untuk Akuntansi & Manajemen. Edisi Pertama. Yogyakarta : BPFE.

Jauhari, Budi Rusman dan Basuki Wibowo., 2004, Analisis Fundamental Terhadap

Return Saham Pada Periode Bullish dan Bearish Indeks Harga Saham

  Gabungan, Jurnal Akuntansi dan Keuangan, Vol.9, No. 2, Juli 2004. Jogiyanto, 2003, Teori Portofolio dan Analisis Investasi, Yogyakarta : BPFE. Koetin,E.A., 1993, Analisis Pasar Modal Indonesia., Jakarta : Pustaka Sinar Harapan.

  Sasongko, Noer dan Nila Wulandari, 2006, Pengaruh Eva dan Rasio-Rasio Profitabilitas Terhadap Harga Saham, Jurnal, 2006, Empirika. Sugiyono, 2004, Metodologi Penelitian Bisnis, Cetakan ketujuh, Bandung : Alfabeta.

  Perpustakaan Unika

• 44.39 .17 .13 -639.44 -.143361048 1112.66

  .232 N

  b.

  Calculated from data.

  a.

  Unstandardiz ed Residual Test distribution is Normal.

  Most Extreme Differences Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed)

  Absolute Positive Negative

  a,b

  Normal Parameters

  Mean Std. Deviation

  .03953952 .109 .057

  91 .0000000

  One-Sample Kolmogorov-Smirnov Test

  Mean Median Std. Deviation Minimum Maximum PER PBV DTE ROE RETURN SAHAM

  18.09 21.87 242.41 .036348563 Valid Missing N

  91 18.9437 2.0631 3.6476 -18.8142 -.04200120380 3.0000 1.1500 1.5200 6.2700 -.03293098900 118.57716 2.81026 4.90151 93.47328 .042243931854

  91

  91

  91

  91

  PERIODE BEARISH (2000) Frequencies Statistics

  Perpustakaan Unika

• .109 1.038

  Perpustakaan Unika Regression Descriptive Statistics

  Mean Std. Deviation N RETURN SAHAM -.04200120380 .042243931854

  91 PER 18.9437 118.57716

  91 PBV 2.0631 2.81026

  91 DTE 3.6476 4.90151

  91 ROE

• 18.8142 93.47328

  91 Correlations

  RETURN SAHAM PER PBV DTE ROE Pearson Correlation RETURN SAHAM 1.000 .054 .208 -.132 .246 PER .054 1.000 .193 -.104 .051

  PBV .208 .193 1.000 .220 -.153 DTE -.132 -.104 .220 1.000 -.759 ROE .246 .051 -.153 -.759 1.000

  Sig. (1-tailed) RETURN SAHAM . .305 .024 .107 .009 PER .305 . .033 .164 .316 PBV .024 .033 . .018 .074 DTE

  .107 .164 .018 . .000 ROE .009 .316 .074 .000 . N RETURN SAHAM

  91

  91

  91

  91

  91 PER

  91

  91

  91

  91

  91 PBV

  91

  91

  91

  91

  91 DTE

  91

  91

  91

  91

  91 ROE _{Model Summary}

  91

_b

  91

  91

  91

  91 _{1 Model R R Square R Square Estimate Change F Change df1 df2 Sig. F Change Watson a. b. Predictors: (Constant), ROE, PER, PBV, DTE Dependent Variable: RETURN SAHAM .352 .124 .083 .040448590743 .124 3.042 a Adjusted Std. Error of the R Square Durbin-} Change Statistics _{4 86 .021 1.621}

b

  ANOVA

  Sum of

  Perpustakaan Unika

  Coefficients

• _{-.049 .006 -7.725 .000 -.061 -.036}

  ^a

  _{-1.2E-006 .000 -.003 -.031 .975 .000 .000 .054 -.003 -.003 .938 1.066 .004 .002 .245 2.304 .024 .001 .007 .208 .241 .233 .903 1.107 .001 .001 .068 .431 .668 -.002 .003 -.132 .046 .043 .405 2.472 .000 .000 .335 2.157 .034 .000 .000 .246 .227 .218 .422 2.368 (Constant) PER PBV DTE ROE Model}
_{1 B Std. Error Unstandardized Coefficients Beta Standardized Coefficients t Sig. Lower Bound Upper Bound 95% Confidence Interval for B Zero-order Partial Part Correlations Tolerance VIF Collinearity Statistics} Dependent Variable: RETURN SAHAM ^a.

  Collinearity Diagnostics a 2.474 1.000 .04 .01 .06 .03 .03 1.173 1.452 .02 .40 .05 .02 .09

  .783 1.777 .12 .52 .05 .00 .14 .413 2.448 .37 .06 .84 .02 .01 .156 3.978 .45 .02 .00 .93 .73 Dimension

  1

  2

  3

  4

  1 Eigenvalue Condition Index (Constant) PER PBV DTE ROE Variance Proportions

5 Model

  Dependent Variable: RETURN SAHAM a.

  Residuals Statistics ^a

• .12283565104 .02233277820 -.04200120380 .014871998169
• 5.435 4.326 .000 1.000

  91 .004 .040 .008 .006

  91

• .09843342006 .06153004244 -.04134766165 .016150033540
• .0991925299 .075127467513 .000000000000 .039539517561
• 2.452 1.857 .000 .978
• 2.474 1.871 -.006 1.003
• .1009752378 .076270185411 -.000653542157 .041975218268
• 2.552 1.900 -.009 1.013

  91

  91

  91

  91

  91

  91 .095 85.301 3.956 11.418 91 .000 .448 .014 .049 91 .001 .948 .044 .127

  91 Predicted Value Std. Predicted Value Standard Error of Predicted Value Adjusted Predicted Value Residual Std. Residual Stud. Residual Deleted Residual Stud. Deleted Residual Mahal. Distance Cook's Distance Centered Leverage Value Minimum Maximum Mean Std. Deviation N

  Dependent Variable: RETURN SAHAM a.

  91

  Perpustakaan Unika Charts Histogram Dependent Variable: RETURN SAHAM

  20

  15 y nc

10 Freque

  5 Mean = -2.58E-16 Std. Dev. = 0.978 N = 91

• 3 -2 -1

  1

  2 Regression Standardized Residual Normal P-P Plot of Regression Standardized Residual _{0.8 1.0} Dependent Variable: RETURN SAHAM

   Prob _0.6

  Perpustakaan Unika Scatterplot Dependent Variable: RETURN SAHAM

  2 dual

  1 esi zed R

• 1

  on Studenti ssi

• 2

  gre e R

• 3
• 6 -4 -2

  2

  4

  6 Regression Standardized Predicted Value

  Perpustakaan Unika

  .002 4 .000 .968 .429

  a.

  Standardized Coefficients t Sig.

  Coefficients Beta

  1 B Std. Error Unstandardized

  Model

  .000 .001 .026 .232 .817 .000 .001 .041 .246 .807

  .032 .003 9.284 .000

  Coefficients a

  Predictors: (Constant), ROE, PER, PBV, DTE a. Dependent Variable: AbsUt b.

  1 Sum of Squares df Mean Square F Sig.

  Model

  90 Regression Residual Total

  .041 86 .000 .043

  a

  ANOVA

b

  PERIODE BEARISH (ABSOLUT) Variables Entered/Removed b

  Predictors: (Constant), ROE, PER, PBV, DTE a.

  R Square Std. Error of the Estimate

  1 R R Square Adjusted

  .043 -.001 .0219217810 Model

  a

  .208

  Model Summary

  Dependent Variable: AbsUt b.

  a.

  Variables Removed Method All requested variables entered.

  1 Variables Entered

  . Enter Model

  a

  ROE, PER, PBV, DTE

• 2.9E-005 .000 -.159 -1.464 .147
• 2.0E-005 .000 -.087 -.538 .592 (Constant) PER PBV DTE ROE
• 73.72 -22.28 -68.97 -494.35 -.070454545 1269.49

  Perpustakaan Unika

  Normal Parameters

  b.

  Calculated from data.

  a.

  Unstandardiz ed Residual Test distribution is Normal.

  Most Extreme Differences Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed)

  Absolute Positive Negative

  a,b

  Mean Std. Deviation

  PERIODE BULLISH (2006) Frequencies Statistics 100 100 100 100 100 36.3867 1.3998 .7889 11.0249 .00487309627

  .002 N

  .02624418 .183 .183

  100 .0000000

  One-Sample Kolmogorov-Smirnov Test

  Mean Median Std. Deviation Minimum Maximum PER PBV DTE ROE RETURN SAHAM

  

21.26

65.15 487.47 .107954545 Valid Missing N

  10.0700 .8550 .9800 6.6800 .00000000000 151.64085 3.77685 10.38103 77.82935 .027478351307

• .104 1.831

  Perpustakaan Unika Regression Descriptive Statistics

  Mean Std. Deviation N RETURN SAHAM .00487309627 .027478351307 100 PER

  36.3867 151.64085 100 PBV

  1.3998 3.77685 100 DTE .7889 10.38103 100 ROE

  11.0249 77.82935 100

  Correlations RETURN SAHAM PER PBV DTE ROE

  Pearson Correlation RETURN SAHAM 1.000 -.017 .146 -.040 -.016 PER

• .017 1.000 -.009 .028 -.023 PBV .146 -.009 1.000 .724 -.418 DTE -.040 .028 .724 1.000 -.755 ROE -.016 -.023 -.418 -.755 1.000 Sig. (1-tailed) RETURN SAHAM . .433 .074 .345 .439

  PER .433 . .463 .391 .411 PBV .074 .463 . .000 .000 DTE .345 .391 .000 . .000 ROE .439 .411 .000 .000 . N RETURN SAHAM 100 100 100 100 100 PER 100 100 100 100 100 PBV 100 100 100 100 100 DTE 100 100 100 100 100 ROE 100 100 100 100 100

_b

_{1 .296 .088 .049 .026790991708 .088 2.286 Model R R Square R Square Estimate Change F Change df1 df2 Sig. F Change Watson a. a Adjusted Std. Error of the R Square Durbin-} Model Summary _{Change Statistics 4 95 .066 1.881 b. Dependent Variable: RETURN SAHAM} Predictors: (Constant), ROE, PER, PBV, DTE

  Coefficients _{.003 .003 .824 .412 -.004 .009}

^a

_{-6.3E-007 .000 -.003 -.036 .972 .000 .000 -.017 -.004 -.003 .997 1.003 .003 .001 .430 2.904 .005 .001 .005 .146 .286 .285 .438 2.285 -.001 .001 -.529 -2.579 .011 -.002 .000 -.040 -.256 -.253 .228 4.378}
• 8.3E-005 .000 -.235 -1.509 .135 .000 .000 -.016 -.153 -.148 .396 2.524 ^{(Constant) PER PBV DTE ROE Model}
^{1 B Std. Error Unstandardized Coefficients Beta Standardized Coefficients t Sig. Lower Bound Upper Bound 95% Confidence Interval for B Zero-order Partial Part Correlations Tolerance VIF Collinearity Statistics} _{Dependent Variable: RETURN SAHAM a.}

  Collinearity Diagnostics ^a 2.229 1.000 .01 .00 .05 .04 .05 1.340 1.290 .29 .20 .01 .00 .04

  .864 1.607 .13 .75 .04 .00 .03 .429 2.278 .56 .04 .31 .00 .28 .137 4.028 .01 .00 .58 .95 .60 Dimension

  1

  2

  3

  4

  1 Eigenvalue Condition Index (Constant) PER PBV DTE ROE Variance Proportions

  Dependent Variable: RETURN SAHAM a.

  Residuals Statistics ^a

• .0100829704 .06169740483 .00487309627 .008142655968 100
• 1.837 6.979 .000 1.000 100 .003 .022 .004 .004>.0130998148 .11551654339 .00594028180 .013152443306 100
• .0785785541 .080782957375 .000000000000 .026244179246>2.933 3.015 .000 .980 100
• 2.958 3.289 -.015 1.020
• .0891276971 .096104659140 -.001067185533 .029215660764 100
• 3.089 3.475 -.014 1.041 100 .024 66.835 3.960 12.785 100 .000 1.337 .030 .148 100 .000 .675 .040 .129 100 Predicted Value Std. Predicted Value Standard Error of Predicted Value

  Adjusted Predicted Value Residual Std. Residual Stud. Residual Deleted Residual Stud. Deleted Residual Mahal. Distance Cook's Distance Centered Leverage Value Minimum Maximum Mean Std. Deviation N

  Dependent Variable: RETURN SAHAM a.

  Perpustakaan Unika

5 Model

  Perpustakaan Unika Charts Histogram ₅₀ Dependent Variable: RETURN SAHAM

  40 ncy ₃₀ e equ Fr _{20 10 Mean = -3.64E-17 -3 -2 -1 1 2 3 4 N = 100} Std. Dev. = 0.98

  Regression Standardized Residual Normal P-P Plot of Regression Standardized Residual Dependent Variable: RETURN SAHAM

  1.0

  0.8

  0.6

  0.4

  Perpustakaan Unika Scatterplot ₄ Dependent Variable: RETURN SAHAM l ₃ sidua ₂ ed Re iz ₁ tudent

• _-1 ion S _-2 Regress _{-3 -2}
₂

₄

_{6 8} Regression Standardized Predicted Value

  Perpustakaan Unika

  .003 4 .001 2.219 .073

  Standardized Coefficients t Sig.

  Coefficients Beta

  1 B Std. Error Unstandardized

  Model

  .002 .001 .370 2.498 .014

  .017 .002 7.607 .000

  Coefficients a

  Predictors: (Constant), ROE, PER, PBV, DTE a. Dependent Variable: AbsUT b.

  1 Sum of Squares df Mean Square F Sig.

  Model

  99 Regression Residual Total

  .035 95 .000 .038

  a

  ANOVA

b

  Regression Absolut Variables Entered/Removed b

  Predictors: (Constant), ROE, PER, PBV, DTE a.

  R Square Std. Error of the Estimate

  1 R R Square Adjusted

  .085 .047 .0190750565 Model

  a

  .292

  Model Summary

  Dependent Variable: AbsUT b.

  a.

  Variables Removed Method All requested variables entered.

  1 Variables Entered

  . Enter Model

  a

  ROE, PER, PBV, DTE

• 1.5E-005 .000 -.119 -1.208 .230
• .001 .000 -.489 -2.384 .019
• 5.6E-005 .000 -.222 -1.426 .157 (Constant) PER PBV DTE ROE

  PERIODE BULLISH (ABSOLUT) Variables Entered/Removed b

  .085 .047 .0190750565 Model

  1 Sum of Squares df Mean Square F Sig.

  Regression Model

  a

  .003 4 .001 2.219 .073

  ANOVA

b

  Predictors: (Constant), ROE, PER, PBV, DTE a.

  R Square Std. Error of the Estimate

  1 R R Square Adjusted

  a

  ROE, PER, PBV, DTE

  .292

  Model Summary

  Dependent Variable: AbsUT b.

  a.

  Variables Removed Method All requested variables entered.

  1 Variables Entered

  . Enter Model

  a

  Perpustakaan Unika

  Coefficients a

  .017 .002 7.607 .000

• 1.5E-005 .000 -.119 -1.208 .230

  .002 .001 .370 2.498 .014

  Model

  1 B Std. Error Unstandardized

  Coefficients Beta

  Standardized Coefficients t Sig.

• .001 .000 -.489 -2.384 .019
• 5.6E-005 .000 -.222 -1.426 .157 (Constant) PER PBV DTE ROE

  Dependent Variable: AbsUT a.

  Perpustakaan Unika