Analisis Pengaruh Faktor-Faktor Penentu Harga Saham Perbankan di Bursa Efek Indonesia Periode 2011-2015

Lampiran 1 Daftar Sampel Penelitian
NO
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NAMA BANK
Bank Artha Graha Internasional Tbk.

Bank Bukopin Tbk.
Bank Bumi Arta Tbk
Bank Capital Indonesia Tbk
Bank Central Asia Tbk
Bank CIMB Niaga Tbk
Bank Danamon Indonesia Tbk.
Bank Maybank Indonesia Tbk.
Bank Mandiri (Persero) Tbk.
Bank Mayapada Internasional Tbk.
Bank Mega Tbk.
Bank MNC Internasional Tbk
Bank Negara Indonesia (Persero) Tbk.
Bank OCBC NISP Tbk.
Bank of India Indonesia Tbk
Bank Pan Indonesia Tbk.
Bank Permata Tbk
Bank QNB Indonesia Tbk
Bank Rakyat Indonesia (Persero) Tbk.
Bank Rakyat Indonesia Agroniaga Tbk
Bank Sinarmas Tbk.

Bank Tabungan Negara (Persero) Tbk.
Bank Tabungan Pensiunan Nasional Tbk
Bank Victoria International Tbk.
Bank Woori Saudara Indonesia 1906 Tbk
BPD Jawa Barat dan Banten Tbk.
Bank Windu Kentjana International Tbk
Bank Pembangunan Daerah Banten Tbk
Bank Nusantara Parahyangan Tbk
J Trust Bank
Bank Pembangunan Daerah Jawa Timur (Tbk)
Bank Maspion Indonesia Tbk
Bank Mitraniaga Tbk
Bank Agris Tbk
Bank Artos Indonesia Tbk
Bank Mestika Dharma Tbk

KODE
BANK
INPC
BBKP

BNBA
BACA
BBCA
BNGA
BDMN
BNII
BMRI
MAYA
MEGA
BBAP
BBNI
NISP
BSWD
PNBN
BNLI
BKSW
BBRI
AGRO
BSIM
BBTN

BTPN
BVIC
SDRA
BJBR
MCOR
BEKS
BBNP
BCIC
BJTM
BMAS
NAGA
AGRIS
ARTO
BBMD

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KRITERIA
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Universitas Sumatera Utara

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Bank Yudha Bhakti Tbk
Bank Harda Internasional Tbk
Bank Ina Perdana Tbk
Bank Ganesha Tbk
Bank Dinar Indonesia Tbk
Bank National Nobu Tbk
Bank Panin Syariah Tbk

BBYB
BBHI
BINA
BGTG
DNAR
NOBU
PNBS

























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Lampiran 2 Hasil Analisis Deskripstif
HARGA_SA...
2050.336
884.0000
13440.00
18.00000
2879.147
1.933048
6.113318

ROE
14.82121
14.80000
42.49000
-18.96000
9.575987
-0.171661
4.281524

PBV
1.739929
1.340000
5.650000
0.300000
1.146466
1.380652
4.355700

BETA
0.603810
0.543817
1.833106
-0.847800
0.531951
0.253128
2.595505

Jarque-Bera
Probability

143.7301
0.000000

10.26768
0.005894

55.19924
0.000000

2.449485
0.293833

Sum
Sum Sq. Dev.

287047.0
1.15E+09

2074.970
12746.23

243.5900
182.6993

84.53345
39.33316

Observations

140

140

140

140

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

59
Universitas Sumatera Utara

Lampiran 3 Uji Likelihood Ratio
Redundant Fixed Effects Tests
Equation: Untitled
Test cross-section fixed effects
Effects Test

Statistic

Cross-section F
Cross-section Chi-square

30.217422
299.362804

d.f.

Prob.

(27,109)
27

0.0000
0.0000

Cross-section fixed effects test equation:
Dependent Variable: HARGA_SAHAM
Method: Panel Least Squares
Date: 04/11/17 Time: 17:35
Sample: 2011 2015
Periods included: 5
Cross-sections included: 28
Total panel (balanced) observations: 140
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
ROE
PBV
BETA

-1767.612
62.50661
972.7506
1985.735

366.5957
22.93234
172.3672
365.7345

-4.821695
2.725697
5.643480
5.429445

0.0000
0.0073
0.0000
0.0000

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

0.511623
0.500850
2034.133
5.63E+08
-1263.118
47.49121
0.000000

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

2050.336
2879.147
18.10168
18.18573
18.13584
0.448062

60
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Lampiran 4 Uji Hausman
Correlated Random Effects - Hausman Test
Equation: Untitled
Test cross-section random effects
Test Summary

Chi-Sq. Statistic

Chi-Sq. d.f.

Prob.

66.701781

3

0.0000

Var(Diff.)

Prob.

-25.952467
0.074951
20.443460
20.967632 160.636769 1013.137655
230.052922 533.299561 5584.258532

0.0000
0.0000
0.0000

Cross-section random

Cross-section random effects test comparisons:
Variable
ROE
PBV
BETA

Fixed

Random

Cross-section random effects test equation:
Dependent Variable: HARGA_SAHAM
Method: Panel Least Squares
Date: 04/11/17 Time: 17:36
Sample: 2011 2015
Periods included: 5
Cross-sections included: 28
Total panel (balanced) observations: 140
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
ROE
PBV
BETA

2259.592
-25.95247
20.96763
230.0529

267.9357
13.98813
105.6097
232.1139

8.433339
-1.855321
0.198539
0.991121

0.0000
0.0663
0.8430
0.3238

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)

0.942443
0.926601
780.0245
66319772
-1113.436
59.49216
0.000000

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

2050.336
2879.147
16.34909
17.00045
16.61379
0.665636

61
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Lampiran 5 Hasil Olahan data di Excel
NO

NAMA BANK

KODE
BANK

1

Bank Artha Graha
Internasional Tbk

INPC

2

Bank Bukopin
Tbk

BBKP

3

Bank Bumi Arta
Tbk

BNBA

4

Bank Capital
Indonesia Tbk

BACA

5

Bank Central
Asia Tbk

BBCA

6

Bank CIMB
Niaga Tbk

BNGA

7

Bank Danamon
Indonesia Tbk

BDMN

TAHUN

HARGA
SAHAM

2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015

92
115
103
88
73
657
640
718
682
701
153
175
168
161
169
134
120
113
91
170
7350
7956
10127
11541
13440
1547
1176
1175
969
674
5417
5582
5160
4156
3949

ROE
11.53
13.14
11.59
5.92
2.93
20.10
19.47
19.44
11.53
14.80
11.94
14.84
13.15
11.34
8.97
5.19
8.46
10.96
8.93
9.59
33.50
30.40
28.20
25.50
21.90
19.09
20.88
17.74
8.52
1.50
17.20
16.20
14.50
8.60
7.40

PBV

BETA

0.87
0.73
0.46
0.38
0.30
1.22
1.03
0.91
1.01
0.85
0.76
0.75
0.65
0.64
0.70
1.32
0.86
0.80
0.64
1.31
5.35
4.56
3.87
4.33
3.80
1.85
1.29
0.93
0.74
0.53
2.31
1.95
1.19
1.34
0.90

0.63465
0.77032
0.24766
0.34371
0.39946
0.9872
1.276
1.00493
0.75392
0.47376
0.26712
0.73392
0.30856
0.06878
0.11678
0.31157
0.56592
0.03849
0.34969
0.85797
0.97422
1.02462
1.1688
1.12025
1.17362
1.05416
0.79227
0.62707
0.46977
0.46819
0.9129
0.73513
0.57597
1.74206
1.65908

62
Universitas Sumatera Utara

8

Bank Maybank
Indonesia Tbk

BNII

9

Bank Mandiri
(Persero) Tbk

BMRI

10

Bank Mayapada
Internasional Tbk

MAYA

11

Bank Mega Tbk

MEGA

12

Bank MNC
Internasional Tbk

BABP

13

Bank Negara
Indonesia
(Persero) Tbk

BBNI

14

Bank OCBC
NISP Tbk

NISP

15

Bank of India
Indonesia Tbk

BSWD

2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014

528
423
357
288
185
6691
7424
8800
9907
10135
875
1966
1505
1503
1534
3395
3360
2713
2002
2584
116
129
126
114
78
3811
3782
4220
5128
5683
1265
1230
1348
1312
1308
600
1519
1225
2904

9.19
16.04
16.42
6.10
8.47
23.00
25.80
27.30
27.20
25.60
11.53
17.67
22.85
20.70
23.41
9.36
11.27
9.96
12.38
10.89
-18.96
0.26
-16.28
-6.69
0.74
20.10
20.00
22.50
23.60
17.20
11.30
17.90
11.60
14.80
12.30
15.26
16.82
22.03
23.92

3.27
2.56
1.58
1.10
0.76
2.86
2.65
2.19
2.54
1.91
2.91
5.65
4.58
2.34
2.17
3.01
2.06
2.41
2.07
3.16
0.92
1.28
0.96
1.00
1.04
2.03
1.67
1.61
1.97
1.46
1.34
1.51
1.46
1.08
0.92
1.75
3.77
1.30
1.78

0.91099
0.59288
0.20058
0.15979
0.36233
1.4887
1.33029
1.47932
1.61684
1.50009
0.50718
-0.0673
0.58936
0.24127
0.04672
0.26258
-0.0784
0.11674
0.15761
0.17348
0.08261
0.29654
0.14434
0.5477
0.82041
1.34074
0.79971
-0.0064
1.60354
1.50053
0.58271
0.33839
0.06521
-0.2897
0.28924
0
-0.0733
-0.8478
-0.6794

63
Universitas Sumatera Utara

16

Bank Pan
Indonesia Tbk.

PNBN

17

Bank Permata
Tbk

BNLI

18

Bank QNB
Indonesia Tbk

BKSW

19

Bank Rakyat
Indonesia
(Persero) Tbk

BBRI

20

Bank Rakyat
Indonesia
Agroniaga Tbk

AGRO

21

Bank Sinarmas
Tbk.

BSIM

22

Bank Tabungan
Negara (Persero)
Tbk

BBTN

23

Bank Tabungan
Pensiunan
Nasional Tbk

BTPN

2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013

3288
932
766
717
893
1051
1427
1264
1371
1252
1282
667
687
544
386
406
6223
6853
8027
10223
11206
149
134
125
109
95
331
254
239
270
407
1442
1288
1256
1115
1140
5460
4169
4591

-4.50
14.72
15.37
14.56
9.24
6.07
15.87
17.54
15.70
12.20
1.80
0.72
-3.38
0.40
6.62
7.50
42.49
38.66
34.11
31.22
29.90
11.37
10.26
8.89
7.05
7.65
10.03
15.42
9.23
5.72
6.46
17.65
18.23
16.05
10.95
16.84
31.80
32.60
26.20

3.50
1.33
0.86
0.82
1.23
0.65
1.40
1.38
0.98
1.07
0.63
2.74
2.86
1.88
1.64
1.09
4.15
2.86
2.43
3.14
2.62
1.48
1.41
1.04
0.89
0.85
1.30
1.15
0.81
1.07
1.07
1.62
1.85
0.83
1.08
1.04
3.77
4.26
2.63

-0.1025
0.80961
1.05293
1.15799
0.9365
0.89399
0.59867
0.222
0.29388
0.24787
0.22886
0.23263
-0.024
0.05257
0.30528
-0.3617
1.51139
1.36015
1.42882
1.83311
1.67863
0.61045
1.00474
0.57361
0.53993
-0.0052
1.26362
0.40378
0.10021
0.08053
0.01971
1.47106
0.89906
1.20704
1.62736
1.16652
0.79366
0.58721
0.56228

64
Universitas Sumatera Utara

24

Bank Victoria
International Tbk.

BVIC

25

Bank Woori
Saudara
Indonesia 1906
Tbk

SDRA

26

BPD Jawa Barat
dan Banten Tbk

BJBR

27

Bank Windu
Kentjana
International Tbk

MCOR

28

Bank
Pembangunan
Daerah Banten
Tbk

BEKS

2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015
2011
2012
2013
2014
2015

4282
3466
132
127
128
124
112
199
455
750
1070
1151
1113
1032
1077
872
812
49
70
66
62
100
34
38
31
23
18

18.60
14.10
24.90
16.48
16.72
7.62
6.73
23.36
27.44
13.95
8.35
12.16
21.00
25.02
26.76
19.11
23.10
6.94
15.91
10.79
5.28
6.21
33.65
18.96
19.04
18.98
16.11

1.99
1.03
0.94
0.56
0.54
0.48
0.35
1.54
2.99
3.95
4.63
1.37
2.03
1.79
1.34
1.06
1.01
1.28
1.04
0.90
0.99
1.41
5.12
2.00
1.51
1.20
1.37

0.45752
0.33268
1.00115
0.8133
0.4614
0.28931
0.1159
0.16909
0.97728
0.02284
0.14449
-0.0347
1.39077
1.09937
0.73928
0.76167
1.05015
0.47442
1.12038
0.15601
0.08836
0.09451
0.42969
0.38666
0.35535
0.32202
0.93762

65
Universitas Sumatera Utara