Analisis Pengaruh Bid-Ask Spread, Market Value dan Variance Return Terhadap Holding Period Saham Sektor Pertambangan

LAMPIRAN

Lampiran 1. Data Variabel Skripsi

Perusahaan
ADRO
ADRO
ADRO
ANTM
ANTM
ANTM
ATPK
ATPK
ATPK
BUMI
BUMI
BUMI
CNKO
CNKO
CNKO
CTTH

CTTH
CTTH
DEWA
DEWA
DEWA
ELSA
ELSA
ELSA
ENRG
ENRG
ENRG
INCO
INCO
INCO

Tahun
2009
2010
2011
2009

2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011
2009
2010
2011

2009
2010
2011
2009
2010
2011

Holding
Period
0.3338
0.5604
0.7873
0.2296
0.4446
0.8681
1.7743
2.6278
0.4613
0.1680
0.4120

0.3822
0.4096
0.2016
0.6022
0.5444
0.4355
1.8127
0.0861
0.4212
0.2694
0.1368
0.0995
0.5805
0.1488
0.2771
0.2521
0.4078
0.4366
0.9612

Bid-Ask
Spread
0.4947
0.4995
0.4988
0.4997
0.5003
0.5002
0.5809
0.7350
0.7002
0.4979
0.5008
0.4996
0.4582
0.6243
0.7014
0.3835
0.6667
0.6667

0.4870
0.7214
0.7509
0.5362
0.4983
0.5163
0.5603
0.6504
0.6505
0.5000
0.4968
0.4865

Market Value
13.2335
26.5205
28.5509
6.2868
7.3922
6.6408

0.0557
0.0372
0.0309
33.9097
43.4966
39.8663
0.1365
0.3243
0.3376
0.0263
0.0283
0.0377
1.1700
1.0127
0.9517
0.4214
0.5535
0.4994
1.9448
3.2248

4.3567
7.0603
8.5992
8.4721

Variance
Return
0.0011
0.0006
0.0008
0.0015
0.0056
0.0004
0.0109
0.0014
0.0018
0.0029
0.0014
0.0010
0.0012

0.0014
0.0009
0.0009
0.0006
0.0004
0.0040
0.0017
0.0013
0.0011
0.0012
0.0006
0.0044
0.0028
0.0015
0.0018
0.0006
0.0006

74
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Lampiran 2. Uji Normalitas

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

HP?
-0.895052
-0.875641
0.966157
-2.451780
0.807668
0.265483
3.025761

Spread?
-0.590159
-0.692057
-0.286418
-0.958347
0.169388
0.300277
2.225026

MV?
0.303379
0.411079
3.772683
-3.640089
2.421797
-0.264655
1.838500

VR?
-6.619241
-6.671341
-4.516885
-7.870813
0.772259
0.767035
3.437836

Jarque-Bera
Probability

0.353235
0.838100

1.201563
0.548383

2.036564
0.361215

3.181335
0.203790

Sum
Sum Sq. Dev.

-26.851550
18.917480

-17.704760
0.832074

9.101381
170.088000

-198.577200
17.295130

Observations
Cross section

30
10

30
10

30
10

30
10

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Universitas Sumatera Utara

Lampiran 3. Hasil Regresi

Dependent Variable: HP?
Method: Pooled Least Squares
Date: 12/26/12 Time: 12:34
Sample: 2009 2011
Included observations: 3
Cross-sections included: 10
Total pool (balanced) observations: 30
White cross-section standard errors & covariance (d.f. corrected)
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
SPREAD?
MV?
VR?
Fixed Effects (Cross)
_ADRO--C
_ANTM--C
_ATPK--C
_BUMI--C
_CNKO--C
_CTTH--C
_DEWA--C
_ELSA--C
_ENRG--C
_INCO--C

-3.490013
0.223157
0.633251
-0.382905

0.457275
0.182500
0.446744
0.053069

-7.632200
1.222783
1.417483
-7.215280

0.0000
0.2381
0.1744
0.0000

-1.668486
-0.852525
3.649002
-2.357405
0.901217
2.706604
-0.344232
-0.187844
-0.896778
-0.949552
Effects Specification

Cross-section fixed (dummy variables)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.651493
0.405488
0.622749
6.592871
-19.84003
2.920307

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

-0.895052
0.807668
2.189335
2.796521
2.648294
0.032779

76
Universitas Sumatera Utara

Lampiran 4. Analisis Deskripsi

77
Universitas Sumatera Utara