Kode Tanggal Stock Split Rasio
Lampiran 1 Data perusahaan yang melakukan Stock Split
No. Nama Perusahaan Kode Tanggal Stock Split Rasio
4 : 11. Resource Alam Indonesia Tbk KKGI 18/03/2010
2 : 1
2. Ciputra Development Tbk CTRA 15/06/2010
4 : 1
3. Tunas Redean Tbk TURI 17/06/2010
2 : 1
4. Darya–Varia Laboratoria Tbk DVLA 12/11/2010
5 : 1
5. Charoen Pokphan Indonesia Tbk CPIN 08/12/2010
5 : 1
6. London Sumatera Plantation Tbk LSIP 25/02/2011
5 : 1
7. Bank Tabungan Pensiunan Nasional Tbk BTPN 28/03/2011
5 : 1
8. Intraco Penta Tbk
INTA 06/06/2011
5 : 1
9. Astra Otopart Tbk AUTO 24/06/2011
4 : 1
10. Surya Semesta Internusa Tbk SSIA 07/07/2011
5 : 1
11. Capitalinc Investment Tbk MTFN 11/07/2011
5 : 1
12. Jasuindo Tiga Perkasa Tbk JTPE 26/07/2011
2 : 1
13. Pool Advista Indonesia Tbk POOL 03/01/2012
10 : 1
14. Petrosea Tbk PTRO 06/03/2012
10 : 1
15. Hero Supermarket Tbk HERO 05/04/2012
10 : 1
16. Astra International Tbk ASII 05/06/2012
2 : 1
17. Indomobil Sukses International Tbk
IMAS 07/06/2012
5 : 1
18. Modern International Tbk MDRN 03/07/2012
2 : 1
19. BFI Finance Indonesia Tbk BFIN 07/08/2012
10 : 1
20. Surya Toto Indonesia Tbk TOTO 09/08/2012
Lampiran 2 Data Harga Saham, Indeks Harga Saham, Actual Return, Expected Return,
10 4 24/03/2010 580 2774.85 0.019842991 -0.019842991
10 4 24/03/2010 30500 1000000000 0.0000305
9 3 23/03/2010 30500 1000000000 0.0000305
8 2 22/03/2010 30500 1000000000 0.0000305
1 -5 10/03/2010 3000000 1000000000 0.0030000 2 -4 11/03/2010 3000000 1000000000 0.0030000 3 -3 12/03/2010 122000 1000000000 0.0001220 4 -2 15/03/2010 122000 1000000000 0.0001220 5 -1 17/03/2010 122000 1000000000 0.0001220 6 18/03/2010 30500 1000000000 0.0000305 7 1 19/03/2010 30500 1000000000 0.0000305
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
11 5 25/03/2010 650 2799.15 0.120689655 0.00875723 0.111932425
9 3 23/03/2010 580 2720.86 0.006830965 -0.006830965
Abnormal Return, Volume Saham yang Diperdagangkan, Volume Saham Beredar dan Trading Volume Activity.
8 2 22/03/2010 580 2702.4 -0.014790537 0.014790537
1 -5 10/03/2010 550 2670.22 2 -4 11/03/2010 550 2676.52 0.002359356 -0.002359356 3 -3 12/03/2010 575 2666.51 0.045454545 -0.003739931 0.049194476 4 -2 15/03/2010 575 2669.61 0.001162568 -0.001162568 5 -1 17/03/2010 575 2756.26 0.032457925 -0.032457925 6 18/03/2010 580 2737.24 0.008695652 -0.006900655 0.015596307 7 1 19/03/2010 580 2742.97 0.00209335 -0.00209335
Expected Return Abnormal Return
IHSG Actual Return
No. Ket. Tanggal Harga Saham
KKGI
11 5 25/03/2010 81500 1000000000 0.0000815 CTRA
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 8/06/2010 355 2779.98 2 -4 9/06/2010 365 2785.79 0.028169014 0.002089943 0.026079071 3 -3 10/06/2010 380 2770.79 0.04109589 -0.005384469 0.046480359 4 -2 11/06/2010 405 2801.9 0.065789474 0.011227845 0.054561629 5 -1 14/06/2010 410 2826.84 0.012345679 0.008901103 0.003444576 6 15/06/2010 395 2830.17 -0.03658537 0.001177994 -0.03776336 7 1 16/06/2010 390 2858.66 -0.01265823 0.010066533 -0.022724761
8 2 17/06/2010 380 2891.1 -0.02564103 0.011347974 -0.036989
9 3 18/06/2010 370 2929.59 -0.02631579 0.013313272 -0.039629061
10 4 21/06/2010 370 2941.9 0.004201953 -0.004201953
11 5 22/06/2010 375 2934.59 0.013513514 -0.002484789 0.015998302
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 08/06/2010 4850000 15165815994 0.000319798 2 -4 09/06/2010 8519000 15165815994 0.000561724 3 -3 10/06/2010 22986000 15165815994 0.001515645 4 -2 11/06/2010 21550000 15165815994 0.001420959 5 -1 14/06/2010 18825000 15165815994 0.001241278 6 15/06/2010 12474500 15165815994 0.000822541 7 1 16/06/2010 4570500 15165815994 0.000301369
8 2 17/06/2010 18628500 15165815994 0.001228322
9 3 18/06/2010 56534500 15165815994 0.003727759
10 4 21/06/2010 20771000 15165815994 0.001369593
11 5 22/06/2010 20187000 15165815994 0.001331086
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 10/06/2010 24164000 5580000000 0.004330466 2 -4 11/06/2010 11440000 5580000000 0.002050179 3 -3 14/06/2010 8502000 5580000000 0.001523656 4 -2 15/06/2010 9116000 5580000000 0.001633692 5 -1 16/06/2010 18924000 5580000000 0.003391398 6 17/06/2010 16638500 5580000000 0.00298181 7 1 18/06/2010 9161000 5580000000 0.001641756
8 2 21/06/2010 7481500 5580000000 0.001340771
9 3 22/06/2010 4859500 5580000000 0.000870878
10 4 23/06/2010 3805500 5580000000 0.000681989
11 5 24/06/2010 120713000 5580000000 0.021633154 TURI
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 10/06/2010 575 2770.79 2 -4 11/06/2010 568.75 2801.9 -0.01086957 0.011227845 -0.02209741 3 -3 14/06/2010 575 2826.84 0.010989011 0.008901103 0.002087908 4 -2 15/06/2010 556.25 2830.17 -0.0326087 0.001177994 -0.033786689 5 -1 16/06/2010 587.5 2858.66 0.056179775 0.010066533 0.046113242 6 17/06/2010 590 2891.1 0.004255319 0.011347974 -0.007092655 7 1 18/06/2010 600 2929.59 0.016949153 0.013313272 0.003635881
8 2 21/06/2010 580 2941.9 -0.03333333 0.004201953 -0.037535287
9 3 22/06/2010 580 2934.59 -0.002484789 0.002484789
10 4 23/06/2010 560 2924.79 -0.03448276 -0.003339478 -0.03114328
11 5 24/06/2010 540 2914.09 -0.03571429 -0.003658382 -0.032055903 DVLA
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 05/11/2010 955 3655.3 2 -4 08/11/2010 1062.5 3699.26 0.112565445 0.012026373 0.100539072 3 -3 09/11/2010 1025 3737.48 -0.03529412 0.010331796 -0.045625914 4 -2 10/11/2010 1062.5 3756.97 0.036585366 0.005214744 0.031370622 5 -1 11/11/2010 1112.5 3744.62 0.047058824 -0.003287223 0.050346047 6 12/11/2010 1240 3665.85 0.114606742 -0.021035512 0.135642254 7 1 15/11/2010 1210 3656.46 -0.02419355 -0.00256148 -0.021632069
8 2 16/11/2010 1180 3674.03 -0.02479339 0.004805194 -0.029598583
9 3 17/11/2010 1180 3677.9 0.001053339 -0.001053339
10 4 18/11/2010 1160 3725.05 -0.01694915 0.012819816 -0.029768968
11 5 19/11/2010 1160 3741.23 0.004343566 -0.004343566
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 05/11/2010 53000 1120000000 0.000047321 2 -4 08/11/2010 743000 1120000000 0.000663393 3 -3 09/11/2010 136000 1120000000 0.000121429 4 -2 10/11/2010 43000 1120000000 0.000038393 5 -1 11/11/2010 309000 1120000000 0.000275893 6 12/11/2010 516000 1120000000 0.000460714 7 1 15/11/2010 52500 1120000000 0.000046875
8 2 16/11/2010 25500 1120000000 0.000022768
9 3 17/11/2010 1120000000
10 4 18/11/2010 32500 1120000000 0.000029018
11 5 19/11/2010 22500 1120000000 0.000029018
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 30/11/2010 293055000 16417971301 0.017849647 2 -4 01/12/2010 20062500 16417971301 0.001221984 3 -3 02/12/2010 30520000 16417971301 0.001858939 4 -2 03/12/2010 22612500 16417971301 0.001377302 5 -1 06/12/2010 20167500 16417971301 0.00122838 6 08/12/2010 20678500 16417971301 0.001259504 7 1 09/12/2010 18818500 16417971301 0.001146213
8 2 10/12/2010 35043500 16417971301 0.00213446
9 3 13/12/2010 13330500 16417971301 0.000811946
10 4 14/12/2010 17722500 16417971301 0.001079457
11 5 15/12/2010 25531500 16417971301 0.001555095 CPIN
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 30/11/2010 1920 3531.21 2 -4 01/12/2010 1860 3619.09 -0.03125 0.024886654 -0.056136654 3 -3 02/12/2010 1860 3694.58 0.020858835 -0.020858835 4 -2 03/12/2010 1890 3696.26 0.016129032 0.00045472 0.015674312 5 -1 06/12/2010 1910 3722.35 0.010582011 0.007058486 0.003523524 6 08/12/2010 2000 3769.99 0.047120419 0.012798367 0.034322052 7 1 09/12/2010 2050 3786.1 0.025 0.004273221 0.020726779
8 2 10/12/2010 2025 3747.71 -0.01219512 -0.010139722 -0.0020554
9 3 13/12/2010 2000 3692.23 -0.01234568 -0.014803707 0.002458028
10 4 14/12/2010 2025 3689.67 0.0125 -0.000693348 0.013193348
11 5 15/12/2010 1980 3658.31 -0.02222222 -0.008499405 -0.013722817 LSIP
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 18/02/2011 2190 3501.5 2 -4 21/02/2011 2200 3497.64 0.00456621 -0.001102385 0.005668595 3 -3 22/02/2011 2180 3451.1 -0.00909091 -0.013306115 0.004215206 4 -2 23/02/2011 2160 3474.12 -0.00917431 0.006670337 -0.015844649 5 -1 24/02/2011 2100 3439.13 -0.02777778 -0.010071615 -0.017706163 6 25/02/2011 2150 3443.53 0.023809524 0.001279393 0.02253013 7 1 28/02/2011 2150 3470.35 0.007788519 -0.007788519
8 2 01/03/2011 2225 3512.62 0.034883721 0.012180328 0.022703393
9 3 02/03/2011 2250 3486.2 0.011235955 -0.007521451 0.018757406
10 4 03/03/2011 2275 3494.54 0.011111111 0.00239229 0.008718822
11 5 04/03/2011 2350 3542.9 0.032967033 0.013838731 0.019128302
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 18/02/2011 35457500 6822864000 0.005196865 2 -4 21/02/2011 20882500 6822864000 0.003060665 3 -3 22/02/2011 20865000 6822864000 0.0030581 4 -2 23/02/2011 38205000 6822864000 0.005599555 5 -1 24/02/2011 30577500 6822864000 0.004481622 6 25/02/2011 7681000 6822864000 0.001125774 7 1 28/02/2011 7579000 6822864000 0.001110824
8 2 01/03/2011 14399000 6822864000 0.002110404
9 3 02/03/2011 13142500 6822864000 0.001926244
10 4 03/03/2011 28791500 6822864000 0.004219855
11 5 04/03/2011 24748500 6822864000 0.003627289 BTPN
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 21/03/2011 2160 3518.85 2 -4 22/03/2011 2150 3517.72 -0.00462963 -0.000321128 -0.004308502 3 -3 23/03/2011 2180 3556.23 0.013953488 0.010947432 0.003006057 4 -2 24/03/2011 2300 3611.64 0.055045872 0.015581107 0.039464765 5 -1 25/03/2011 2330 3607.11 0.013043478 -0.001254278 0.014297756 6 28/03/2011 2500 3602.86 0.072961373 -0.001178229 0.074139602 7 1 29/03/2011 2550 3591.51 0.02 -0.003150275 0.023150275
8 2 30/03/2011 2525 3640.98 -0.00980392 0.013774151 -0.023578072
9 3 31/03/2011 2500 3678.67 -0.00990099 0.010351609 -0.020252599
10 4 01/04/2011 2450 3707.49 -0.02 0.007834353 -0.027834353
11 5 04/04/2011 2500 3700.05 0.020408163 -0.002006749 0.022414912
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 21/03/2011 12500 5663614140 0.000002207 2 -4 22/03/2011 887500 5663614140 0.000156702 3 -3 23/03/2011 1075000 5663614140 0.000189808 4 -2 24/03/2011 5950000 5663614140 0.001050566 5 -1 25/03/2011 3162500 5663614140 0.000558389 6 28/03/2011 3072500 5663614140 0.000542498 7 1 29/03/2011 2603500 5663614140 0.000459689
8 2 30/03/2011 1726000 5663614140 0.000304752
9 3 31/03/2011 732500 5663614140 0.000129334
10 4 01/04/2011 653500 5663614140 0.000115386
11 5 04/04/2011 330000 5663614140 0.000058267 INTA
Harga Actual Expected Abnormal No. Ket. Tanggal
IHSG Saham Return Return Return
1 -5 27/06/2011 765 3832.38 2 -4 30/06/2011 775 3826.14 0.013071895 -0.001628231 0.014700126 3 -3 31/06/2011 775 3836.97 0.002830529 -0.002830529 4 -2 01/06/2011 770 3837.76 -0.00645161 0.000205892 -0.006657505 5 -1 03/06/2011 770 3844.02 0.00163116 -0.00163116 6 06/06/2011 770 3834.2 -0.002554617 0.002554617 7 1 07/06/2011 770 3842.95 0.002282093 -0.002282093
8 2 08/06/2011 760 3825.82 -0.01298701 -0.004457513 -0.0085295
9 3 09/06/2011 740 3806.19 -0.02631579 -0.005130926 -0.021184863
10 4 10/06/2011 730 3787.65 -0.01351351 -0.004871013 -0.008642501
11 5 13/06/2011 710 3748.76 -0.02739726 -0.01026758 -0.01712968
Volume Volume Trading Volume No. Ket. Tanggal diperdagangkan beredar Activity
1 -5 27/06/2011 51940000 2160029220 0.024045971 2 -4 30/06/2011 56495000 2160029220 0.026154739 3 -3 31/06/2011 45747500 2160029220 0.021179112 4 -2 01/06/2011 27297500 2160029220 0.012637561 5 -1 03/06/2011 17337500 2160029220 0.008026512 6 06/06/2011 22459000 2160029220 0.010397545 7 1 07/06/2011 15347000 2160029220 0.007104996
8 2 08/06/2011 22160000 2160029220 0.01025912
9 3 09/06/2011 24959000 2160029220 0.011554936
10 4 10/06/2011 13585000 2160029220 0.006289267
11 5 13/06/2011 17677500 2160029220 0.008183917
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 17/06/2011 47500 3855786400 1.23191E-05 2 -4 20/06/2011 95000 3855786400 2.46383E-05 3 -3 21/06/2011 105000 3855786400 2.72318E-05 4 -2 22/06/2011 622500 3855786400 0.000161446 5 -1 23/06/2011 1090000 3855786400 0.000282692 6 24/06/2011 551500 3855786400 0.000143032 7 1 27/06/2011 216000 3855786400 5.60197E-05
8 2 28/06/2011 307500 3855786400 7.97503E-05
9 3 02/07/2011 620000 3855786400 0.000160797
10 4 03/07/2011 287500 3855786400 7.45633E-05
11 5 04/07/2011 575000 3855786400 0.000149127 AUTO
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 17/06/2011 3120 3721.38 2 -4 20/06/2011 3120 3729.12 0.002079874 -0.002079874 3 -3 21/06/2011 3180 3794.94 0.019230769 0.017650277 0.019230769 4 -2 22/06/2011 3260 3821.83 0.025157233 0.308176101 -0.283018868 5 -1 23/06/2011 3320 3823.65 0.018404908 -0.268404908 0.286809816 6 24/06/2011 3300 3848.56 -0.0060241 -1.327309237 1.321285141 7 1 27/06/2011 3250 3813.43 -0.01515152 1.515151515 -1.53030303
8 2 28/06/2011 3225 3830.27 -0.00769231 -0.492307692 0.484615385
9 3 02/07/2011 3000 3888.57 -0.06976744 8.069767442 -8.139534884
10 4 03/07/2011 3280 3927.1 0.093333333 -2.337777778 2.431111111
11 5 04/07/2011 3270 3953.52 -0.00304878 -1.032665505 1.029616725 SSIA
No. Ket. Tanggal Harga Saham
13440000 4705249440 0.002856384
11 5 14/07/2011
141652000 4705249440 0.030105099
10 4 13/07/2011
31197000 4705249440 0.006630254
9 3 12/07/2011
26205000 4705249440 0.005569312
8 2 11/07/2011
18940500 4705249440 0.004025398
7 1 08/07/2011
45112500 4705249440 0.009587696
6 07/07/2011
29880000 4705249440 0.006350354
5 -1 06/07/2011
4 -2 05/07/2011
IHSG Actual Return
26426000 4705249440 0.00561628
3 -3 01/07/2011
23768000 4705249440 0.005051379
2 -4 30/06/2011
24666000 4705249440 0.00524223
1 -5 28/06/2011
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
11 5 14/07/2011 345 3997.64 -0.01428571 0.004220215 -0.018505929
10 4 13/07/2011 350 3980.84 0.060606061 0.010876052 0.049730009
9 3 12/07/2011 330 3938.01 -0.014410888 0.014410888
8 2 11/07/2011 330 3995.59 -0.01492537 -0.002023134 -0.012902239
1 -5 28/06/2011 337.5 3830.27 2 -4 30/06/2011 340 3888.57 0.007407407 0.015220859 -0.007813452 3 -3 01/07/2011 337.5 3927.1 -0.00735294 0.009908527 -0.017261468 4 -2 05/07/2011 337.5 3924.13 -0.000756283 0.000756283 5 -1 06/07/2011 335 3908.96 -0.00740741 -0.003865825 -0.003541582 6 07/07/2011 330 3939.47 -0.01492537 0.007805145 -0.022730518 7 1 08/07/2011 335 4003.69 0.015151515 0.016301685 -0.00115017
Expected Return Abnormal Return
41668000 4705249440 0.008855641 MTFN
No. Ket. Tanggal Harga Saham
210000 4008094345 5.2394E-05
11 5 18/07/2011
232500 4008094345 5.80076E-05
10 4 15/07/2011
449000 4008094345 0.000112023
9 3 14/07/2011
2869000 4008094345 0.000715802
8 2 13/07/2011
93000 4008094345 2.3203E-05
7 1 12/07/2011
15000 4008094345 3.74243E-06
6 11/07/2011
1015000 4008094345 0.000253238
5 -1 08/07/2011
4 -2 07/07/2011
IHSG Actual Return
1827500 4008094345 0.000455952
3 -3 06/07/2011
220000 4008094345 5.48889E-05
2 -4 05/07/2011
5000 4008094345 1.24748E-06
1 -5 01/07/2011
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
11 5 18/07/2011 240 4032.97 -0.02040816 0.002428415 -0.022836578
10 4 15/07/2011 245 4023.2 -0.02 0.006393772 -0.026393772
9 3 14/07/2011 250 3997.64 -0.03846154 0.004220215 -0.042681753
8 2 13/07/2011 260 3980.84 0.181818182 0.010876052 0.17094213
1 -5 01/07/2011 224 3927.1 2 -4 05/07/2011 238 3924.13 0.0625 -0.000756283 0.063256283 3 -3 06/07/2011 246 3908.96 0.033613445 -0.003865825 0.03747927 4 -2 07/07/2011 240 3939.47 -0.02439024 0.007805145 -0.032195389 5 -1 08/07/2011 236 4003.69 -0.01666667 0.016301685 -0.032968352 6 11/07/2011 240 3995.59 0.016949153 -0.002023134 0.018972286 7 1 12/07/2011 220 3938.01 -0.08333333 -0.014410888 -0.068922445
Expected Return Abnormal Return
356500 4008094345 8.8945E-05 JTPE
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 19/07/2011 296 4023.42 2 -4 20/07/2011 298 4050.63 0.006756757 0.006762903 -0.000006146 3 -3 21/07/2011 298 4068.07 0.004305503 -0.004305503 4 -2 22/07/2011 298 4106.82 0.009525401 -0.009525401 5 -1 25/07/2011 290 4087.09 -0.02684564 -0.004804204 -0.022041434 6 26/07/2011 305 4132.78 0.051724138 0.011179103 0.040545035 7 1 27/07/2011 300 4174.11 -0.01639344 0.010000532 -0.026393975
8 2 28/07/2011 295 4145.83 -0.01666667 -0.006775097 -0.00989157
9 3 29/07/2011 280 4130.8 -0.05084746 -0.00362533 -0.047222128
10 4 01/08/2011 280 4193.44 0.015164133 -0.015164133
11 5 02/08/2011 285 4177.85 0.017857143 -0.003717711 0.021574854
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 19/07/2011 11767500 1769680000 0.006649507 2 -4 20/07/2011 18412500 1769680000 0.010404423 3 -3 21/07/2011 16542500 1769680000 0.009347735 4 -2 22/07/2011 6350000 1769680000 0.003588219 5 -1 25/07/2011 10487500 1769680000 0.005926213 6 26/07/2011 24721000 1769680000 0.013969192 7 1 27/07/2011 10224000 1769680000 0.005777316
8 2 28/07/2011 6249500 1769680000 0.003531429
9 3 29/07/2011 15739000 1769680000 0.008893698
10 4 01/08/2011 5412000 1769680000 0.00305818
11 5 02/08/2011 4818000 1769680000 0.002722526 POOL
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 27/12/2011 600 3797.15 2 -4 28/12/2011 600 3789.43 -0.002033104 0.002033104 3 -3 29/12/2011 600 3769.21 -0.005335895 0.005335895 4 -2 30/12/2011 600 3808.77 0.010495568 -0.010495568 5 -1 02/01/2012 600 3821.99 0.003470937 -0.003470937 6 03/01/2012 600 3857.88 0.009390396 -0.009390396 7 1 04/01/2012 600 3907.42 0.01284125 -0.01284125
8 2 05/01/2012 600 3906.26 -0.000296871 0.000296871
9 3 06/01/2012 600 3869.42 -0.009431016 0.009431016
10 4 09/01/2012 600 3889.07 0.00507828 -0.00507828
11 5 10/01/2012 600 3938.84 0.012797404 -0.012797404
No. Ket. Tanggal Volume diperdagangkan Volume beredar
Trading Volume Activity 1 -5 27/12/2011 3000 10029937582
0.000000299 2 -4 28/12/2011 3000 10029937582 0.000000299 3 -3 29/12/2011 3000 10029937582 0.000000299 4 -2 30/12/2011 3000 10029937582 0.000000299 5 -1 02/01/2012 3000 10029937582 0.000000299 6 03/01/2012 1500 10029937582 0.000000150
7 1 04/01/2012 1500 10029937582 0.000000150
8 2 05/01/2012 1500 10029937582 0.000000150
9 3 06/01/2012 1500 10029937582 0.000000150
10 4 09/01/2012 1500 10029937582 0.000000150
11 5 10/01/2012 1500 10029937582 0.000000150 PTRO
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 28/02/2012 4325 3903.56 2 -4 29/02/2012 4350 3985.21 0.005780347 0.020916804 -0.015136457 3 -3 01/03/2012 4500 3962.29 0.034482759 -0.005751265 0.040234024 4 -2 02/03/2012 4490 4004.87 -0.00222222 0.010746311 -0.012968533 5 -1 05/03/2012 4400 3984.9 -0.02004454 -0.004986429 -0.015058114 6 06/03/2012 4625 3967.08 0.051136364 -0.004471881 0.055608245 7 1 07/03/2012 4575 3942.52 -0.01081081 -0.006190952 -0.004619859
8 2 08/03/2012 4475 3967.67 -0.02185792 0.006379169 -0.028237092
9 3 09/03/2012 4400 3991.54 -0.01675978 0.006016125 -0.022775902
10 4 12/03/2012 4250 3987.35 -0.03409091 -0.00104972 -0.033041189
11 5 13/03/2012 4225 4008.64 -0.00588235 0.005339386 -0.011221739
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 28/02/2012 1775000 1008605000 0.001759856 2 -4 29/02/2012 1285000 1008605000 0.001274037 3 -3 01/03/2012 2235000 1008605000 0.002215932 4 -2 02/03/2012 2345000 1008605000 0.002324993 5 -1 05/03/2012 700000 1008605000 0.000694028 6 06/03/2012 10320000 1008605000 0.010231954 7 1 07/03/2012 3849500 1008605000 0.003816658
8 2 08/03/2012 3602500 1008605000 0.003571765
9 3 09/03/2012 7022000 1008605000 0.006962091
10 4 12/03/2012 4195000 1008605000 0.004159210
11 5 13/03/2012 4498500 1008605000 0.004460121 HERO
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 29/03/2012 5700 4105.17 2 -4 30/03/2012 7100 4121.55 0.245614035 0.003990091 0.241623945 3 -3 02/04/2012 6100 4166.07 -0.14084507 0.010801761 -0.151646832 4 -2 03/04/2012 4900 4215.44 -0.19672131 0.011850497 -0.208571808 5 -1 04/04/2012 3925 4134.04 -0.19897959 -0.019309965 -0.179669627 6 05/04/2012 3925 4166.37 0.007820437 -0.007820437 7 1 06/04/2012 3550 4154.07 -0.0955414 -0.00295221 -0.092589191
8 2 09/04/2012 2470 4149.8 -0.30422535 -0.001027908 -0.303197445
9 3 10/04/2012 2470 4130.01 -0.004768905 0.004768905
10 4 11/04/2012 2100 4139.54 -0.14979757 0.0023075 -0.152105071
11 5 12/04/2012 2325 4159.28 0.107142857 0.004768646 0.102374211
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 29/03/2012 25000 3294200000 0.000007589 2 -4 30/03/2012 30000 3294200000 0.000009107 3 -3 2/04/2012 150000 3294200000 0.000045535 4 -2 3/04/2012 3294200000 0.000000000 5 -1 4/04/2012 395000 3294200000 0.000119908 6 5/04/2012 707500 3294200000 0.000214771 7 1 6/04/2012 3294200000 0.000000000
8 2 9/04/2012 612000 3294200000 0.000185781
9 3 10/04/2012 262000 3294200000 0.000079534
10 4 11/04/2012 454000 3294200000 0.000137818
11 5 12/04/2012 443000 3294200000 0.000134479 ASII
No. Keterangan Tanggal Harga Saham
0.001116947
0.000667296
7 1 06/06/2012
41969000 40483553140
0.001036693
8 2 07/06/2012
45218000 40483553140
9 3 08/06/2012
0.001090319 6 05/06/2012
14550500 40483553140
0.000359418
10 4 11/06/2012
43667500 40483553140
0.001078648
11 5 12/06/2012
17595000 40483553140
27014500 40483553140
44140000 40483553140
IHSG
Actual ReturnNo. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
Expected Return Abnormal Return
1 -5 29/05/2012 6520 3919.06 2 -4 30/05/2012 6660 3917.92 0.021472393 -0.000290886 0.021763279 3 -3 31/05/2012 6430 3832.82 -0.03453453 -0.021720709 -0.012813826 4 -2 1/06/2012 6335 3799.77 -0.01477449 -0.008622894 -0.006151601 5 -1 4/06/2012 6240 3654.58 -0.01499605 -0.038210207 0.023214154 6 5/06/2012 6600 3717.88 0.057692308 0.017320732 0.040371576 7 1 6/06/2012 6950 3841.33 0.053030303 0.033204407 0.019825896
8 2 7/06/2012 6800 3840.6 -0.02158273 -0.000190038 -0.021392695
9 3 8/06/2012 6650 3825.33 -0.02205882 -0.003975941 -0.018082882
10 4 11/06/2012 6600 3866.21 -0.0075188 0.01068666 -0.018205457
11 5 12/06/2012 6650 3852.58 0.007575758 -0.003525416 0.011101174
1 -5 29/05/2012
0.001126260 5 -1 04/06/2012
26780000 40483553140
0.000661503 2 -4 30/05/2012
35245000 40483553140
0.000870600 3 -3 31/05/2012
63410000 40483553140
0.001566315 4 -2 01/06/2012
45595000 40483553140
0.000434621 IMAS
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 31/05/2012 8025 3832.82 2 -4 01/06/2012 7975 3799.77 -0.00623053 -0.008622894 0.002392364 3 -3 04/06/2012 7525 3654.58 -0.05642633 -0.038210207 -0.018216125 4 -2 05/06/2012 7500 3717.88 -0.00332226 0.017320732 -0.020642991 5 -1 06/06/2012 8000 3841.33 0.066666667 0.033204407 0.03346226 6 07/06/2012 7750 3840.6 -0.03125 -0.000190038 -0.031059962 7 1 08/06/2012 7550 3825.33 -0.02580645 -0.003975941 -0.02183051
8 2 11/06/2012 7950 3866.21 0.052980132 0.01068666 0.042293473
9 3 12/06/2012 7800 3852.58 -0.01886792 -0.003525416 -0.015342508
10 4 13/06/2012 7800 3860.46 0.002045383 -0.002045383
11 5 14/06/2012 7400 3791.62 -0.05128205 -0.017832072 -0.033449979
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 31/05/2012 2823000 2765278412 0.001020874 2 -4 01/06/2012 2362000 2765278412 0.000854164
3 -3 04/06/2012 2512000 2765278412 0.000908408 4 -2 05/06/2012 2281000 2765278412 0.000824872 5 -1 06/06/2012 3278000 2765278412 0.001185414 6 07/06/2012 2113000 2765278412 0.000764118
7 1 08/06/2012 1362500 2765278412 0.000492717
8 2 11/06/2012 3345000 2765278412 0.001209643
9 3 12/06/2012 3606500 2765278412 0.001304209
10 4 13/06/2012 3102500 2765278412 0.001121949
11 5 14/06/2012 2154500 2765278412 0.000779126 MDRN
Harga Actual Expected Abnormal No. Ket. Tanggal
IHSG Saham Return Return Return
1 -5 26/06/2012 615 3881.4 2 -4 27/06/2012 620 3934.87 0.008130081 0.013775957 -0.005645876 3 -3 28/06/2012 605 3887.57 -0.02419355 -0.012020727 -0.012172821 4 -2 29/06/2012 630 3955.58 0.041322314 0.017494219 0.023828095 5 -1 02/07/2012 610 3991.54 -0.03174603 0.009090955 -0.040836987 6 03/07/2012 640 4049.89 0.049180328 0.014618418 0.03456191 7 1 04/07/2012 660 4075.92 0.03125 0.006427335 0.024822665
8 2 05/07/2012 670 4069.84 0.015151515 -0.001491688 0.016643203
9 3 06/07/2012 690 4055.2 0.029850746 -0.003597193 0.033447939
10 4 09/07/2012 690 3985.04 -0.017301243 0.017301243
11 5 10/07/2012 700 4009.68 0.014492754 0.006183125 0.008309629
Volume Volume Trading Volume No. Ket. Tanggal diperdagangkan beredar Activity
0.000000063 1 -5 26/06/2012 27500 440000000000 0.000001625 2 -4 27/06/2012 715000 440000000000 0.000003744 3 -3 28/06/2012 1647500 440000000000
4 -2 29/06/2012 1700000 440000000000 0.000003864 0.000004778 5 -1 02/07/2012 2102500 440000000000 0.000002922 6 03/07/2012 1285500 440000000000 0.000002125
7 1 04/07/2012 935000 440000000000 0.000000470
8 2 05/07/2012 207000 440000000000
9 3 06/07/2012 13794000 440000000000 0.000031350 0.000003557
10 4 09/07/2012 1565000 440000000000 0.000005541
11 5 10/07/2012 2438000 440000000000 BFIN
Harga Actual Expected Abnormal No. Ket. Tanggal
IHSG Saham Return Return Return
1 -5 02/08/2012 2275 4093.11 2 -4 03/08/2012 2275 4099.81 0.001636897 -0.001636897 3 -3 06/08/2012 2262.5 4105.5 -0.00549451 0.001387869 -0.006882375 4 -2 07/08/2012 2250 4085.58 -0.00552486 -0.004852028 -0.000672834 5 -1 08/08/2012 2250 4090.71 0.001255636 -0.001255636 6 09/08/2012 2350 4131.17 0.044444444 0.009890704 0.034553741 7 1 10/08/2012 2325 4141.56 -0.0106383 0.002515026 -0.013153324
8 2 13/08/2012 2300 4102.53 -0.01075269 -0.009423985 -0.001328703
9 3 14/08/2012 2250 4121.56 -0.02173913 0.004638601 -0.026377731
10 4 15/08/2012 2250 4141.99 0.004956861 -0.004956861
11 5 16/08/2012 2250 4160.51 0.004471281 -0.004471281
Volume Volume Trading Volume No. Ket. Tanggal diperdagangkan beredar Activity
1 -5 02/08/2012 13000 760339281 0.000017098 2 -4 03/08/2012 13000 760339281 0.000017098 3 -3 06/08/2012 14000 760339281 0.000018413 4 -2 07/08/2012 12500 760339281 0.000016440 5 -1 08/08/2012 12500 760339281 0.000016440 6 09/08/2012 2500 760339281 0.000003288 7 1 10/08/2012 1000 760339281 0.000001315
8 2 13/08/2012 12500 760339281 0.000016440
9 3 14/08/2012 1000 760339281 0.000001315
10 4 15/08/2012 1000 760339281 0.000001315
11 5 16/08/2012 9500 760339281 0.000012494 TOTO
No. Ket. Tanggal Harga Saham
IHSG Actual Return
Expected Return Abnormal Return
1 -5 02/08/2012 6500 4093.11 2 -4 03/08/2012 6500 4099.81 0.001636897 -0.001636897 3 -3 06/08/2012 6600 4105.5 0.015384615 0.001387869 0.013996746 4 -2 07/08/2012 6600 4085.58 -0.004852028 0.004852028 5 -1 08/08/2012 6800 4090.71 0.03030303 0.001255636 0.029047395 6 09/08/2012 8150 4131.17 0.198529412 0.009890704 0.188638708 7 1 10/08/2012 7350 4141.56 -0.09815951 0.002515026 -0.100674535
8 2 13/08/2012 6850 4102.53 -0.06802721 -0.009423985 -0.058603226
9 3 14/08/2012 6800 4121.56 -0.00729927 0.004638601 -0.011937871
10 4 15/08/2012 7700 4141.99 0.132352941 0.004956861 0.12739608
11 5 16/08/2012 7700 4160.51 0.004471281 -0.004471281
No. Ket. Tanggal Volume diperdagangkan Volume beredar Trading Volume Activity
1 -5 02/08/2012 55000 49536000 0.001110304 2 -4 03/08/2012 55000 49536000 0.001110304 3 -3 06/08/2012 20000 49536000 0.000403747 4 -2 07/08/2012 20000 49536000 0.000403747 5 -1 08/08/2012 20000 49536000 0.000403747 6 09/08/2012 34500 49536000 0.000696463 7 1 10/08/2012 37500 49536000 0.000757025
8 2 13/08/2012 13000 49536000 0.000262435
9 3 14/08/2012 1500 49536000 0.000030281
10 4 15/08/2012 133500 49536000 0.002695010
11 5 16/08/2012 1500 49536000 0.000030281
Lampiran 3
Hasil Stastistik Deskripsi Likuiditas Saham Paired Samples Statistics Mean N Std. Deviation Std. Error Mean Pair 1 sebelum .002494137500 20 .004274523508 .000955812513
000 801 710 sesudah .002156105950 20 .003154377821 .000705340323 000 381 532
Sumber: Hasil Penelitian, 2013 (Data Diolah) Hasil Stastistik Deskripsi Return Saham Paired Samples Statistics Mean N Std. Deviation Std. Error Mean Pair 1 sebelum .0081471085500
20 .0242403699578 .00542031150255
00
61
2 sesudah .0001109392000 20 .0248618275117 .00555927363611
00
42
3 Sumber: Hasil Penelitian, 2013 (Data Diolah)
Hasil Uji Normalitas Likuiditas Saham One-Sample Kolmogorov-Smirnov Test sebelum Sesudah N
20
20 Normal Parameters a,b Mean .002494137500 000 .002156105950 000
Std. Deviation .004274523508 801 .003154377821 381
Most Extreme Differences Absolute .280 .271 Positive .278 .271 Negative -.280 -.247 Kolmogorov-Smirnov Z 1.251 1.212
Asymp. Sig. (2-tailed) .087 .106 a. Test distribution is Normal.
b. Calculated from data.
Sumber: Hasil Penelitian, 2013 (Data Diolah) Hasil Uji Normalitas Return Saham One-Sample Kolmogorov-Smirnov Test sebelum Sesudah N
20
20 Normal Parameters a,b Mean .008147108550 000 .000110939200 000
Std. Deviation .024240369957 861 .024861827511 742
Most Extreme Differences Absolute .299 .219 Positive .299 .219 Negative -.203 -.210 Kolmogorov-Smirnov Z 1.339 .978
Asymp. Sig. (2-tailed) .055 .294 a. Test distribution is Normal.
b. Calculated from data.
Sumber: Hasil Penelitian, 2013 (Data Diolah)
Uji Hipotesis Likuiditas Saham Sumber: Hasil Penelitian, 2013 (Data Diolah) Sumber: Hasil Penelitian, 2013 (Data Diolah) Paired Samples Correlations N Correlation Sig.
Pair 1 sebelum & sesudah 20 .724 .000
Paired Samples Test
Paired Differences t Df Sig. (2- Mean tailed)
Std. Deviation Std. Error
Mean 95% Confidence Interval of the Difference
Lower Upper Pair 1 sebelum - sesudah .0003380
- .00104323 9179344 .00171930 2279344 .512
31550000 .0029513 42331341 .00065994
0207775
19 .614
Uji Hipotesis Return Saham Paired Samples Correlations N Correlation Sig.
Pair 1 sebelum & sesudah 20 .698 .001 Sumber: Hasil Penelitian, 2013 (Data Diolah)
Paired Samples Test
Paired Differences 95% ConfidenceInterval of the Difference Std. Std. Error Sig. (2- Mean Deviation Mean Lower Upper t df tailed)
Pair sebelum - .00803616 - .01908024 .00426647 .01696599 1.884 19 .075 1 sesudah 9350000 0393414 1454671 .00089365 6732073 8032073
Sumber: Hasil Penelitian, 2013 (Data Diolah)
Average Abnormal Return dan Average Trading Volume ActivitySebelum dan
10 SSIA 0.005023325 0.011037141
19 BFIN 0.000017098 0.000006576
18 MDRN 0.000002815 0.000008608
17 IMAS 0.000958746 0.000981529
16 ASII 0.001062999 0.000805265
15 HERO 0.000036428 0.000107522
14 PTRO 0.001653769 0.004593969
13 POOL 0.000000299 0.000000150
12 JTPE 0.007183219 0.004796630
11 MTFN 0.000163544 0.000199596
9 AUTO 0.000101665 0.000104051
Sesudah Stock Split
8 INTA 0.018408779 0.008678447
7 BTPN 0.000391534 0.000213486
6 LSIP 0.004279361 0.002598923
5 CPIN 0.004707250 0.001345434
4 DVLA 0.000229285 0.000023750
3 TURI 0.002691183 0.005233710
2 CTRA 0.001011881 0.001591626
1 KKGI 0.001273200 0.000040700
Average Trading Volume Activity No. Kode Sebelum Sesudah
20 TOTO 0.000686370 0.000755006
Average Abnormal Return No. Kode Sebelum Sesudah
1 KKGI 0.001660677 0.019591131
2 CTRA 0.023949672 -0.017509295
3 TURI -0.000459696 -0.018922760
4 DVLA 0.026931937 -0.017279305
5 CPIN -0.005035139 0.004119988
6 LSIP -0.001059175 0.012303881
7 BTPN 0.005713581 -0.005219967
8 INTA -0.000396197 -0.013096320
9 AUTO 0.006216125 -0.011819618
10 SSIA -0.004089509 0.006316512
11 MTFN 0.007104360 0.002021516
12 JTPE -0.011965258 -0.015419390
13 POOL -0.001409609 -0.004197809
14 PTRO 0.008186231 -0.019979156
15 HERO 0.101152336 0.092345961
16 ASII 0.002674176 -0.005350793
17 IMAS -0.006876226 -0.006074981
18 MDRN -0.009812871 0.020104936
19 BFIN -0.000281033 -0.010057580
20 TOTO 0.020737789 -0.009658167