Analisis Fakor-Faktor Risiko Keuangan Yang Mempengaruhi Return Saham Dengan Earning Pershare Sebagai Variabel Moderating (Studi Empiris Pada Perusahaan Perbankan Yang Terdaftar Di Bursa Efek Indonesia).
Lampiran 1 Nama Populasi Penelitian
9 BNGA Bank CIMB Niaga. Tbk 29/11/1989
16 BBCA Bank Central Asia. Tbk 31/05/2000
15 BDMN Bank Danamon. Tbk 08/12/1989
14 BNII Bank Internasional Indonesia. Tbk 02/10/1989
13 BMRI Bank Mandiri. Tbk 14/07/2003
12 MAYA Bank Mayapada. Tbk 07/08/1997
11 MEGA Bank Mega. Tbk 17/04/2000
10 BBNI Bank Negara Indonesia. Tbk 20/11/1996
8 BBNP Bank Nusantara Parahyangan. Tbk 14/12/2000
NO Saham Perusahaan Tanggal Listing
7 NISP Bank NISP. Tbk 20/10/1994
6 PNBN Bank Pan Indonesia. Tbk 29/12/1982
5 BNLI Bank Permata. Tbk 15/01/1990
4 BBRI Bank Rakyat Indonesia. Tbk 10/11/2003
3 BSWD Bank Swadesi. Tbk 01/05/2002
2 BVIC Bank Victoria. Tbk 30/06/1999
1 BKSW Bank Kesawan. Tbk 21/11/2002
17 INPC Bank Artha Graha. Tbk 23/08/1990
62
24 MCOR Bank Windu Kentjana 03/07/2007 International. Tbk
25 BAEK Bank Ekonomi Raharja. Tbk 08/01/2008
26 BTPN Bank Tabungan Pensiun Nasional. 12/03/2008 Tbk
27 BBTN Bank Tabungan Negara. Tbk 17/12/2009
28 BACA Bank Central Indonesia. Tbk 04/10/2007
29 AGRO Bank Central Indonesia. Tbk 23/11/2009
30 BSIM Bank Sinar Mas. Tbk 12/06/2008 Lampiran 2 Nama Sampel Penelitian
NO Saham Perusahaan Tanggal Listing
9 BNGA Bank CIMB Niaga. Tbk 29/11/1989
15 BDMN Bank Danamon. Tbk 08/12/1989
14 BNII Bank Internasional Indonesia. Tbk 02/10/1989
13 BMRI Bank Mandiri. Tbk 14/07/2003
12 MAYA Bank Mayapada. Tbk 07/08/1997
11 MEGA Bank Mega. Tbk 17/04/2000
10 BBNI Bank Negara Indonesia. Tbk 20/11/1996
8 BBNP Bank Nusantara Parahyangan. Tbk 14/12/2000
1 BKSW Bank Kesawan. Tbk 21/11/2002
7 NISP Bank NISP. Tbk 20/10/1994
6 PNBN Bank Pan Indonesia. Tbk 29/12/1982
5 BNLI Bank Permata. Tbk 15/01/1990
4 BBRI Bank Rakyat Indonesia. Tbk 10/11/2003
3 BSWD Bank Swadesi. Tbk 01/05/2002
2 BVIC Bank Victoria. Tbk 30/06/1999
16 BBCA Bank Central Asia. Tbk 31/05/2000
Lampiran 3 Data Risiko Kredit Tahun 2006 s/d 2010 NO KD Nama Bank 2006 2007 2008 2009 2010
10 BBNI Bank Negara Indonesia. Tbk 0.054090 0.069066 0.057872 0.061321 0.050467
16 BBCA Bank Central Asia. Tbk 0.026744 0.024926 0.000025 0.020466 0.024449
15 BDMN Bank Danamon. Tbk 0.054759 0.024950 0.034337 0.028803 0.024200
14 BNII Bank Internasional Indonesia. Tbk 0.031348 0.023581 0.030869 0.021020 0.026097
13 BMRI Bank Mandiri. Tbk 0.091477 0.110819 0.122189 0.103928 0.067968
12 MAYA Bank Mayapada. Tbk 0.044553 0.018823 0.016983 0.030272 0.020667
11 MEGA Bank Mega. Tbk 0.015004 0.013253 0.014516 0.014010 0.013396
9 BNGA Bank CIMB Niaga. Tbk 0.033365 0.001306 0.004603 0.023209 0.021872
1 BKSW Bank Kesawan. Tbk 0.022735 0.024320 0.000105 0.001433 0.011159
8 BBNP Bank Nusantara Parahyangan. Tbk 0.035674 0.020172 0.018293 0.018123 0.013476
7 NISP Bank NISP. Tbk 0.015657 0.015426 0.014273 0.013414 0.019626
6 PNBN Bank Pan Indonesia. Tbk 0.085828 0.077074 0.065565 0.023532 0.034061
5 BNLI Bank Permata. Tbk 0.072634 0.042143 0.042805 0.046054 0.039683
4 BBRI Bank Rakyat Indonesia. Tbk 0.082505 0.072007 0.074949 0.061282 0.049286
3 BSWD Bank Swadesi. Tbk 0.052264 0.041137 0.038152 0.026150 0.017637
2 BVIC Bank Victoria Internasional. Tbk 0.060821 0.074888 0.048968 0.033926 0.033881
17 INPC Bank Artha Graha. Tbk 0.445694 0.023663 0.027323 0.024363 0.018347
Lampiran 4 Data Risiko Tingkat Suku Bunga Tahun 2006 s/d 2010 NO KD Nama Bank 2006 2007 2008 2009 2010
10 BBNI Bank Negara Indonesia. Tbk 1.814735 1.841281 2.046239 1.649031 1.456898
16 BBCA Bank Central Asia. Tbk 3.261323 2.393365 2.197496 2.296096 1.857784
15 BDMN Bank Danamon. Tbk 1.373001 1.087989 1.316674 1.125970 1.138283
14 BNII Bank Internasional Indonesia. Tbk 2.243017 1.767112 1.710448 1.324845 1.267153
13 BMRI Bank Mandiri. Tbk 1.862644 1.933487 1.746877 1.971139 1.656821
12 MAYA Bank Mayapada. Tbk 1.335488 1.208505 1.191976 0.981397 1.567066
11 MEGA Bank Mega. Tbk 2.046072 1.951277 0.299554 2.169349 1.567066
9 BNGA Bank CIMB Niaga. Tbk 1.172650 1.172902 1.180806 1.266820 1.138371
1 BKSW Bank Kesawan. Tbk 1.917736 1.680464 1.438772 0.149204 1.346297
8 BBNP Bank Nusantara Parahyangan. Tbk 1.840720 1.756520 3.609674 2.024644 1.512319
7 NISP Bank NISP. Tbk 1.291342 1.435895 1.217577 1.121678 1.303466
6 PNBN Bank Pan Indonesia. Tbk 1.367392 1.808628 1.243468 1.081058 1.260553
5 BNLI Bank Permata. Tbk 1.740395 1.272001 1.201681 1.189113 1.275923
4 BBRI Bank Rakyat Indonesia. Tbk 1.328101 1.295726 1.394867 1.467580 1.258754
3 BSWD Bank Swadesi. Tbk 1.847966 2.116034 1.726897 1.608739 1.245657
2 BVIC Bank Victoria. Tbk 1.827529 2.405330 1.908211 1.835587 1.928150
17 INPC Bank Artha Graha. Tbk 0.174967 1.172231 1.256637 1.215567 1.068803
Lampiran 5 Data Risiko Likuiditas Tahun 2006 s/d 2010 NO KD Nama Bank 2006 2007 2008 2009 2010
10 BBNI Bank Negara Indonesia. Tbk 1.224052 1.208660 1.184931 1.203651 1.186162
16 BBCA Bank Central Asia. Tbk 1.113028 1.110931 1.215520 1.122179 1.140154
15 BDMN Bank Danamon. Tbk 1.381168 1.448489 1.434866 1.451891 1.344824
14 BNII Bank Internasional Indonesia. Tbk 1.172775 1.312673 1.375645 1.430458 1.247485
13 BMRI Bank Mandiri. Tbk 1.323034 1.221035 1.237432 1.234246 1.184029
12 MAYA Bank Mayapada. Tbk 1.068976 1.094838 1.134816 1.344514 1.283380
11 MEGA Bank Mega. Tbk 1.162070 1.098479 9.083732 1.123041 1.112216
9 BNGA Bank Niaga. Tbk 1.186793 1.050166 1.149701 1.214455 1.201501
1 BKSW Bank Kesawan. Tbk 0.991560 0.995148 1.008218 1.058304 1.024075
8 BBNP Bank Nusantara Parahyangan. Tbk 1.101004 1.083819 0.566489 1.105629 1.103021
7 NISP Bank NISP. Tbk 1.338785 1.066157 1.215972 1.279304 1.201952
6 PNBN Bank Pan Indonesia. Tbk 1.447170 1.264380 1.567987 1.597695 1.333701
5 BNLI Bank Permata. Tbk 0.040583 1.123574 1.208858 1.197602 1.164276
4 BBRI Bank Rakyat Indonesia. Tbk 1.248218 1.213078 1.203023 1.196299 1.174291
3 BSWD Bank Swadesi. Tbk 1.135962 1.108892 1.350088 1.146805 1.274325
2 BVIC Bank Victoria. Tbk 1.145453 1.100734 1.300944 1.430197 1.330498
17 INPC Bank Artha Graha. Tbk 13.286494 1.212862 1.227378 1.147027 1.138775
Lampiran 6 Data Risiko Solvensi Tahun 2006 s/d 2010 NO KD Nama Bank 2006 2007 2008 2009 2010
10 BBNI Bank Nasional Indonesia. Tbk 0.050853 0.047643 0.041568 0.042485 0.038610
16 BBCA Bank Central Asia. Tbk 0.010310 0.010254 0.132625 0.007068 0.006275
15 BDMN Bank Danamon. Tbk 0.060571 0.052641 0.043640 0.040547 0.033858
14 BNII Bank Indonesia Indonesia. Tbk 0.089148 0.064014 0.060763 0.058820 0.057457
13 BMRI Bank Mandiri. Tbk 0.040565 0.038453 0.076794 0.032514 0.029162
12 MAYA Bank Mayapada. Tbk 0.111150 0.090041 0.076794 0.092283 0.074910
11 MEGA Bank Mega. Tbk 0.025135 0.032367 0.026240 0.023282 0.023313
9 BNGA Bank CIMB Niaga. Tbk 0.031134 0.022843 0.020601 0.010361 0.015043
1 BKSW Bank Kesawan. Tbk 0.065360 0.081284 0.061061 0.057361 0.057949
8 BBNP Bank Nusantara Parahyangan. Tbk 0.034071 0.055737 0.047225 0.041951 0.042837
7 NISP Bank NISP. Tbk 0.028906 0.030688 0.025489 0.025090 0.021224
6 PNBN Bank Pan Indonesia. Tbk 0.067114 0.054394 0.049567 0.037799 0.031581
5 BNLI Bank Permata. Tbk 0.040953 0.037391 0.034368 0.033094 0.024057
4 BBRI Bank Rakyat Indonesia. Tbk 0.055353 0.050036 0.039704 0.030230 0.025044
3 BSWD Bank Swadesi. Tbk 0.074813 0.068059 0.063756 0.053094 0.127658
2 BVIC Bank Victoria. Tbk 0.064571 0.061297 0.069411 0.044316 0.062265
17 INPC Bank Artha Graha. Tbk 0.755373 0.051509 0.050592 0.057786 0.074019
Lampiran 7 Data Earning pershare Tahun 2006 s/d 2010 NO KD Nama Bank 2006 2007 2008 2009 2010
10 BBNI Bank Nasional Indonesia. Tbk 1.697320 -0.890429 -0.376027 -0.380235 0.238787
16 BBCA Bank BCA. Tbk 1.995644 0.997068 1.600581 0.611567 3.191991
15 BDMN Bank Danamon. Tbk 1.142203 -0.526414 -0.881341 1.029192 -0.763061
14 BNII Bank Internasional Indonesia. Tbk 1.706664 -0.321237 -0.396211 -0.843560 0.425057
13 BMRI Bank Mandiri. Tbk 0.227388 -1.579987 0.617436 0.981974 -0.328273
12 MAYA Bank Mayapada. Tbk 1.656114 -0.930173 1.095645 0.261342 0.010861
11 MEGA Bank Mega. Tbk 0.335863 -0.875981 0.265702 1.861899 -0.118656
9 BNGA Bank CIMB Niaga. Tbk 0.348840 -0.204875 1.098117 0.639352 -1.500254
1 BKSW Bank Kesawan. Tbk -0.000208 0.000186 0.000668 1.815262 1.836549
8 BBNP Bank Nusantara Parahyangan. Tbk 1.836640 0.073466 0.558179 0.398917 -0.943722
7 NISP Bank NISP. Tbk 1.525563 -1.159993 0.432426 0.175983 0.901399
6 PNBN Bank Pan Indonesia. Tbk 1.405738 -1.160719 0.457095 0.625988 -0.471716
5 BNLI Bank Permata. Tbk 0.337168 -1.709713 0.085895 0.978505 -0.243202
4 BBRI Bank Rakyat Indonesia. Tbk 2.737156 0.212522 0.544136 0.703436 1.357800
3 BSWD Bank Swadesi. Tbk 0.239887 0.077920 -0.655947 0.040463 2.025174
2 BVIC Bank Victoria. Tbk 1.128967 -0.239848 0.703433 1.383756 -1.014086
17 INPC Bank Artha Graha. Tbk 0.752654 -0.574438 0.080340 -0.153324 1.987283
Lampiran 8 Data Return Saham Tahun 2006 s/d 2010 NO KD Nama Bank 2006 2007 2008 2009 2010
10 BBNI Bank BNI. Tbk -0.059695 -3.200730 0.163689 -0.322762 -0.161753
16 BBCA Bank Central Asia. Tbk -0.881077 -1.329196 -0.488986 0.317217 0.566077
15 BDMN Bank Danamon. Tbk 0.168025 -2.391138 -0.330268 -0.192840 -0.044858
14 BNII Bank Indonesia Indonesia. Tbk 0.171324 -3.102694 -0.027968 -0.239367 5.075316
13 BMRI Bank Mandiri. Tbk 0.371062 -3.075462 0.147892 -0.191745 0.260459
12 MAYA Bank Mayapada. Tbk 0.223584 -3.362512 1.354013 0.259947 1.253422
11 MEGA Bank Mega. Tbk -0.221500 -1.467004 -0.899871 0.593716 1.031892
9 BNGA Bank Niaga. Tbk 7.386828 -3.069485 0.441074 -0.427306 0.237921
1 BKSW Bank Kesawan. Tbk -0.829934 -1.977725 -0.281971 -0.331473 0.947546
8 BBNP Bank Nusantara Parahyangan. Tbk -0.421006 -2.976973 -0.444687 0.620822 0.612298
7 NISP Bank NISP. Tbk 0.410360 -2.958445 -0.325711 -0.376535 0.336311
6 PNBN Bank Pan Indonesia. Tbk 0.127278 -2.816838 -0.104179 -0.249506 0.605429
5 BNLI Bank Permata. Tbk 23.807754 -2.936495 -0.257757 -0.413949 0.135967
4 BBRI Bank Rakyat Indonesia. Tbk 0.516278 -2.858773 0.143889 -0.036883 0.308516
3 BSWD Bank Swadesi. Tbk -0.725123 -1.698057 -0.392691 0.245264 1.255520
2 BVIC Bank Victoria. Tbk 0.164620 -2.820430 -0.397872 0.377927 0.257152
17 INPC Bank Artha Graha. Tbk 0.196169 -4.007134 -0.519168 2.865683 -0.028713
70 Lampiran 9 Descriptive Statistics
N Minimum Maximum Mean Std. Deviation
Risiko Kredit 79 ,000025 ,445694 ,04224786 ,052750711 Tingkat Suku Bunga 79 ,149204 3,609674 1,56837909 ,537003596 Risiko Likuiditas 79 ,566489 13,286494 1,46095684 1,619200363 Risiko Solvensi 79 ,006275 ,755373 ,05689535 ,083394188 Earning Pershare 79 -1,709713 3,191991 ,41706671 1,018652609 Return Saham 79 -3,200730 7,386828 -,23168570 1,442658007 Valid N (listwise)
79
Lampiran 10 Hasil Uji Asumsi Klasik
One-Sample Kolmogorov-Smirnov Test
Unstandardized Residual
N
79
a
Normal Parameters Mean ,0000000 Std. Deviation ,39698611
Most Extreme Absolute ,085 Differences
Positive ,085 Negative -,057
Kolmogorov-Smirnov Z 1,237 Asymp. Sig. (2-tailed)
,094 a. Test distribution is Normal.
72 Lampiran 11 Uji Multikolinearitas Data
Coefficients
aModel Unstandardized
Coefficients Standardiz ed
Coefficien ts t Sig.
Collinearity Statistics
B Std. Error Beta Toleran ce
VIF 1 (Constant) ,352 ,353 ,997 ,322 R. Kredit -2,320 3,951 -,119 -,587 ,559 ,300 3,336 R. Interest ,005 ,191 ,004 ,029 ,977 ,812 1,231
R.Liquidity -,043 ,121 -,068 -,356 ,723 ,340 2,938 RSolvency 2,816 2,827 ,226 ,996 ,322 ,239 4,189
a. Dependent Variable: Return Saham
Lampiran 12 Uji heteroskedastisitas Data
Coefficients
aModel Unstandardized Coefficients
Standardized Coefficients t Sig. B Std. Error Beta
1 (Constant) -,021 ,441 -,047 ,963 Kredit -2,645 3,961 -,136 -,668 ,506 Suku Bunga
,226 ,241 ,118 ,935 ,353 Likuiditas -,007 ,121 -,011 -,059 ,953 Solvensi 2,853 2,829 ,230 1,009 ,316
a. Dependent Variable: absut
74 Lampiran 13 Uji Autokorelasi data
b Model Summary
Mode Adjusted R Std. Error of Durbin- l R R Square Square the Estimate Watson
a
1 ,874 ,732 ,712 ,72650 2,654
a. Predictors: (Constant), Risiko Kredit, Risiko Tingkat Suku Bunga, Risiko Likuiditas, Risiko Solvensi
b. Dependent Variable: Return Saham
Lampiran 14 Hasil Uji t a Coefficients Model Unstandardized Standardized Collinearity Coefficients Coefficients Statistics Std. Toleranc B Error Beta t Sig. e
VIF 1 (Constant) -.040 .46 -.869 .388
R.Kredit ,163 ,086 ,148 1,732 ,466 ,277 3,606
R.Interest ,110 ,051 ,259 2,154 ,350 ,783 1,277
R.Liquidity -,063 ,078 -,153 -,799 ,427 ,330 3,032
RSolvensi -,071 ,095 -,168 -,746 ,458 ,223 4,486
a. Dependent Variable: Return Saham
Coefficients a Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 (Constant) ,162 ,073 2,202 ,331
R. Kredit ,032 ,136 ,051 ,234 ,815
76 Lampiran 15 Hasil Pengujian Hipotesis Kedua Model a
RSukuBunga -,084 ,081 -,135 -1,036 ,304
R. Likuiditas -,061 ,124 -,099 -,493 ,624
R. Solvensi M_R. Kredit M_R. Interest M_R.Liquidit y- ,024
- ,410
- ,028
- ,056 ,151 2,333 ,113 ,072 >,162
- ,176
- ,248
- ,785 ,872 ,861 ,805 ,435<>,035
- ,030
- ,149
Lampiran 16 model (b) b ANOVA Sum of Mean Model Squares df Square F Sig. a
1 Regression 1,537 1 1,537 ,186 ,638 Residual 13,292 77 ,173 Total 14,829
78
a. Predictors: (Constant), Earning Pershare
b. Dependent Variable: AbsRes_1
b Coefficients Unstandardized Standardized Coefficients Coefficients Model B Std. Error Beta t Sig.
1 (Constant) -,046 ,047 -,978 ,331