Lampiran 3 Hasil Uji Signifikansi AR Tiga Hari Sesudah Event Seluruh Sampel

  Lampiran 1 Daftar Event Observasi Penelitian Seluruh Sampel Tanggal Saham Large Declines (%) 07/01/2014 LSIP -6.7226 06/01/2014 INCO -7.4468 16/12/2013 LSIP -6.3829 12/12/2013 AALI -6.1631 26/11/2013 PGAS -6.3158 30/09/2013 KLBF -9.2308 20/09/2013 AALI -7.4879 BBNI -6.4865 11/09/2013 SMGR -6.7797 10/09/2013 LSIP -7.1895 02/09/2013 BBNI -6.5789 BDMN -7.2289

BMRI -6.9444

  INDF -8.5271 27/08/2013 ASII -7.8261 20/08/2013 GGRM -6.3131 UNTR -7.0968 19/08/2013 BBCA -8.2125 BBRI -7.1428

  BMRI -6.1349 GGRM -7.0196

INCO -7.4699

  INDF -7.2993 LSIP -9.0091 SMGR -10.8844 02/08/2013 BDMN -6.6667

  01/08/2013 BDMN -6.3158 17/07/2013 LSIP -6.0606 15/07/2013 PGAS -6.7227 12/07/2013 LSIP -6.6225 08/07/2013 BMRI -7.3619

  INDF -6.3829 KLBF -6.9931 UNTR -8.0459 03/07/2013 PTBA -6.0606

UNTR -8.8319

  

Lampiran 2

Daftar Event Observasi Industrial

Ekstraktif Manufaktur Jasa

tanggal Stock Price Declines Tanggal Stock Price Tanggal Stock Price Declines

  (%) Declines (%) (%)

07/01/2014 LSIP -6,722689076 30/09/2013 KLBF -9,230769231 26/11/2013 PGAS -6,315789474

06/01/2014 INCO -7,446808511 11/09/2013 SMG -6,779661017 20/09/2013 BBNI -6,486486486

R

16/12/2013 LSIP -6,382978723 02/09/2013 INDF -8,527131783 02/09/2013 BBNI -6,578947368

12/12/2013 AALI -6,163021869 27/08/2013 ASII -7,826086957 02/09/2013 BDMN -7,228915663

20/09/2013 AALI -7,487922705 20/08/2013 GGR -6,313131313 02/09/2013 BMRI -6,944444444

M

10/09/2013 LSIP -7,189542484 19/08/2013 GGR -7,019562716 20/08/2013 UNTR -7,096774194

M 19/08/2013 INCO -7,469879518

  INDF -7,299270073 19/08/2013 BBCA -8,212560386 LSIP -9,009009009 SMG -10,88435374 BBRI -7,142857143 R

17/07/2013 LSIP -6,060606061 08/07/2013 INDF -6,382978723 BMRI -6,134969325

  

12/07/2013 LSIP -6,622516556 KLBF -6,993006993 UNTR -7,096774194

03/07/2013 PTBA -6,060606061 02/08/2013 BDMN -6,666666667

• 6,315789474 15/07/2013 PGAS -6,722689076 08/07/2013 BMRI -7,36196319 UNTR -8,045977011 03/07/2013 UNTR -8,831908832

  

Lampiran 3

Hasil Uji Signifikansi AR Tiga Hari Sesudah Event

Seluruh Sampel

  Hypothesis Testing for AR_PLUS1 Date: 03/11/15 Time: 20:50 Sample: 1 37 Included observations: 37 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.281984 Sample Std. Dev. = 3.873218 Method Value Probability t-statistic 0.442846 0.6605

  Hypothesis Testing for AR_PLUS2 Date: 03/11/15 Time: 20:52 Sample: 1 37 Included observations: 37 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.688103 Sample Std. Dev. = 3.190690 Method Value Probability t-statistic 1.311807 0.1979 Hypothesis Testing for AR_PLUS3 Date: 03/11/15 Time: 20:53 Sample: 1 37 Included observations: 37 Test of Hypothesis: Mean = 0.000000 Sample Mean = 1.076702 Sample Std. Dev. = 4.904517 Method Value Probability t-statistic 1.335366 0.1901

  Lampiran 4 Hasil Uji Signifikansi AR Tiga Hari Sesudah Event

Subsampel Ekstraktif

  Hypothesis Testing for AR_PLUS1 Date: 03/11/15 Time: 21:00 Sample: 1 11 Included observations: 11 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.473517 Sample Std. Dev. = 2.755100 Method Value Probability t-statistic 0.570026 0.5812 Hypothesis Testing for AR_PLUS2 Date: 03/11/15 Time: 21:01 Sample: 1 11 Included observations: 11 Test of Hypothesis: Mean = 0.000000 Sample Mean = -0.242631 Sample Std. Dev. = 3.415639 Method Value Probability t-statistic -0.235597 0.8185 Hypothesis Testing for AR_PLUS3 Date: 03/11/15 Time: 21:03 Sample: 1 11 Included observations: 11 Test of Hypothesis: Mean = 0.000000 Sample Mean = 1.947574 Sample Std. Dev. = 7.410153 Method Value Probability t-statistic 0.871692 0.4038

  Lampiran 5 Hasil Uji Signifikansi AR Tiga Hari Sesudah Event

Subsampel Manufaktur

  Hypothesis Testing for AR_PLUS1 Date: 03/11/15 Time: 21:07 Sample: 1 10 Included observations: 10 Test of Hypothesis: Mean = 0.000000 Sample Mean = -0.520904 Sample Std. Dev. = 4.683014 Method Value Probability t-statistic -0.351748 0.7331 Hypothesis Testing for AR_PLUS2 Date: 03/11/15 Time: 21:08 Sample: 1 10 Included observations: 10 Test of Hypothesis: Mean = 0.000000 Sample Mean = 2.220761 Sample Std. Dev. = 3.156584 Method Value Probability t-statistic 2.224767 0.0531 Hypothesis Testing for AR_PLUS3 Date: 03/11/15 Time: 21:08 Sample: 1 10 Included observations: 10 Test of Hypothesis: Mean = 0.000000 Sample Mean = 1.220732 Sample Std. Dev. = 2.942011 Method Value Probability t-statistic 1.312127 0.2220

  Lampiran 6 Hasil Uji Signifikansi AR Tiga Hari Sesudah Event

Subsampel Jasa

  Hypothesis Testing for AR_PLUS1 Date: 03/11/15 Time: 21:12 Sample: 1 16 Included observations: 16 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.561660 Sample Std. Dev. = 4.149114 Method Value Probability t-statistic 0.541474 0.5961 Hypothesis Testing for AR_PLUS2 Date: 03/11/15 Time: 21:13 Sample: 1 16 Included observations: 16 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.370071 Sample Std. Dev. = 2.892729 Method Value Probability t-statistic 0.511726 0.6163 Hypothesis Testing for AR_PLUS3 Date: 03/11/15 Time: 21:13 Sample: 1 16 Included observations: 16 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.387960 Sample Std. Dev. = 3.854106 Method Value Probability t-statistic 0.402646 0.6929

  

Lampiran 7

Hasil Uji Signifikansi CAR Tiga Hari Sesudah Event

a. Seluruh Sampel

  Hypothesis Testing for CAR1_3 Date: 03/11/15 Time: 21:18 Sample: 1 3 Included observations: 3 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.682263 Sample Std. Dev. = 0.397391 Method Value Probability t-statistic 2.973680 0.0969

  b. Subsampel Ekstrakif

  Hypothesis Testing for CAR1_3 Date: 03/11/15 Time: 21:20 Sample: 1 3 Included observations: 3 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.726153 Sample Std. Dev. = 1.116744 Method Value Probability t-statistic 1.126251 0.3770

  c. Subsampel Manufaktur

  Hypothesis Testing for CAR1_3 Date: 03/11/15 Time: 21:21 Sample: 1 3 Included observations: 3 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.973530 Sample Std. Dev. = 1.387448 Method Value Probability t-statistic 1.215327 0.3482

  

Lanjutan Lampiran 7

Hasil Uji Signifikansi CAR Tiga Hari Sesudah Event

d. Subsampel Jasa

  Hypothesis Testing for CAR1_3 Date: 03/11/15 Time: 21:23 Sample: 1 3 Included observations: 3 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.439897 Sample Std. Dev. = 0.105828 Method Value Probability t-statistic 7.199624 0.0188

  

Lampiran 8

Hasil Uji Signifikansi CAR T+4 Hingga T+20

a. Seluruh Sampel

  Hypothesis Testing for CAR_4_20 Date: 03/11/15 Time: 21:26 Sample: 1 17 Included observations: 17 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.359487 Sample Std. Dev. = 0.609085 Method Value Probability t-statistic 2.433491 0.0271

  b. Subsampel Ekstraktif

  Hypothesis Testing for CAR4_20 Date: 03/11/15 Time: 21:28 Sample: 1 17 Included observations: 17 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.203892 Sample Std. Dev. = 1.179885 Method Value Probability t-statistic 0.712500 0.4864

  c. Subsampel Manufaktur

  Hypothesis Testing for CAR4_20 Date: 03/11/15 Time: 21:29 Sample: 1 17 Included observations: 17 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.300409 Sample Std. Dev. = 1.180252 Method Value Probability t-statistic 1.049452 0.3096

  

Lanjutan Lampiran 8

Hasil Uji Signifikansi CAR T+4 Hingga T+20

d. Subsampel Jasa

  Hypothesis Testing for CAR4_20 Date: 03/11/15 Time: 21:30 Sample: 1 17 Included observations: 17 Test of Hypothesis: Mean = 0.000000 Sample Mean = 0.516721 Sample Std. Dev. = 0.831898 Method Value Probability t-statistic 2.561006 0.0209

  

Lampiran 9

Hasil Regresi untuk Menentukan Perbedaan Tingkat Pembalikan

Antar Industri

  Dependent Variable: CAR1-3 Method: Least Squares Date: 03/10/15 Time: 11:43 Sample: 1 37 Included observations: 37 Variable Coefficient Std. Error t-Statistic Prob.

  C 0.414762 1.705042 0.243256 0.8093 AR0 -0.003317 0.211174 -0.015708 0.9876

  D1 0.533145 0.950038 0.561183 0.5785 D2 0.289283 0.942484 0.306936 0.7608 R-squared 0.009759 Mean dependent var 0.669225 Adjusted R-squared -0.080263 S.D. dependent var 2.266298 S.E. of regression 2.355492 Akaike info criterion 4.653182 Sum squared resid 183.0954 Schwarz criterion 4.827336 Log likelihood -82.08388 Hannan-Quinn criter. 4.714580 F-statistic 0.108410 Durbin-Watson stat 1.638484 Prob(F-statistic) 0.954587

  Heteroskedasticity Test: ARCH F-statistic 0.041113 Prob. F(1,34) 0.8405 Obs*R-squared 0.043479 Prob. Chi-Square(1) 0.8348 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 03/10/15 Time: 12:05 Sample (adjusted): 2 37 Included observations: 36 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  C 4.699589 1.491107 3.151745 0.0034 RESID^2(-1) 0.034923 0.172236 0.202763 0.8405

  R-squared 0.001208 Mean dependent var 4.877112 Adjusted R-squared -0.028168 S.D. dependent var 7.142156 S.E. of regression 7.242049 Akaike info criterion 6.851638 Sum squared resid 1783.207 Schwarz criterion 6.939611 Log likelihood -121.3295 Hannan-Quinn criter. 6.882343 F-statistic 0.041113 Durbin-Watson stat 1.982202 Prob(F-statistic) 0.840528

  Dependent Variable: CAR4_20 Method: Least Squares Date: 03/10/15 Time: 12:00 Sample: 1 37 Included observations: 37 Variable Coefficient Std. Error t-Statistic Prob.

  C 0.567726 0.101805 5.576628 0.0000 AR0 -0.115949 0.029843 -3.885276 0.0005

  D1 -0.154437 0.163562 -0.944216 0.3519 D2 -0.279638 0.158396 -1.765433 0.0867

  R-squared 0.369756 Mean dependent var 0.365255 Adjusted R-squared 0.312461 S.D. dependent var 0.487010 S.E. of regression 0.403818 Akaike info criterion 1.126103 Sum squared resid 5.381289 Schwarz criterion 1.300257 Log likelihood -16.83291 Hannan-Quinn criter. 1.187500 F-statistic 6.453554 Durbin-Watson stat 1.910747 Prob(F-statistic) 0.001467 Heteroskedasticity Test: ARCH F-statistic 2.489379 Prob. F(1,34) 0.1239 Obs*R-squared 2.455993 Prob. Chi-Square(1) 0.1171 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 03/10/15 Time: 12:02 Sample (adjusted): 2 37 Included observations: 36 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  C 0.181474 0.042171 4.303264 0.0001 RESID^2(-1) -0.260782 0.165284 -1.577777 0.1239

  R-squared 0.068222 Mean dependent var 0.143309 Adjusted R-squared 0.040817 S.D. dependent var 0.211629 S.E. of regression 0.207265 Akaike info criterion -0.255688 Sum squared resid 1.460594 Schwarz criterion -0.167714 Log likelihood 6.602379 Hannan-Quinn criter. -0.224983 F-statistic 2.489379 Durbin-Watson stat 1.910763 Prob(F-statistic) 0.123877