Pengaruh Faktor-Faktor Fundamental dan Makroekonomi Terhadap Risiko Sistematis (Beta) Saham Pada Perusahaan Indeks Kompas 100 di Bursa Efek Indonesia (Bei) Periode 2011 – 2014

Lampiran 1
Sampel Perusahaan Sub Sektor Telekomunikasi
Tabel 3.3
Daftar Perusahaan Sampel
No

Kode
Emiten

Nama Perusahaan

Keterangan

1

AKRA

AKR Corporindo Tbk

Sampel 1

2

AALI

Astra Agro Lestari Tbk

Sampel 2

3

ANTM

Aneka Tambang (Persero) Tbk

Sampel 3

4

ASII

Astra Internasional Tbk

Sampel 4

5

ASRI

Alam Sutera Realty Tbk

Sampel 5

6

BBCA

Bank Central Asia Tbk

Sampel 6

7

BBKP

Bank Bukopin

Sampel 7

8

BBNI

Bank Negara Indonesia (Persero) Tbk

Sampel 8

9

BBRI

Bank Rakyat Indonesia (Persero) Tbk

Sampel 9

10

BBTN

Bank Tabungan Negara (Persero) Tbk

Sampel 10

11

BDMN

Bank Danamon Tbk

Sampel 11

12

BMRI

Bank Mandiri (Persero) Tbk

Sampel 12

13

BSDE

Bumi Serpong Damai Tbk

Sampel 13

14

CPIN

Charoen Pokphand Indonesia

Sampel 14

15

CTRA

Ciputra Development

Sampel 15

16

DILD

Intiland Development Tbk

Sampel 16

17

EXCL

XL Axiata Tbk

Sampel 17

18

GGRM

Gudang Garam Tbk

Sampel 18

19

GJTL

Gajah Tunggal Tbk

Sampel 19

20

INDF

Indofood Sukses Makmur Tbk

Sampel 20

21

INTP

Indocement Tunggal Prakasa Tbk

Sampel 21

22

ISAT

Indosat Tbk

Sampel 22

23

JPFA

Japfa Comfeed Indonesia Tbk

Sampel 23

24

JSMR

Jasa Marga (Persero) Tbk

Sampel 24

25

KLBF

Kalbe Farma Tbk

Sampel 25

26

LPKR

Lippo Karawaci Tbk

Sampel 26

27

LSIP

London Sumatera Plantation Tbk

Sampel 27

Universitas Sumatera Utara

28

MNCN

Media Nusantara Citra Tbk

Sampel 28

29

PTBA

Tambang Batubara Bukit Asam (Persero) Tbk

Sampel 29

30

PTPP

PP (Persero) Tbk

Sampel 30

31

SMGR

Semen Indonesia (Persero) Tbk

Sampel 31

32

SMRA

Summarecon Agung Tbk

Sampel 32

33

TINS

Timah (Persero) Tbk

Sampel 33

34

TLKM

Telekomunikasi Indonesia (Persero) Tbk

Sampel 34

35

UNTR

United Tractors Tbk

Sampel 35

36

UNVR

Unilever Indonesia Tbk

Sampel 36

Lampiran 2

Statistik Deskriptif Dari Beta Saham, Dividend Payout Ratio, Asset Growth,
Debt to Equity Ratio (DER), Current Ratio, Earning Variability, Return on
Equity (ROE), Tingkat Suku Bunga, Inflasi dan Nilai Tukar (Kurs).
Mean
Median
Maximum
Minimum
Std. Dev.
Observations

BETA
1.418125
1.340000
6.160000
-1.590000
1.211161
144

DPR
0.359792
0.295000
0.950000
0.030000
0.225917
144

EV
ROE
Mean
3.532778
0.219851
Median
3.435000
0.183466
Maximum
11.14000
1.535148
Minimum
0.890000
0.004910
Std. Dev.
1.457103
0.218356
Observations
144
144
Hasil Penelitian 2016 (Data diolah)

GROWTH
0.262500
0.160000
12.60000
-0.870000
1.046379
144

DER
2.177778
1.095000
12.15000
0.150000
2,764348
144

CR
2.075347
1.370000
10.94000
0.040000
1.867273
144

BI
6.750000
6.750000
7.750000
5.750000
0.886969
144

INFLASI
6.207500
6.330000
8.380000
3.790000
2.177590
144

KURS
10841.75
10929.50
12440.00
9068.000
1495.897
144

Universitas Sumatera Utara

Lampiran 3
Uji Multikolinearitas dengan Matriks Korelasi
DPR

GROW
DER
TH
DPR
1.0000 -0.0347 -0.1978
GROWTH -0.0347 1.0000 -0.0150
DER
-0.1878 -0.0150 1.0000
CR
-0.0642 0.0070 -0.1727
EV
0.2922 -0.1004 0.0358
ROE
0.3771 -0.0397 -0.0640
BI
0.0936
0.0625
0.0377
INFLASI
0.1066
0.0735
0.0429
KURS
0.1123
0.0792
0.0441
Hasil Penelitian 2016 (Data diolah)

CR

EV

ROE

BI

-0.0642
0.0070
-0.1727
1.0000
-0.1900
-0.0905
-0.0449
-0.0654
-0.0729

0.2922
-0.1004
0.0358
-0.1900
1.0000
0.1829
0.1544
0.1492
0.1428

0.3771
-0.0397
-0.0640
-0.0905
0.1829
1.0000
-0.1203
-0.1104
-0.1055

0.0936
0.0625
0.0377
-0.0449
0.1544
-0.1203
1.0000
0.8778
0.8578

INFLA
SI
0.1066
0.0735
0.0429
-0.0654
0.1492
-0.1104
0.8778
1.0000
0.7965

KURS
0.1123
0.0792
0.0441
-0.0729
0.1428
-0.1055
0.8578
0.7965
1.0000

Lampiran 4
Uji Autokorelasi dengan Bruesch Godfery
Breusch-Godfrey Serial
Correlation LM Test
F-statistic
1.2123322
Obs*R-squared
2.599461
Sumber : Hasil Penelitian 2016 (data diolah)

Prob. F(14, 10)
Prob. Chi-Square(14)

0.3005
0.2726

Lampiran 5
Uji Heteroskedastisitas dengan Uji White Heteroscedasticity
Heteroskedasticity Test: White
F-statistic
Obs*R-squared
Scaled explained SS
Sumber: Hasil Penelitian 2016 (data diolah)

0.521744
4.875282
8.872217

Prob. F(14, 10)
Prob. Chi-Square(14)
Prob. Chi-Square(14)

0.8568
0.8450
0.4492

Lampiran 6
Correlated Random Effects - Hausman Test
Pool: Untitled
Test cross-section random effects
Test Summary
Cross-section random

Chi-Sq. Statistic Chi-Sq. d.f.
12.486148
9

Prob.
0.1873

Universitas Sumatera Utara

Lampiran 7
Pengujian Regresi Berganda Data Panel
Dependent Variabel : BETA SAHAM
Method: Pooled EGLS (Cross-section random effects)
Date: 06/30/16 Time: 12.04
Sampel: 20112014
Included observations: 144
Variable

Coefficient

Std. Error

t-Statistic

Prob.

DPR
GROWTH

-1.055815
0.015842

0.560048
0.097379

-1.885221
0.162684

0.6421
0.8711

0.077890
0.111433
-0.133865

0.085653
0.068939
0.085740

0.909367
1.616397
-1.561292

0.3652
0.1090
0.1214

-1.468320
-0.529153

0.776576
2.175524

-1.890762
-0.243230

0.0314
0.8083

Lanjutan Lampiran 8
DER
CR
EV
ROE
BI
INFLASI
KURS
C
R-squared
Adjusted R-squared

1.013549
-0.001123
11.64612
0.428950
0.229622

3.105039
0.326421
0.003295
-0.340901
30.90937
0.376783
Mean dependent var
S.D. dependent var

0.7447
0.7339
0.7071
1.418125
1.211161

S.E. of regression

1.063050

Akaike info criterion

3.181566

Sum squared resid
119.7881
Schwarz criterion
Log likelihood
-191.0727
Hannan-Quinn criter.
F-statistic
2.151974
Durbin-Watson stat
Prob(F-statistic)
0.001251
Sumber : Hasil Penelitian 2016 (data diolah)

3.965266
3.500017
3.072009

Universitas Sumatera Utara