Analisis Perbedaan Abnormal Return dan Volume Perdagangan Sebelum dan Sesudah Stock Split di Bursa Efek Indonesia
Lampiran 1
Daftar Populasi dan Sampel
No.
Kode
Emiten
Nama Perusahaan
2007
1
2
AKRA
ANTM
3
4
BMTR
CPIN
5
6
DAVO
HADE
AKR Corporindo Tbk
Aneka Tambang (Persero)
Tbk
Global Mediacom Tbk
Charoen Pokphand
Indonesia Tbk
Davomas Abadi Tbk
HD Capital Tbk
7
JPRS
Jaya Pari Steel Tbk
8
LPKR
Lippo Karawaci Tbk
9
PWON
Pakuwon Jati Tbk
10
SMGR
11
SOBI
Semen Indonesia (Persero)
Tbk
Sorini Agro Asia
Corporindo Tbk
2008
1
BBCA
Bank Central Asia Tbk
2
BRNA
Berlina Tbk
3
4
DOID
ICON
5
INCO
Delta Dunia Makmur Tbk
Island Concepts Indonesia
Tbk
Vale Indonesia Tbk
6
MIRA
7
PANR
8
PANS
9
PGAS
Mitra International
Resources Tbk
Panorama Sentrawisata
Tbk
Panin Sekuritas Tbk
Perusahaan Gas Negara
(Persero) Tbk
Tanggal
Stock Split
Kriteria
A B C D
27 Juli 2007
12 Juli 2007
√ × √ √
√ √ √ √
24 April 2007
01 November
2007
28 Mei 2007
10 September
2007
12 Desember
2007
26 Desember
2007
19 September
2007
07 Agustus
2007
22 Agustus
2007
√ × √ √
√ × √ √
√ √ √ √
√ × √ √
S
1
2
√ × √ √
√ × √ √
√ × √ √
√ √ √ √
3
√ √ √ √
4
28 Januari
2008
04 Agustus
2008
15 April 2008
10 Desember
2008
15 Januari
2008
30 Mei 2008
√ √ √ √
5
11 Februari
2008
21 Januari
2008
04 Agustus
2008
√ √ × √
√ × √ √
√ × √ √
√ √ √ √
6
√ × √ √
√ √ √ √
7
√ √ × √
√ × √ √
Universitas Sumatera Utara
Daftar Populasi dan Sampel
Kode
Nama Perusahaan
Emiten
TINS
Timah (Persero) Tbk
Tanggal
Stock Split
08 Agustus
2008
Kriteria
A B C D
√ × √ √
S
1
ARNA
Arwana Citramulia Tbk
CTBN
Citra Tubindo Tbk
√ √ √ √
8
2
11 September
2009
07 Januari
2009
1
CPIN
2
3
4
CTRA
DILD
DVLA
KKGI
6
TURI
8 Desember
2010
15 Juni 2010
26 Juli 2010
12 November
2010
18 Maret
2010
17 Juni 2010
√ × √ √
5
Charoen Pokphand
Indonesia Tbk
Ciputra Development Tbk
Intiland Development Tbk
Darya-Varia Laboratoria
Tbk
Resource Alam Indonesia
Tbk
Tunas Ridean Tbk
Astra Otoparts Tbk
Bank Rakyat Indonesia
(Persero) Tbk
Bank Tabungan
Pensiunan Nasional Tbk
Intraco Penta Tbk
Jasuindo Tiga Perkasa
Tbk
PP London Sumatra
Indonesia Tbk
Malindo Feedmill Tbk
Capitalinc Investment Tbk
Metro Realty Tbk
24 Juni 2011
11 Januari
2011
28 Maret
2011
6 Juni 2011
26 Juli 2011
√ × √ √
√ × √ √
No.
10
2009
2010
2011
1
2
AUTO
BBRI
3
BTPN
4
5
INTA
JTPE
6
LSIP
7
8
9
MAIN
MTFN
MTSM
10
11
PBRX
SSIA
Pan Brothers Tbk
Surya Semesta Internusa
Tbk
1
ACES
2
3
ASII
BFIN
Ace Hardware Indonesia
Tbk
Astra International Tbk
BFI Finance Indonesia
Tbk
25 Februari
2011
15 Juni 2011
11 Juli 2011
18 Oktober
2011
15 Juni 2011
7 Juli 2011
2012
1 November
2012
5 Juni 2012
7 Agustus
2012
√ × √ √
√ × √ √
√ × √ √
√ √ × √
√ √ √ √
9
√ √ √ √ 10
√ × √ √
√ √ √ √ 11
√ √ √ √ 12
√ √ √ √ 13
√ √ √ √ 14
√ × √ √
√ √ √ √ 15
√ × √ √
√ × √ √
√ √ × √
√ √ √ √ 16
√ × √ √
Universitas Sumatera Utara
No.
4
5
6
7
8
9
10
11
12
13
14
15
16
1
2
3
Daftar Populasi dan Sampel
Kode
Tanggal
Nama Perusahaan
Emiten
Stock Split
BRNA Berlina Tbk
6 November
2012
DKFT Central Omega
3 Agustus
Resources Tbk
2012
HERO Hero Supermarket Tbk
5 April 2012
IMAS
Indomobil Sukses
7 Juni 2012
Internasional Tbk
KLBF
Kalbe Farma Tbk
8 Oktober
2012
KREN Kresna Graha Sekurindo 7 Agustus
Tbk
2012
MDRN Modern Internasional
3 Juli 2012
Tbk
PNSE
Pudjiadi & Sons Tbk
28 September
2012
POOL Pool Advista Indonesia
3 Januari
Tbk
2012
PTRO
Petrosea Tbk
6 Maret 2012
PWON Pakuwon Jati Tbk
30 Maret
2012
SCMA Surya Citra Media Tbk
29 Oktober
2012
TOTO Surya Toto Indonesia
9 Agustus
Tbk
2012
2013
AMRT Sumber Alfaria Trijaya
29 Juli 2013
Tbk
ARNA Arwana Citramulia Tbk
8 Juli 2013
BATA Sepatu Bata Tbk
4 September
2013
4
JKON
Jaya Konstruksi Manggala
Pratama Tbk
26 September
2013
5
JPFA
6
JRPT
7
MDLN
8
NIPS
Japfa Comfeed Indonesia 19 April 2013
Tbk
Jaya Real Property Tbk
1 Agustus
2013
Modernland Realty Ltd. 13 November
Tbk
2013
Nipress Tbk
25 November
2013
Kriteria
S
A B C D
√ √ √ √ 17
√
×
√
√
√
√
×
×
√
×
√
×
√
√
√
×
√ √
× √
√ √
√ √ 18
√ √
√
×
√
×
√
×
√
√
√
√
× √
√
×
√
×
√
√
√
√
×
√
√
√
√
√
×
√ √
× √
√ √
√ √ 19
√ √
× √
√ √ 20
√ ×
√ √ 21
√
× √
× √
× √
√ √
Universitas Sumatera Utara
No.
9
10
11
Daftar Populasi dan Sampel
Kode
Tanggal
Nama Perusahaan
Emiten
Stock Split
ROTI
Nippon Indosari
29 November
Corpindo Tbk
2013
TLKM Telekomunikasi
28 Agustus
Indonesia (Persero) Tbk 2013
TOWR Sarana Menara
22 Juli 2013
Nusantara Tbk
2014
1
ALMI
2
INAI
3
MLBI
4
TOTO
Alumindo Light Metal
Industry Tbk
Indal Aluminium
Industry Tbk
Multi Bintang Indonesia
Tbk
Surya Toto Indonesia
Tbk
12 Februari
2014
12 Februari
2014
06 November
2014
25 Juli 2014
Kriteria
A B C D
√ × √ √
√
√
√
√
×
√
√
×
√
√
√
×
√
√
√
√
√
√
√
×
S
√ 22
√ 23
√
√
Sumber :Indonesian Capital Makret Directory (ICMD) 2012-2014, www.e-bursa.com
Universitas Sumatera Utara
Lampiran 2
1. PT Aneka Tambang (Persero) (ANTM)
T
Harga
saham
Actual
Return
5
4
3
2
1
0
-1
-2
-3
-4
-5
2700
2575
2600
2600
2650
2650
13250
13250
13700
13600
12900
0.048543689
-0.009615385
0
-0.018867925
0
-0.8
0
-0.032846715
0.007352941
0.054263566
0.048543689
IHSG
2,333.68
2,294.59
2,301.34
2,286.22
2,301.60
2,284.92
2,273.42
2,282.38
2,271.34
2,227.05
2,220.93
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
0.017035723
-0.002933074
0.006613537
-0.006682308
0.007300037
0.005058458
-0.003925727
0.004860567
0.019887295
0.002755602
0.011306407
0.031507966
-0.006682311
-0.006613537
-0.012185617
-0.007300037
-0.805058458
0.003925727
-0.037707282
-0.012534354
0.051507964
0.012503117
39,736,000
20,367,500
15,128,000
8,288,500
27,336,500
92,598,500
22,599,500
14,748,500
35,677,500
27,898,500
15,189,000
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
0.004165872
0.002135303
0.001586
0.000868956
0.002865924
0.009707909
0.002369303
0.001546214
0.003740384
0.002924843
0.001592395
2. PT Davomas Abadi Tbk (DAVO)
T
Harga
saham
5
4
3
2
1
0
-1
-2
-3
-4
-5
285
290
280
280
280
290
610
600
580
580
580
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
-0.017241379
0.035714286
0
0
-0.034482759
-0.049180328
0.016666667
0.034482759
0
0
-0.033333333
2,093.11
2,111.75
2,084.32
2,055.40
2,058.74
2,076.76
2,060.43
2,078.60
2,104.25
2,078.75
2,071.27
-0.008826802
0.013160167
0.014070254
-0.001622352
-0.008676978
0.00792553
-0.008741461
-0.012189616
0.012266987
0.003611311
0.003638989
-0.008414577
0.022554118
-0.014070254
0.001622352
-0.025805781
-0.057105858
0.025408127
0.046672375
-0.012266987
-0.003611311
-0.036972322
2,192,500
683,500
285,000
509,500
1,553,000
2,887,000
16,595,000
31,310,000
2,991,000
467,000
372,000
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
0.000176762
0.000055104
0.000022977
0.000041076
0.000125204
0.000232753
0.001337906
0.002524244
0.000241138
0.000037650
0.000029991
Universitas Sumatera Utara
3. Semen Indonesia (Persero) Tbk
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
4,800
4,975
4,950
5,000
5,000
5,000
51,200
52,700
52,550
51,500
52,500
-0.035175879
0.005050505
-0.01
0
0
2.572703412
-0.028462998
0.002854424
0.02038835
-0.019047619
0.009615385
2,168.64
2,211.46
2,207.40
2,241.40
2,262.64
2,174.07
2,189.11
2,269.79
2,270.85
2,256.31
2,348.67
-0.019362774
0.001839268
-0.015169091
-0.009387264
0.040739259
-0.006870372
-0.035545139
-0.000466786
0.00644415
-0.039324384
0.020473159
-0.015813105
0.003211237
0.005169091
0.009387264
-0.040739259
2.579573784
0.00708214
0.00332121
0.0139442
0.020276765
-0.010857775
2,720,500
846,000
2,717,000
4,193,000
6,402,000
3,403,000
952,500
212,500
670,000
326,500
307,500
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
0.000458651
0.000142628
0.000458061
0.000706901
0.001079319
0.000573715
0.000160583
0.000035826
0.000112956
0.000055045
0.000051842
4. Sorini Agro Asia Corporindo Tbk (SOBI)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
710
720
730
730
730
730
3,600
3,800
3,600
3,600
3,825
-0.013888889
-0.01369863
0
0
0
-0.797222222
-0.052631579
0.055555556
0
-0.058823529
-0.013888889
2,134.88
2,159.61
2,175.35
2,143.11
2,117.66
2,062.99
1,993.01
2,041.58
1,908.64
2,029.08
2,168.64
-0.011451142
-0.007235617
0.015043558
0.012017982
0.026500371
0.035112719
-0.023790398
0.069651689
-0.05935695
-0.064353696
-0.019362774
-0.002437747
-0.006463013
-0.015043558
-0.012017982
-0.026500371
-0.832334941
-0.028841181
-0.014096134
0.05935695
0.005530167
0.025941721
2,567,500
5,107,500
1,278,500
5,040,000
3,318,000
1,090,000
300,000
1,050,500
102,500
1,195,500
1,101,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
0.002852778
0.005675
0.001420556
0.0056
0.003686667
0.001211111
0.000333333
0.001167222
0.000113889
0.001328333
0.001223333
Universitas Sumatera Utara
5. Bank Central Asia Tbk (BBCA)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
3,600
3,550
3,550
3,525
3,575
3,600
7,200
6,900
6,650
6,300
6,600
0.014084507
0
0.007092199
-0.013986014
-0.006944444
-0.5
0.043478261
0.037593985
0.055555556
-0.045454545
-0.043478261
2,701.63
2,646.82
2,627.25
2,610.36
2,607.84
2,582.05
2,620.49
2,516.70
2,476.28
2,294.52
2,485.88
0.020707868
0.007448853
0.006470372
0.000966317
0.009988188
-0.014669012
0.041240513
0.016322871
0.079214825
-0.076978776
-0.047967738
-0.006623361
-0.007448853
0.000621827
-0.014952331
-0.016932632
-0.485330988
0.002237747
0.021271114
-0.023659269
0.031524231
0.004489477
32,062,500
14,136,500
13,455,500
12,656,000
8,631,000
9,246,500
53,166,000
50,500,000
51,248,000
83,696,000
16,572,000
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
0.001313581
0.000579164
0.000551264
0.000518509
0.000353607
0.000378824
0.002178179
0.002068955
0.0020996
0.003428975
0.000678945
6. Vale Indonesia Tbk (INCO)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
7,700
8,550
9,400
9,800
9,450
10,050
9,900
9,935
9,600
9,600
9,735
-0.099415205
-0.090425532
-0.040816327
0.037037037
-0.059701493
0.015151515
-0.003522899
0.034895833
0
-0.013867488
0.024197791
2,294.52
2,485.88
2,611.13
2,649.28
2,592.31
2,730.03
2,810.37
2,830.26
2,785.62
2,776.41
2,765.19
-0.076978776
-0.047967738
-0.014400139
0.021976538
-0.050446332
-0.028586983
-0.007027623
0.016025158
0.003317233
0.004057587
0.01846368
-0.022436429
-0.042457794
-0.026416188
0.015060499
-0.00925516
0.043738498
0.003504724
0.018870676
-0.003317233
-0.017925076
0.00573411
30,097,500
19,656,500
8,246,500
14,810,000
20,805,000
20,553,000
6,530,000
7,300,000
4,235,000
4,985,000
6,750,000
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
0.003029033
0.001978244
0.000829933
0.001490489
0.00209383
0.002068468
0.000657184
0.000734677
0.000426213
0.000501694
0.000679325
Universitas Sumatera Utara
7. Panorama Sentrawisata Tbk (PANR)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
345
310
300
300
305
310
310
313
293
267
263
0.112903226
0.033333333
0
-0.016393443
-0.016129032
0
-0.009584665
0.068259386
0.097378277
0.015209125
0
2,684.70
2688.19
2675.65
2,610.78
2,592.07
2,589.38
2,639.09
2,704.25
2,701.63
2,646.82
2,627.25
-0.001298271
0.004686712
0.024846981
0.007218169
0.001038859
-0.018836038
-0.024095405
0.000969785
0.020707868
0.007448853
0.006470372
0.114201497
0.028646622
-0.024846981
-0.023611612
-0.017167891
0.018836038
0.014510741
0.067289601
0.076670409
0.007760272
-0.006470372
25,987,000
17,903,000
232,000
1,000,000
1,636,000
7,991,000
1,998,000
41,787,000
28,072,500
525,000
2,010,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
0.021655833
0.014919167
0.000193333
0.000833333
0.001363333
0.006659167
0.001665
0.0348225
0.02339375
0.0004375
0.001675
Jumlah
Volume
Beredar
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
TVA
8. Arwana Citramulia Tbk (ARNA)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
5
4
3
2
1
0
-1
-2
-3
-4
-5
37
37
38
36
36
38
39
39
40
38
36
0
-0.026315789
0.055555556
0
-0.052631579
-0.025641026
0
-0.025
0.052631579
0.055555556
0
2,468.90
2,456.99
2,439.36
2,420.11
2,382.70
2,415.95
2,411.86
2,383.34
2,371.30
2,340.39
2,322.74
0.004847395
0.007227306
0.007954184
0.015700676
-0.013762702
0.001695787
0.0119664
0.005077384
0.013207201
0.007598784
0.000211002
-0.004847395
-0.033543095
0.047601372
-0.015700676
-0.038868877
-0.027336812
-0.0119664
-0.030077384
0.039424378
0.047956771
-0.000211002
26,396,000
4,298,000
12,866,000
2,930,000
19,404,000
48,952,000
20,652,000
6,188,000
26,148,000
23,004,000
240,000
Universitas Sumatera Utara
0.014381937
0.002341778
0.007010077
0.001596419
0.010572326
0.026671639
0.011252302
0.00337155
0.014246814
0.012533796
0.000130765
9. Resource Alam Indonesia Tbk (KKGI)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
650
580
580
580
580
580
2,300
2,300
2,300
2,200
2,200
0.120689655
0
0
0
0
-0.747826087
0
0
0.045454545
0
0
2,799.15
2,774.85
2,720.86
2,702.40
2,742.97
2,737.24
2,756.26
2,669.61
2,666.51
2,676.52
2,670.22
0.00875723
0.019842991
0.006830965
-0.014790537
0.00209335
-0.006900655
0.032457925
0.001162568
-0.003739931
0.002359356
0.00491124
0.111932425
-0.019842991
-0.006830965
0.014790537
-0.00209335
-0.740925432
-0.032457925
-0.001162568
0.049194476
-0.002359356
-0.00491124
81,500
30,500
30,500
30,500
30,500
30,500
122,000
122,000
122,000
3,000,000
3,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
0.000081500
0.000030500
0.000030500
0.000030500
0.000030500
0.000030500
0.000122000
0.000122000
0.000122000
0.003000000
0.003000000
10. Tunas Ridean Tbk (TURI)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
540
560
580
580
600
590
2,350
2,225
2,300
2,275
2,300
-0.035714286
-0.034482759
0
-0.033333333
0.016949153
-0.74893617
2,914.09
2,924.79
2,934.59
2,941.90
2,929.59
2,891.10
2,858.66
2,830.17
2,826.84
2,801.90
2,770.79
-0.003658382
-0.003339478
-0.002484789
0.004201953
0.013313272
0.011347974
0.010066533
0.001177994
0.008901103
0.011227845
-0.005384469
-0.032055903
-0.03114328
0.002484789
-0.037535287
0.003635881
-0.760284144
0.046113242
-0.033786689
0.002087908
-0.02209741
0.005384469
120,713,000
3,805,500
4,859,500
7,481,500
9,161,000
16,638,500
18,924,000
9,116,000
8,502,000
11,440,000
24,164,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
0.021633154
0.000681989
0.000870878
0.001340771
0.001641756
0.00298181
0.003391398
0.001633692
0.001523656
0.002050179
0.004330466
0.056179775
-0.032608696
0.010989011
-0.010869565
0
Universitas Sumatera Utara
11. Intraco Penta Tbk (INTA)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaks
i
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
710
730
740
760
770
770
3,850
3,850
3,875
3,875
3,825
-0.02739726
-0.013513514
-0.026315789
-0.012987013
0
-0.8
0
-0.006451613
0
0.013071895
0.006578947
3,748.76
3,787.65
3,806.19
3,825.82
3,842.95
3,834.20
3,844.02
3,837.76
3,836.97
3,826.14
3,832.43
-0.01026758
-0.004871013
-0.005130926
-0.004457513
0.002282093
-0.002554617
0.00163116
0.000205892
0.002830529
-0.001641256
0.004616207
-0.0171296801
-0.0086425008
-0.0211848633
-0.0085294999
-0.0022820927
-0.7974453827
-0.0016311598
-0.0066575045
-0.0028305289
0.0147131518
0.0019627401
17,677,500
13,585,000
24,959,000
22,160,000
15,347,000
22,459,000
17,337,500
27,297,500
45,747,500
56,495,000
51,940,000
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
0.0081839171
0.0062892668
0.0115549363
0.0102591205
0.0071049965
0.0103975445
0.0080265118
0.0126375605
0.0211791116
0.0261547388
0.0240459710
12. Jasuindo Tiga Perkasa Tbk (JTPE)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
285
280
280
295
300
305
0.017857143
0
-0.050847458
-0.016666667
-0.016393443
-0.789655172
4,177.85
4,193.44
4,130.80
4,145.83
4,174.11
4,132.78
0.021574854
-0.015164133
-0.047222128
-0.00989157
-0.026393975
-0.800834275
4,818,000
5,412,000
15,739,000
6,249,500
10,224,000
24,721,000
1,769,680,000
1,769,680,000
1,769,680,000
1,769,680,000
1,769,680,000
1,769,680,000
0.002722526
0.00305818
0.008893698
0.003531429
0.005777316
0.013969192
1,450
1,490
1,490
1,490
-0.026845638
0
0
0.006756757
4,087.09
4,106.82
4,068.07
4,050.63
-0.022041434
-0.009525401
-0.004305503
-0.000006146
10,487,500
6,350,000
16,542,500
18,412,500
1,769,680,000
1,769,680,000
1,769,680,000
1,769,680,000
0.005926213
0.003588219
0.009347735
0.010404423
1,480
-0.026315789
4,023.42
-0.003717711
0.015164133
-0.00362533
-0.006775097
0.010000532
0.011179103
0.0048042037
0.0095254015
0.0043055031
0.0067629032
0.0023679819
-0.023947808
11,767,500
1,769,680,000
0.006649507
-2
-3
-4
-5
Universitas Sumatera Utara
13. PP London Sumatra Indonesia Tbk (LSIP)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
2,350
2,275
2,250
2,225
2,150
2,150
10,500
10,800
10,900
11,000
10,950
0.032967033
0.011111111
0.011235955
0.034883721
0
-0.795238095
-0.027777778
-0.009174312
-0.009090909
0.00456621
0.037914692
3,542.90
3,494.54
3,486.20
3,512.62
3,470.35
3,443.53
3,439.13
3,474.12
3,451.10
3,497.64
3,501.50
0.013838731
0.00239229
-0.007521451
0.012180328
0.007788519
0.001279393
-0.010071615
0.006670337
-0.013306115
-0.001102385
0.019543557
0.019128302
0.008718822
0.018757406
0.022703393
-0.007788519
-0.796517489
-0.017706163
-0.015844649
0.004215206
0.005668595
0.018371135
24,748,500
28,791,500
13,142,500
14,399,000
7,579,000
7,681,000
30,577,500
38,205,000
20,865,000
20,882,500
35,457,500
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
0.003811364
0.004434002
0.002023996
0.002217501
0.001167195
0.001182904
0.004709053
0.005883717
0.00321329
0.003215985
0.005460591
14. Malindo Feedmill Tbk (MAIN)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
1,020
1,030
1,020
1,020
1,030
1,050
5,350
5,300
5,300
5,350
5,350
-0.009708738
0.009803922
0
-0.009708738
-0.019047619
-0.803738318
0.009433962
0
-0.009345794
0
-0.018348624
3,821.83
3,794.94
3,729.12
3,721.38
3,740.47
3,794.25
3,773.27
3,748.76
3,787.65
3,806.19
3,825.82
0.007085751
0.017650277
0.002079874
-0.005103637
-0.014174079
0.005560164
0.006538162
-0.01026758
-0.004871013
-0.005130926
-0.004457513
-0.016794489
-0.007846355
-0.002079874
-0.004605101
-0.00487354
-0.809298482
0.0028958
0.01026758
-0.004474782
0.005130926
-0.013891111
4,969,500
7,436,000
3,429,500
4,898,000
4,085,500
8,714,500
7,520,000
4,917,500
5,657,500
6,250,000
6,317,500
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
0.002931858
0.004387021
0.002023304
0.002889676
0.002410324
0.005141298
0.004436578
0.00290118
0.003337758
0.003687316
0.003727139
Universitas Sumatera Utara
15. Metro Realty Tbk (MTSM)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
710
710
710
750
750
750
3,000.00
3,000.00
3,000.00
3,000.00
3,000.00
0
0
-0.053333333
0
0
-0.75
0
0
0
0
0
3,710.48
3,706.78
3,620.66
3,622.78
3,685.31
3,622.03
3,729.01
3,664.68
3,675.38
3,635.93
3,531.75
0.000998171
0.023785719
-0.000585186
-0.016967365
0.017470866
-0.02868858
0.017554057
-0.002911264
0.010850044
0.029498124
0.023375291
-0.000998171
-0.023785719
-0.052748147
0.016967365
-0.017470866
-0.72131142
-0.017554057
0.002911264
-0.010850044
-0.029498124
-0.023375291
2,000
2,000
2,000
1,500
1,500
1,500
6,000
6,000
6,000
6,000
6,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
0.0000085893
0.0000085893
0.0000085893
0.0000064420
0.0000064420
0.0000064420
0.0000257679
0.0000257679
0.0000257679
0.0000257679
0.0000257679
16. Astra International Tbk (ASII)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
6,650
6,600
6,650
6,800
6,950
6,600
62,400
63,350
64,300
66,000
65,200
0.007575758
-0.007518797
-0.022058824
-0.021582734
0.053030303
-0.894230769
-0.014996054
-0.014774495
-0.025757576
0.012269939
-0.012121212
3,852.58
3,866.21
3,825.33
3,840.60
3,841.33
3,717.88
3,654.58
3,799.77
3,832.82
3,917.92
3,919.06
-0.003525416
0.01068666
-0.003975941
-0.000190038
0.033204407
0.017320732
-0.038210207
-0.008622894
-0.021720709
-0.000290886
0.000094419
0.011101174
-0.018205457
-0.018082882
-0.021392695
0.019825896
-0.911551501
0.023214154
-0.006151601
-0.004036867
0.012560825
-0.012215631
17,595,000
43,667,500
14,550,500
45,218,000
41,969,000
27,014,500
44,140,000
45,595,000
63,410,000
35,245,000
26,780,000
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
0.000434621
0.001078648
0.000359418
0.001116947
0.001036693
0.000667296
0.001090319
0.00112626
0.001566315
0.0008706
0.000661503
Universitas Sumatera Utara
17. Berlina Tbk (BRNA)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
670
660
660
640
660
0.015151515
0
0.03125
-0.03030303
-0.029411765
4,332.08
4,318.59
4,333.64
4,327.87
4,350.42
4,314.27
0.003123705
-0.003472831
0.001333219
-0.005183408
0.00837917
0.01202781
0.003472831
0.029916781
-0.025119623
-0.037790934
1,578,000
1,936,500
2,585,000
1,580,500
1,177,500
690,000,000
690,000,000
690,000,000
690,000,000
690,000,000
0.002286957
0.002806522
0.003746377
0.00229058
0.001706522
680
3,450
3,450
3,475
3,425
3,450
-0.802898551
0
-0.007194245
0.01459854
-0.007246377
0.00729927
0.002633083
-0.008285529
0.000814235
-0.003431955
-0.003278651
0.007671938
-0.805531634
0.008285529
-0.008008479
0.018030495
-0.003967726
-0.000372667
1,110,500
3,015,000
1,117,500
1,310,000
3,610,000
2,867,500
690,000,000
690,000,000
690,000,000
690,000,000
690,000,000
690,000,000
0.00160942
0.004369565
0.001619565
0.001898551
0.005231884
0.004155797
-1
-2
-3
-4
-5
4,302.94
4,338.89
4,335.36
4,350.29
4,364.60
18. Kalbe Farma Tbk (KLBF)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
980
970
980
980
960
950
4,800
4,700
4,575
4,575
4,550
0.010309278
-0.010204082
0
0.020833333
0.010526316
-0.802083333
0.021276596
0.027322404
0
0.005494505
-0.031914894
4,313.52
4,311.39
4,284.97
4,280.01
4,280.25
4,268.23
4,311.31
4,271.46
4,251.51
4,256.84
4,236.29
0.000494040
0.006165737
0.001158876
-0.000056071
0.002816156
-0.009992323
0.009329363
0.00469245
-0.001252102
0.004850943
-0.006162963
0.009815238
-0.016369819
-0.001158876
0.020889405
0.00771016
-0.792091011
0.011947233
0.022629954
0.001252102
0.000643563
-0.025751931
20,082,500
24,280,000
28,477,000
63,946,500
32,860,000
37,794,500
48,042,500
50,510,000
30,827,500
51,995,000
107,795,000
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
0.0003954799
0.0004781403
0.0005607909
0.0012592834
0.0006471042
0.0007442782
0.0009460896
0.0009946815
0.0006070787
0.0010239253
0.0021227815
Universitas Sumatera Utara
19. Petrosea Tbk (PTRO)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
4,225
4,250
4,400
4,475
4,575
4,625
44,000
44,900
45,000
43,500
43,250
-0.005882353
-0.034090909
-0.016759777
-0.021857923
-0.010810811
-0.894886364
-0.020044543
-0.002222222
0.034482759
0.005780347
0.054878049
4,008.64
3,987.35
3,991.54
3,967.67
3,942.52
3,967.08
3,984.90
4,004.87
3,962.29
3,985.21
3,903.56
0.005339386
-0.00104972
0.006016125
0.006379169
-0.006190952
-0.004471881
-0.004986429
0.010746311
-0.005751265
0.020916804
0.011017814
-0.011221739
-0.033041189
-0.022775902
-0.028237092
-0.004619859
-0.890414482
-0.015058114
-0.012968533
0.040234024
-0.015136457
0.043860235
4,498,500
4,195,000
7,022,000
3,602,500
3,849,500
10,320,000
700,000
2,345,000
2,235,000
1,285,000
1,775,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
0.004460121
0.00415921
0.006962091
0.003571765
0.003816658
0.010231954
0.000694028
0.002324993
0.002215932
0.001274037
0.001759856
20. Surya Toto Indonesia Tbk (TOTO)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
7,700
7,700
6,800
6,850
7,350
8,150
68,000
66,000
66,000
65,000
65,000
0
0.132352941
-0.00729927
-0.068027211
-0.098159509
-0.880147059
0.03030303
0
0.015384615
0
0.048387097
4,160.51
4,141.99
4,121.56
4,102.53
4,141.56
4,131.17
4,090.71
4,085.58
4,105.50
4,099.81
4,093.11
0.004471281
0.004956861
0.004638601
-0.009423985
0.002515026
0.009890704
0.001255636
-0.004852028
0.001387869
0.001636897
-0.009042576
-0.004471281
0.12739608
-0.011937871
-0.058603226
-0.100674535
-0.890037762
0.029047395
0.004852028
0.013996746
-0.001636897
0.057429673
3,000
267,000
3,000
26,000
75,000
69,000
40,000
40,000
40,000
110,000
110,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
0.000006056
0.000539002
0.000006056
0.000052487
0.000151405
0.000139293
0.000080749
0.000080749
0.000080749
0.000222061
0.000222061
Universitas Sumatera Utara
21. Sepatu Bata Tbk (BATA)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
1,220
1,200
1,350
1,650
1,320
1,060
85,000
85,000
85,000
85,000
85,000
0.016666667
-0.111111111
-0.181818182
0.25
0.245283019
-0.987529412
0
0
0
0
0
4,349.42
4,358.14
4,191.26
4,072.35
4,050.86
4,073.46
4,164.01
4,101.23
4,195.09
4,103.59
4,026.48
-0.002000854
0.039816189
0.029199357
0.005305046
-0.005548109
-0.021745865
0.015307603
-0.022373775
0.022297549
0.019150722
0.014778822
0.01866752
-0.1509273
-0.211017538
0.244694954
0.250831128
-0.965783547
-0.015307603
0.022373775
-0.022297549
-0.019150722
-0.014778822
504,500
958,500
1,776,500
206,500
266,000
204,500
50,000
50,000
50,000
50,000
50,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
0.0003880769
0.0007373077
0.0013665385
0.0001588462
0.0002046154
0.0001573077
0.0000384615
0.0000384615
0.0000384615
0.0000384615
0.0000384615
22. Telekomunikasi Indonesia (Persero) Tbk (TLKM)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
5
4
3
2
1
0
-1
-2
-3
-4
-5
2,100
2,200
-0.045454545
4,073.46
0.023255814
4,164.01
2,150
-0.022727273
2,200
-0.011235955
2,225
Jumlah
Volume
Beredar
TVA
-0.021745865
-0.02370868
106,755,500
90,719,996,760
0.001176758
0.015307603
0.007948211
50,207,000
90,719,996,760
0.000553428
4,101.23
-0.022373775
-0.000353498
63,655,500
90,719,996,760
0.00070167
4,195.09
0.022297549
-0.033533504
109,446,500
90,719,996,760
0.001206421
0.034883721
4,103.59
0.019150722
0.015732999
105,664,500
90,719,996,760
0.001164732
2,150
-0.787128713
4,026.48
0.014778822
-0.801907535
140,114,000
90,719,996,760
0.001544467
10,100
-0.051643192
3,967.84
-0.037088629
-0.014554564
128,692,500
90,719,996,760
0.001418568
10,650
-0.009302326
4,120.67
-0.011789449
0.002487124
81,722,500
90,719,996,760
0.000900821
10,750
0.009389671
4,169.83
-0.000378769
0.00976844
84,685,000
90,719,996,760
0.000933477
10,650
-0.02739726
4,171.41
-0.011151015
-0.016246245
145,652,500
90,719,996,760
0.001605517
10,950
0.052884615
4,218.45
0.010412026
0.042472589
202,245,000
90,719,996,760
0.002229332
Universitas Sumatera Utara
23. Indal Aluminium Industry Tbk (INAI)
T
Harga
saham
Actual Return
IHSG
Market
Return
Abnormal
Return
Volume
Transa
ksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
290
293
290
304
314
320
290
293
290
304
314
-0.010238908
0.010344828
-0.046052632
-0.031847134
-0.01875
-0.428571429
-0.010238908
0.010344828
-0.046052632
-0.031847134
-0.01875
4,592.65
4,556.19
4,555.37
4,508.04
4,491.66
4,496.29
4,592.65
4,556.19
4,555.37
4,508.04
4,491.66
0.0080023
0.000180007
0.01049902
0.003646759
-0.001029738
0.005838678
0.004367803
-0.003564176
0.009483107
0.009214677
0.00736399
-0.018241208
0.01016482
-0.056551651
-0.035493892
-0.017720262
-0.434410107
-0.115478914
0.089771073
-0.009483107
-0.009214677
-0.00736399
27,100
9,200
114,100
125,500
3,700
23,700
41,000
200
24,200
16,400
29,200
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
0.000085543
0.000029040
0.000360164
0.000396149
0.000011679
0.000074811
0.000129419
0.000000631
0.000076389
0.000051768
0.000092172
Universitas Sumatera Utara
Lampiran 3
Rata-rata Abnormal Return Sebelum dan Sesudah Stock Split
Kode Emiten
ANTM
DAVO
SMGR
SOBI
BBCA
INCO
PANR
ARNA
KKGI
TURI
INTA
JTPE
LSIP
MAIN
MTSM
ASII
BRNA
KLBF
PTRO
TOTO
BATA
TLKM
INAI
Rata-rata Abnormal Return
Sebelum Stock Split
0.003539034
0.003846
0.006753
0.009578
0.007173
0.006867
0.031952
0.009025
0.001661
-0.000460
0.001111
-0.011965
-0.001059
-0.002868
-0.015673
0.002674
0.002793
0.002144
0.008186
0.020738
-0.009832
0.004785
-0.010354
Rata-rata Abnormal
Return Sesudah Stock Split
-0.000254707
-0.004823
-0.007757
-0.012493
-0.009067
-0.017101
0.015444
-0.009072
0.019591
0.002996
-0.011554
-0.015419
0.002731
-0.007240
-0.015607
-0.005351
-0.003499
0.004177
-0.019979
-0.009658
0.030450
-0.006783
-0.023568
Universitas Sumatera Utara
Lampiran 4
Rata-rata Trading Volume Activity(TVA) Sebelum dan Sesudah Stock Split
Kode Emiten
ANTM
DAVO
SMGR
SOBI
BBCA
INCO
PANR
ARNA
KKGI
TURI
INTA
JTPE
LSIP
MAIN
MTSM
ASII
BRNA
KLBF
PTRO
TOTO
BATA
TLKM
INAI
Rata-rata TVA Sebelum
Stock Split
0.002435
0.000834
0.000083
0.000833
0.002091
0.000600
0.012399
0.008307
0.001273
0.002586
0.018409
0.007183
0.004497
0.003618
0.000026
0.001063
0.003455
0.001139
0.001654
0.000137
0.000038
0.001418
0.000070
Rata-rata TVA Sesudah
Stock Split
0.002324
0.000084
0.000569
0.003847
0.000663
0.001884
0.007793
0.007181
0.000041
0.005234
0.008678
0.004797
0.002731
0.002928
0.000322
0.000805
0.002567
0.000668
0.004594
0.000151
0.000571
0.000961
0.000177
Universitas Sumatera Utara
Lampiran 5
Uji Normalitas Kolmogrov Smirnov Rata-rata Abnormal Return
One-Sample Kolmogorov-Smirnov Test
AR_Sebelum
N
AR_Sesudah
23
23
.00307024
-.00451459
.010212801
.012815454
Absolute
.175
.164
Positive
.175
.164
Negative
-.126
-.076
Kolmogorov-Smirnov Z
.839
.787
Asymp. Sig. (2-tailed)
.482
.566
Normal Parameters
a,,b
Mean
Std. Deviation
Most Extreme Differences
a. Test distribution is Normal.
b. Calculated from data.
Uji Normalitas Kolmogrov Smirnov Rata-rata Trading Volume Activity
(TVA)
One-Sample Kolmogorov-Smirnov Test
TVA_Sebelum
N
Normal Parameters
a,,b
23
23
.00322380
.00259002
.004507517
.002649804
Absolute
.252
.209
Positive
.252
.209
Negative
-.239
-.168
1.208
1.002
.108
.268
Mean
Std. Deviation
Most Extreme Differences
Kolmogorov-Smirnov Z
Asymp. Sig. (2-tailed)
TVA_Sesudah
a. Test distribution is Normal.
b. Calculated from data.
Universitas Sumatera Utara
Lampiran 6
Uji Paired Sample T-Test Rata-rata Abnormal Return
Paired Samples Statistics
Mean
Pair 1
N
Std. Deviation
Std. Error Mean
AR_Sebelum
.00307024
23
.010212801
.002129516
AR_Sesudah
-.00451459
23
.012815454
.002672207
Paired Samples Correlations
N
Pair 1
Correlation
AR_Sebelum & AR_Sesudah
23
Sig.
.123
.575
Paired Samples Test
Paired Differences
95% Confidence Interval
Mean
Std.
Std. Error
Deviation
Mean
Sig.
of the Difference
Lower
Upper
(2t
df tailed)
Pair AR_Sebelum .007584831 .015371038 .003205083 .000937895 .014231766 2.367 22
1
.027
AR_Sesudah
Universitas Sumatera Utara
Lampiran 7
Uji Paired Sample T-Test Rata-rata Trading Volume Activity (TVA)
Paired Samples Statistics
Mean
Pair 1
N
Std. Deviation
Std. Error Mean
TVA_Sebelum
.00322380
23
.004507517
.000939882
TVA_Sesudah
.00259002
23
.002649804
.000552522
Paired Samples Correlations
N
Pair 1
TVA_Sebelum & TVA_Sesudah
Correlation
23
Sig.
.860
.000
Paired Samples Test
Paired Differences
95% Confidence Interval
Mean
Std.
Std. Error
Deviation
Mean
Pair TVA_Sebelum .000633771 .002607999 .000543805
1
-
Sig.
of the Difference
Lower
Upper
(2t
df tailed)
- .001761555 1.165 22
.256
.000494012
TVA_Sesudah
Universitas Sumatera Utara
Daftar Populasi dan Sampel
No.
Kode
Emiten
Nama Perusahaan
2007
1
2
AKRA
ANTM
3
4
BMTR
CPIN
5
6
DAVO
HADE
AKR Corporindo Tbk
Aneka Tambang (Persero)
Tbk
Global Mediacom Tbk
Charoen Pokphand
Indonesia Tbk
Davomas Abadi Tbk
HD Capital Tbk
7
JPRS
Jaya Pari Steel Tbk
8
LPKR
Lippo Karawaci Tbk
9
PWON
Pakuwon Jati Tbk
10
SMGR
11
SOBI
Semen Indonesia (Persero)
Tbk
Sorini Agro Asia
Corporindo Tbk
2008
1
BBCA
Bank Central Asia Tbk
2
BRNA
Berlina Tbk
3
4
DOID
ICON
5
INCO
Delta Dunia Makmur Tbk
Island Concepts Indonesia
Tbk
Vale Indonesia Tbk
6
MIRA
7
PANR
8
PANS
9
PGAS
Mitra International
Resources Tbk
Panorama Sentrawisata
Tbk
Panin Sekuritas Tbk
Perusahaan Gas Negara
(Persero) Tbk
Tanggal
Stock Split
Kriteria
A B C D
27 Juli 2007
12 Juli 2007
√ × √ √
√ √ √ √
24 April 2007
01 November
2007
28 Mei 2007
10 September
2007
12 Desember
2007
26 Desember
2007
19 September
2007
07 Agustus
2007
22 Agustus
2007
√ × √ √
√ × √ √
√ √ √ √
√ × √ √
S
1
2
√ × √ √
√ × √ √
√ × √ √
√ √ √ √
3
√ √ √ √
4
28 Januari
2008
04 Agustus
2008
15 April 2008
10 Desember
2008
15 Januari
2008
30 Mei 2008
√ √ √ √
5
11 Februari
2008
21 Januari
2008
04 Agustus
2008
√ √ × √
√ × √ √
√ × √ √
√ √ √ √
6
√ × √ √
√ √ √ √
7
√ √ × √
√ × √ √
Universitas Sumatera Utara
Daftar Populasi dan Sampel
Kode
Nama Perusahaan
Emiten
TINS
Timah (Persero) Tbk
Tanggal
Stock Split
08 Agustus
2008
Kriteria
A B C D
√ × √ √
S
1
ARNA
Arwana Citramulia Tbk
CTBN
Citra Tubindo Tbk
√ √ √ √
8
2
11 September
2009
07 Januari
2009
1
CPIN
2
3
4
CTRA
DILD
DVLA
KKGI
6
TURI
8 Desember
2010
15 Juni 2010
26 Juli 2010
12 November
2010
18 Maret
2010
17 Juni 2010
√ × √ √
5
Charoen Pokphand
Indonesia Tbk
Ciputra Development Tbk
Intiland Development Tbk
Darya-Varia Laboratoria
Tbk
Resource Alam Indonesia
Tbk
Tunas Ridean Tbk
Astra Otoparts Tbk
Bank Rakyat Indonesia
(Persero) Tbk
Bank Tabungan
Pensiunan Nasional Tbk
Intraco Penta Tbk
Jasuindo Tiga Perkasa
Tbk
PP London Sumatra
Indonesia Tbk
Malindo Feedmill Tbk
Capitalinc Investment Tbk
Metro Realty Tbk
24 Juni 2011
11 Januari
2011
28 Maret
2011
6 Juni 2011
26 Juli 2011
√ × √ √
√ × √ √
No.
10
2009
2010
2011
1
2
AUTO
BBRI
3
BTPN
4
5
INTA
JTPE
6
LSIP
7
8
9
MAIN
MTFN
MTSM
10
11
PBRX
SSIA
Pan Brothers Tbk
Surya Semesta Internusa
Tbk
1
ACES
2
3
ASII
BFIN
Ace Hardware Indonesia
Tbk
Astra International Tbk
BFI Finance Indonesia
Tbk
25 Februari
2011
15 Juni 2011
11 Juli 2011
18 Oktober
2011
15 Juni 2011
7 Juli 2011
2012
1 November
2012
5 Juni 2012
7 Agustus
2012
√ × √ √
√ × √ √
√ × √ √
√ √ × √
√ √ √ √
9
√ √ √ √ 10
√ × √ √
√ √ √ √ 11
√ √ √ √ 12
√ √ √ √ 13
√ √ √ √ 14
√ × √ √
√ √ √ √ 15
√ × √ √
√ × √ √
√ √ × √
√ √ √ √ 16
√ × √ √
Universitas Sumatera Utara
No.
4
5
6
7
8
9
10
11
12
13
14
15
16
1
2
3
Daftar Populasi dan Sampel
Kode
Tanggal
Nama Perusahaan
Emiten
Stock Split
BRNA Berlina Tbk
6 November
2012
DKFT Central Omega
3 Agustus
Resources Tbk
2012
HERO Hero Supermarket Tbk
5 April 2012
IMAS
Indomobil Sukses
7 Juni 2012
Internasional Tbk
KLBF
Kalbe Farma Tbk
8 Oktober
2012
KREN Kresna Graha Sekurindo 7 Agustus
Tbk
2012
MDRN Modern Internasional
3 Juli 2012
Tbk
PNSE
Pudjiadi & Sons Tbk
28 September
2012
POOL Pool Advista Indonesia
3 Januari
Tbk
2012
PTRO
Petrosea Tbk
6 Maret 2012
PWON Pakuwon Jati Tbk
30 Maret
2012
SCMA Surya Citra Media Tbk
29 Oktober
2012
TOTO Surya Toto Indonesia
9 Agustus
Tbk
2012
2013
AMRT Sumber Alfaria Trijaya
29 Juli 2013
Tbk
ARNA Arwana Citramulia Tbk
8 Juli 2013
BATA Sepatu Bata Tbk
4 September
2013
4
JKON
Jaya Konstruksi Manggala
Pratama Tbk
26 September
2013
5
JPFA
6
JRPT
7
MDLN
8
NIPS
Japfa Comfeed Indonesia 19 April 2013
Tbk
Jaya Real Property Tbk
1 Agustus
2013
Modernland Realty Ltd. 13 November
Tbk
2013
Nipress Tbk
25 November
2013
Kriteria
S
A B C D
√ √ √ √ 17
√
×
√
√
√
√
×
×
√
×
√
×
√
√
√
×
√ √
× √
√ √
√ √ 18
√ √
√
×
√
×
√
×
√
√
√
√
× √
√
×
√
×
√
√
√
√
×
√
√
√
√
√
×
√ √
× √
√ √
√ √ 19
√ √
× √
√ √ 20
√ ×
√ √ 21
√
× √
× √
× √
√ √
Universitas Sumatera Utara
No.
9
10
11
Daftar Populasi dan Sampel
Kode
Tanggal
Nama Perusahaan
Emiten
Stock Split
ROTI
Nippon Indosari
29 November
Corpindo Tbk
2013
TLKM Telekomunikasi
28 Agustus
Indonesia (Persero) Tbk 2013
TOWR Sarana Menara
22 Juli 2013
Nusantara Tbk
2014
1
ALMI
2
INAI
3
MLBI
4
TOTO
Alumindo Light Metal
Industry Tbk
Indal Aluminium
Industry Tbk
Multi Bintang Indonesia
Tbk
Surya Toto Indonesia
Tbk
12 Februari
2014
12 Februari
2014
06 November
2014
25 Juli 2014
Kriteria
A B C D
√ × √ √
√
√
√
√
×
√
√
×
√
√
√
×
√
√
√
√
√
√
√
×
S
√ 22
√ 23
√
√
Sumber :Indonesian Capital Makret Directory (ICMD) 2012-2014, www.e-bursa.com
Universitas Sumatera Utara
Lampiran 2
1. PT Aneka Tambang (Persero) (ANTM)
T
Harga
saham
Actual
Return
5
4
3
2
1
0
-1
-2
-3
-4
-5
2700
2575
2600
2600
2650
2650
13250
13250
13700
13600
12900
0.048543689
-0.009615385
0
-0.018867925
0
-0.8
0
-0.032846715
0.007352941
0.054263566
0.048543689
IHSG
2,333.68
2,294.59
2,301.34
2,286.22
2,301.60
2,284.92
2,273.42
2,282.38
2,271.34
2,227.05
2,220.93
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
0.017035723
-0.002933074
0.006613537
-0.006682308
0.007300037
0.005058458
-0.003925727
0.004860567
0.019887295
0.002755602
0.011306407
0.031507966
-0.006682311
-0.006613537
-0.012185617
-0.007300037
-0.805058458
0.003925727
-0.037707282
-0.012534354
0.051507964
0.012503117
39,736,000
20,367,500
15,128,000
8,288,500
27,336,500
92,598,500
22,599,500
14,748,500
35,677,500
27,898,500
15,189,000
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
9,538,459,750
0.004165872
0.002135303
0.001586
0.000868956
0.002865924
0.009707909
0.002369303
0.001546214
0.003740384
0.002924843
0.001592395
2. PT Davomas Abadi Tbk (DAVO)
T
Harga
saham
5
4
3
2
1
0
-1
-2
-3
-4
-5
285
290
280
280
280
290
610
600
580
580
580
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
-0.017241379
0.035714286
0
0
-0.034482759
-0.049180328
0.016666667
0.034482759
0
0
-0.033333333
2,093.11
2,111.75
2,084.32
2,055.40
2,058.74
2,076.76
2,060.43
2,078.60
2,104.25
2,078.75
2,071.27
-0.008826802
0.013160167
0.014070254
-0.001622352
-0.008676978
0.00792553
-0.008741461
-0.012189616
0.012266987
0.003611311
0.003638989
-0.008414577
0.022554118
-0.014070254
0.001622352
-0.025805781
-0.057105858
0.025408127
0.046672375
-0.012266987
-0.003611311
-0.036972322
2,192,500
683,500
285,000
509,500
1,553,000
2,887,000
16,595,000
31,310,000
2,991,000
467,000
372,000
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
12,403,711,320
0.000176762
0.000055104
0.000022977
0.000041076
0.000125204
0.000232753
0.001337906
0.002524244
0.000241138
0.000037650
0.000029991
Universitas Sumatera Utara
3. Semen Indonesia (Persero) Tbk
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
4,800
4,975
4,950
5,000
5,000
5,000
51,200
52,700
52,550
51,500
52,500
-0.035175879
0.005050505
-0.01
0
0
2.572703412
-0.028462998
0.002854424
0.02038835
-0.019047619
0.009615385
2,168.64
2,211.46
2,207.40
2,241.40
2,262.64
2,174.07
2,189.11
2,269.79
2,270.85
2,256.31
2,348.67
-0.019362774
0.001839268
-0.015169091
-0.009387264
0.040739259
-0.006870372
-0.035545139
-0.000466786
0.00644415
-0.039324384
0.020473159
-0.015813105
0.003211237
0.005169091
0.009387264
-0.040739259
2.579573784
0.00708214
0.00332121
0.0139442
0.020276765
-0.010857775
2,720,500
846,000
2,717,000
4,193,000
6,402,000
3,403,000
952,500
212,500
670,000
326,500
307,500
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
5,931,520,000
0.000458651
0.000142628
0.000458061
0.000706901
0.001079319
0.000573715
0.000160583
0.000035826
0.000112956
0.000055045
0.000051842
4. Sorini Agro Asia Corporindo Tbk (SOBI)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
710
720
730
730
730
730
3,600
3,800
3,600
3,600
3,825
-0.013888889
-0.01369863
0
0
0
-0.797222222
-0.052631579
0.055555556
0
-0.058823529
-0.013888889
2,134.88
2,159.61
2,175.35
2,143.11
2,117.66
2,062.99
1,993.01
2,041.58
1,908.64
2,029.08
2,168.64
-0.011451142
-0.007235617
0.015043558
0.012017982
0.026500371
0.035112719
-0.023790398
0.069651689
-0.05935695
-0.064353696
-0.019362774
-0.002437747
-0.006463013
-0.015043558
-0.012017982
-0.026500371
-0.832334941
-0.028841181
-0.014096134
0.05935695
0.005530167
0.025941721
2,567,500
5,107,500
1,278,500
5,040,000
3,318,000
1,090,000
300,000
1,050,500
102,500
1,195,500
1,101,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
900,000,000
0.002852778
0.005675
0.001420556
0.0056
0.003686667
0.001211111
0.000333333
0.001167222
0.000113889
0.001328333
0.001223333
Universitas Sumatera Utara
5. Bank Central Asia Tbk (BBCA)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
3,600
3,550
3,550
3,525
3,575
3,600
7,200
6,900
6,650
6,300
6,600
0.014084507
0
0.007092199
-0.013986014
-0.006944444
-0.5
0.043478261
0.037593985
0.055555556
-0.045454545
-0.043478261
2,701.63
2,646.82
2,627.25
2,610.36
2,607.84
2,582.05
2,620.49
2,516.70
2,476.28
2,294.52
2,485.88
0.020707868
0.007448853
0.006470372
0.000966317
0.009988188
-0.014669012
0.041240513
0.016322871
0.079214825
-0.076978776
-0.047967738
-0.006623361
-0.007448853
0.000621827
-0.014952331
-0.016932632
-0.485330988
0.002237747
0.021271114
-0.023659269
0.031524231
0.004489477
32,062,500
14,136,500
13,455,500
12,656,000
8,631,000
9,246,500
53,166,000
50,500,000
51,248,000
83,696,000
16,572,000
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
24,408,459,120
0.001313581
0.000579164
0.000551264
0.000518509
0.000353607
0.000378824
0.002178179
0.002068955
0.0020996
0.003428975
0.000678945
6. Vale Indonesia Tbk (INCO)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
7,700
8,550
9,400
9,800
9,450
10,050
9,900
9,935
9,600
9,600
9,735
-0.099415205
-0.090425532
-0.040816327
0.037037037
-0.059701493
0.015151515
-0.003522899
0.034895833
0
-0.013867488
0.024197791
2,294.52
2,485.88
2,611.13
2,649.28
2,592.31
2,730.03
2,810.37
2,830.26
2,785.62
2,776.41
2,765.19
-0.076978776
-0.047967738
-0.014400139
0.021976538
-0.050446332
-0.028586983
-0.007027623
0.016025158
0.003317233
0.004057587
0.01846368
-0.022436429
-0.042457794
-0.026416188
0.015060499
-0.00925516
0.043738498
0.003504724
0.018870676
-0.003317233
-0.017925076
0.00573411
30,097,500
19,656,500
8,246,500
14,810,000
20,805,000
20,553,000
6,530,000
7,300,000
4,235,000
4,985,000
6,750,000
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
9,936,338,720
0.003029033
0.001978244
0.000829933
0.001490489
0.00209383
0.002068468
0.000657184
0.000734677
0.000426213
0.000501694
0.000679325
Universitas Sumatera Utara
7. Panorama Sentrawisata Tbk (PANR)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
345
310
300
300
305
310
310
313
293
267
263
0.112903226
0.033333333
0
-0.016393443
-0.016129032
0
-0.009584665
0.068259386
0.097378277
0.015209125
0
2,684.70
2688.19
2675.65
2,610.78
2,592.07
2,589.38
2,639.09
2,704.25
2,701.63
2,646.82
2,627.25
-0.001298271
0.004686712
0.024846981
0.007218169
0.001038859
-0.018836038
-0.024095405
0.000969785
0.020707868
0.007448853
0.006470372
0.114201497
0.028646622
-0.024846981
-0.023611612
-0.017167891
0.018836038
0.014510741
0.067289601
0.076670409
0.007760272
-0.006470372
25,987,000
17,903,000
232,000
1,000,000
1,636,000
7,991,000
1,998,000
41,787,000
28,072,500
525,000
2,010,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
1,200,000,000
0.021655833
0.014919167
0.000193333
0.000833333
0.001363333
0.006659167
0.001665
0.0348225
0.02339375
0.0004375
0.001675
Jumlah
Volume
Beredar
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
1,835,357,744
TVA
8. Arwana Citramulia Tbk (ARNA)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
5
4
3
2
1
0
-1
-2
-3
-4
-5
37
37
38
36
36
38
39
39
40
38
36
0
-0.026315789
0.055555556
0
-0.052631579
-0.025641026
0
-0.025
0.052631579
0.055555556
0
2,468.90
2,456.99
2,439.36
2,420.11
2,382.70
2,415.95
2,411.86
2,383.34
2,371.30
2,340.39
2,322.74
0.004847395
0.007227306
0.007954184
0.015700676
-0.013762702
0.001695787
0.0119664
0.005077384
0.013207201
0.007598784
0.000211002
-0.004847395
-0.033543095
0.047601372
-0.015700676
-0.038868877
-0.027336812
-0.0119664
-0.030077384
0.039424378
0.047956771
-0.000211002
26,396,000
4,298,000
12,866,000
2,930,000
19,404,000
48,952,000
20,652,000
6,188,000
26,148,000
23,004,000
240,000
Universitas Sumatera Utara
0.014381937
0.002341778
0.007010077
0.001596419
0.010572326
0.026671639
0.011252302
0.00337155
0.014246814
0.012533796
0.000130765
9. Resource Alam Indonesia Tbk (KKGI)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
650
580
580
580
580
580
2,300
2,300
2,300
2,200
2,200
0.120689655
0
0
0
0
-0.747826087
0
0
0.045454545
0
0
2,799.15
2,774.85
2,720.86
2,702.40
2,742.97
2,737.24
2,756.26
2,669.61
2,666.51
2,676.52
2,670.22
0.00875723
0.019842991
0.006830965
-0.014790537
0.00209335
-0.006900655
0.032457925
0.001162568
-0.003739931
0.002359356
0.00491124
0.111932425
-0.019842991
-0.006830965
0.014790537
-0.00209335
-0.740925432
-0.032457925
-0.001162568
0.049194476
-0.002359356
-0.00491124
81,500
30,500
30,500
30,500
30,500
30,500
122,000
122,000
122,000
3,000,000
3,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
1,000,000,000
0.000081500
0.000030500
0.000030500
0.000030500
0.000030500
0.000030500
0.000122000
0.000122000
0.000122000
0.003000000
0.003000000
10. Tunas Ridean Tbk (TURI)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
540
560
580
580
600
590
2,350
2,225
2,300
2,275
2,300
-0.035714286
-0.034482759
0
-0.033333333
0.016949153
-0.74893617
2,914.09
2,924.79
2,934.59
2,941.90
2,929.59
2,891.10
2,858.66
2,830.17
2,826.84
2,801.90
2,770.79
-0.003658382
-0.003339478
-0.002484789
0.004201953
0.013313272
0.011347974
0.010066533
0.001177994
0.008901103
0.011227845
-0.005384469
-0.032055903
-0.03114328
0.002484789
-0.037535287
0.003635881
-0.760284144
0.046113242
-0.033786689
0.002087908
-0.02209741
0.005384469
120,713,000
3,805,500
4,859,500
7,481,500
9,161,000
16,638,500
18,924,000
9,116,000
8,502,000
11,440,000
24,164,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
5,580,000,000
0.021633154
0.000681989
0.000870878
0.001340771
0.001641756
0.00298181
0.003391398
0.001633692
0.001523656
0.002050179
0.004330466
0.056179775
-0.032608696
0.010989011
-0.010869565
0
Universitas Sumatera Utara
11. Intraco Penta Tbk (INTA)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaks
i
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
710
730
740
760
770
770
3,850
3,850
3,875
3,875
3,825
-0.02739726
-0.013513514
-0.026315789
-0.012987013
0
-0.8
0
-0.006451613
0
0.013071895
0.006578947
3,748.76
3,787.65
3,806.19
3,825.82
3,842.95
3,834.20
3,844.02
3,837.76
3,836.97
3,826.14
3,832.43
-0.01026758
-0.004871013
-0.005130926
-0.004457513
0.002282093
-0.002554617
0.00163116
0.000205892
0.002830529
-0.001641256
0.004616207
-0.0171296801
-0.0086425008
-0.0211848633
-0.0085294999
-0.0022820927
-0.7974453827
-0.0016311598
-0.0066575045
-0.0028305289
0.0147131518
0.0019627401
17,677,500
13,585,000
24,959,000
22,160,000
15,347,000
22,459,000
17,337,500
27,297,500
45,747,500
56,495,000
51,940,000
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
2,160,029,220
0.0081839171
0.0062892668
0.0115549363
0.0102591205
0.0071049965
0.0103975445
0.0080265118
0.0126375605
0.0211791116
0.0261547388
0.0240459710
12. Jasuindo Tiga Perkasa Tbk (JTPE)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
285
280
280
295
300
305
0.017857143
0
-0.050847458
-0.016666667
-0.016393443
-0.789655172
4,177.85
4,193.44
4,130.80
4,145.83
4,174.11
4,132.78
0.021574854
-0.015164133
-0.047222128
-0.00989157
-0.026393975
-0.800834275
4,818,000
5,412,000
15,739,000
6,249,500
10,224,000
24,721,000
1,769,680,000
1,769,680,000
1,769,680,000
1,769,680,000
1,769,680,000
1,769,680,000
0.002722526
0.00305818
0.008893698
0.003531429
0.005777316
0.013969192
1,450
1,490
1,490
1,490
-0.026845638
0
0
0.006756757
4,087.09
4,106.82
4,068.07
4,050.63
-0.022041434
-0.009525401
-0.004305503
-0.000006146
10,487,500
6,350,000
16,542,500
18,412,500
1,769,680,000
1,769,680,000
1,769,680,000
1,769,680,000
0.005926213
0.003588219
0.009347735
0.010404423
1,480
-0.026315789
4,023.42
-0.003717711
0.015164133
-0.00362533
-0.006775097
0.010000532
0.011179103
0.0048042037
0.0095254015
0.0043055031
0.0067629032
0.0023679819
-0.023947808
11,767,500
1,769,680,000
0.006649507
-2
-3
-4
-5
Universitas Sumatera Utara
13. PP London Sumatra Indonesia Tbk (LSIP)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
2,350
2,275
2,250
2,225
2,150
2,150
10,500
10,800
10,900
11,000
10,950
0.032967033
0.011111111
0.011235955
0.034883721
0
-0.795238095
-0.027777778
-0.009174312
-0.009090909
0.00456621
0.037914692
3,542.90
3,494.54
3,486.20
3,512.62
3,470.35
3,443.53
3,439.13
3,474.12
3,451.10
3,497.64
3,501.50
0.013838731
0.00239229
-0.007521451
0.012180328
0.007788519
0.001279393
-0.010071615
0.006670337
-0.013306115
-0.001102385
0.019543557
0.019128302
0.008718822
0.018757406
0.022703393
-0.007788519
-0.796517489
-0.017706163
-0.015844649
0.004215206
0.005668595
0.018371135
24,748,500
28,791,500
13,142,500
14,399,000
7,579,000
7,681,000
30,577,500
38,205,000
20,865,000
20,882,500
35,457,500
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
6,493,344,465
0.003811364
0.004434002
0.002023996
0.002217501
0.001167195
0.001182904
0.004709053
0.005883717
0.00321329
0.003215985
0.005460591
14. Malindo Feedmill Tbk (MAIN)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
1,020
1,030
1,020
1,020
1,030
1,050
5,350
5,300
5,300
5,350
5,350
-0.009708738
0.009803922
0
-0.009708738
-0.019047619
-0.803738318
0.009433962
0
-0.009345794
0
-0.018348624
3,821.83
3,794.94
3,729.12
3,721.38
3,740.47
3,794.25
3,773.27
3,748.76
3,787.65
3,806.19
3,825.82
0.007085751
0.017650277
0.002079874
-0.005103637
-0.014174079
0.005560164
0.006538162
-0.01026758
-0.004871013
-0.005130926
-0.004457513
-0.016794489
-0.007846355
-0.002079874
-0.004605101
-0.00487354
-0.809298482
0.0028958
0.01026758
-0.004474782
0.005130926
-0.013891111
4,969,500
7,436,000
3,429,500
4,898,000
4,085,500
8,714,500
7,520,000
4,917,500
5,657,500
6,250,000
6,317,500
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
1,695,000,000
0.002931858
0.004387021
0.002023304
0.002889676
0.002410324
0.005141298
0.004436578
0.00290118
0.003337758
0.003687316
0.003727139
Universitas Sumatera Utara
15. Metro Realty Tbk (MTSM)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
710
710
710
750
750
750
3,000.00
3,000.00
3,000.00
3,000.00
3,000.00
0
0
-0.053333333
0
0
-0.75
0
0
0
0
0
3,710.48
3,706.78
3,620.66
3,622.78
3,685.31
3,622.03
3,729.01
3,664.68
3,675.38
3,635.93
3,531.75
0.000998171
0.023785719
-0.000585186
-0.016967365
0.017470866
-0.02868858
0.017554057
-0.002911264
0.010850044
0.029498124
0.023375291
-0.000998171
-0.023785719
-0.052748147
0.016967365
-0.017470866
-0.72131142
-0.017554057
0.002911264
-0.010850044
-0.029498124
-0.023375291
2,000
2,000
2,000
1,500
1,500
1,500
6,000
6,000
6,000
6,000
6,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
232,848,000
0.0000085893
0.0000085893
0.0000085893
0.0000064420
0.0000064420
0.0000064420
0.0000257679
0.0000257679
0.0000257679
0.0000257679
0.0000257679
16. Astra International Tbk (ASII)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
6,650
6,600
6,650
6,800
6,950
6,600
62,400
63,350
64,300
66,000
65,200
0.007575758
-0.007518797
-0.022058824
-0.021582734
0.053030303
-0.894230769
-0.014996054
-0.014774495
-0.025757576
0.012269939
-0.012121212
3,852.58
3,866.21
3,825.33
3,840.60
3,841.33
3,717.88
3,654.58
3,799.77
3,832.82
3,917.92
3,919.06
-0.003525416
0.01068666
-0.003975941
-0.000190038
0.033204407
0.017320732
-0.038210207
-0.008622894
-0.021720709
-0.000290886
0.000094419
0.011101174
-0.018205457
-0.018082882
-0.021392695
0.019825896
-0.911551501
0.023214154
-0.006151601
-0.004036867
0.012560825
-0.012215631
17,595,000
43,667,500
14,550,500
45,218,000
41,969,000
27,014,500
44,140,000
45,595,000
63,410,000
35,245,000
26,780,000
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
40,483,553,140
0.000434621
0.001078648
0.000359418
0.001116947
0.001036693
0.000667296
0.001090319
0.00112626
0.001566315
0.0008706
0.000661503
Universitas Sumatera Utara
17. Berlina Tbk (BRNA)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
670
660
660
640
660
0.015151515
0
0.03125
-0.03030303
-0.029411765
4,332.08
4,318.59
4,333.64
4,327.87
4,350.42
4,314.27
0.003123705
-0.003472831
0.001333219
-0.005183408
0.00837917
0.01202781
0.003472831
0.029916781
-0.025119623
-0.037790934
1,578,000
1,936,500
2,585,000
1,580,500
1,177,500
690,000,000
690,000,000
690,000,000
690,000,000
690,000,000
0.002286957
0.002806522
0.003746377
0.00229058
0.001706522
680
3,450
3,450
3,475
3,425
3,450
-0.802898551
0
-0.007194245
0.01459854
-0.007246377
0.00729927
0.002633083
-0.008285529
0.000814235
-0.003431955
-0.003278651
0.007671938
-0.805531634
0.008285529
-0.008008479
0.018030495
-0.003967726
-0.000372667
1,110,500
3,015,000
1,117,500
1,310,000
3,610,000
2,867,500
690,000,000
690,000,000
690,000,000
690,000,000
690,000,000
690,000,000
0.00160942
0.004369565
0.001619565
0.001898551
0.005231884
0.004155797
-1
-2
-3
-4
-5
4,302.94
4,338.89
4,335.36
4,350.29
4,364.60
18. Kalbe Farma Tbk (KLBF)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
980
970
980
980
960
950
4,800
4,700
4,575
4,575
4,550
0.010309278
-0.010204082
0
0.020833333
0.010526316
-0.802083333
0.021276596
0.027322404
0
0.005494505
-0.031914894
4,313.52
4,311.39
4,284.97
4,280.01
4,280.25
4,268.23
4,311.31
4,271.46
4,251.51
4,256.84
4,236.29
0.000494040
0.006165737
0.001158876
-0.000056071
0.002816156
-0.009992323
0.009329363
0.00469245
-0.001252102
0.004850943
-0.006162963
0.009815238
-0.016369819
-0.001158876
0.020889405
0.00771016
-0.792091011
0.011947233
0.022629954
0.001252102
0.000643563
-0.025751931
20,082,500
24,280,000
28,477,000
63,946,500
32,860,000
37,794,500
48,042,500
50,510,000
30,827,500
51,995,000
107,795,000
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
50,780,072,110
0.0003954799
0.0004781403
0.0005607909
0.0012592834
0.0006471042
0.0007442782
0.0009460896
0.0009946815
0.0006070787
0.0010239253
0.0021227815
Universitas Sumatera Utara
19. Petrosea Tbk (PTRO)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
4,225
4,250
4,400
4,475
4,575
4,625
44,000
44,900
45,000
43,500
43,250
-0.005882353
-0.034090909
-0.016759777
-0.021857923
-0.010810811
-0.894886364
-0.020044543
-0.002222222
0.034482759
0.005780347
0.054878049
4,008.64
3,987.35
3,991.54
3,967.67
3,942.52
3,967.08
3,984.90
4,004.87
3,962.29
3,985.21
3,903.56
0.005339386
-0.00104972
0.006016125
0.006379169
-0.006190952
-0.004471881
-0.004986429
0.010746311
-0.005751265
0.020916804
0.011017814
-0.011221739
-0.033041189
-0.022775902
-0.028237092
-0.004619859
-0.890414482
-0.015058114
-0.012968533
0.040234024
-0.015136457
0.043860235
4,498,500
4,195,000
7,022,000
3,602,500
3,849,500
10,320,000
700,000
2,345,000
2,235,000
1,285,000
1,775,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
1,008,605,000
0.004460121
0.00415921
0.006962091
0.003571765
0.003816658
0.010231954
0.000694028
0.002324993
0.002215932
0.001274037
0.001759856
20. Surya Toto Indonesia Tbk (TOTO)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
7,700
7,700
6,800
6,850
7,350
8,150
68,000
66,000
66,000
65,000
65,000
0
0.132352941
-0.00729927
-0.068027211
-0.098159509
-0.880147059
0.03030303
0
0.015384615
0
0.048387097
4,160.51
4,141.99
4,121.56
4,102.53
4,141.56
4,131.17
4,090.71
4,085.58
4,105.50
4,099.81
4,093.11
0.004471281
0.004956861
0.004638601
-0.009423985
0.002515026
0.009890704
0.001255636
-0.004852028
0.001387869
0.001636897
-0.009042576
-0.004471281
0.12739608
-0.011937871
-0.058603226
-0.100674535
-0.890037762
0.029047395
0.004852028
0.013996746
-0.001636897
0.057429673
3,000
267,000
3,000
26,000
75,000
69,000
40,000
40,000
40,000
110,000
110,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
495,360,000
0.000006056
0.000539002
0.000006056
0.000052487
0.000151405
0.000139293
0.000080749
0.000080749
0.000080749
0.000222061
0.000222061
Universitas Sumatera Utara
21. Sepatu Bata Tbk (BATA)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
1,220
1,200
1,350
1,650
1,320
1,060
85,000
85,000
85,000
85,000
85,000
0.016666667
-0.111111111
-0.181818182
0.25
0.245283019
-0.987529412
0
0
0
0
0
4,349.42
4,358.14
4,191.26
4,072.35
4,050.86
4,073.46
4,164.01
4,101.23
4,195.09
4,103.59
4,026.48
-0.002000854
0.039816189
0.029199357
0.005305046
-0.005548109
-0.021745865
0.015307603
-0.022373775
0.022297549
0.019150722
0.014778822
0.01866752
-0.1509273
-0.211017538
0.244694954
0.250831128
-0.965783547
-0.015307603
0.022373775
-0.022297549
-0.019150722
-0.014778822
504,500
958,500
1,776,500
206,500
266,000
204,500
50,000
50,000
50,000
50,000
50,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
1,300,000,000
0.0003880769
0.0007373077
0.0013665385
0.0001588462
0.0002046154
0.0001573077
0.0000384615
0.0000384615
0.0000384615
0.0000384615
0.0000384615
22. Telekomunikasi Indonesia (Persero) Tbk (TLKM)
T
Harga
saham
Actual
Return
IHSG
Market
Return
Abnormal
Return
Volume
Transaksi
5
4
3
2
1
0
-1
-2
-3
-4
-5
2,100
2,200
-0.045454545
4,073.46
0.023255814
4,164.01
2,150
-0.022727273
2,200
-0.011235955
2,225
Jumlah
Volume
Beredar
TVA
-0.021745865
-0.02370868
106,755,500
90,719,996,760
0.001176758
0.015307603
0.007948211
50,207,000
90,719,996,760
0.000553428
4,101.23
-0.022373775
-0.000353498
63,655,500
90,719,996,760
0.00070167
4,195.09
0.022297549
-0.033533504
109,446,500
90,719,996,760
0.001206421
0.034883721
4,103.59
0.019150722
0.015732999
105,664,500
90,719,996,760
0.001164732
2,150
-0.787128713
4,026.48
0.014778822
-0.801907535
140,114,000
90,719,996,760
0.001544467
10,100
-0.051643192
3,967.84
-0.037088629
-0.014554564
128,692,500
90,719,996,760
0.001418568
10,650
-0.009302326
4,120.67
-0.011789449
0.002487124
81,722,500
90,719,996,760
0.000900821
10,750
0.009389671
4,169.83
-0.000378769
0.00976844
84,685,000
90,719,996,760
0.000933477
10,650
-0.02739726
4,171.41
-0.011151015
-0.016246245
145,652,500
90,719,996,760
0.001605517
10,950
0.052884615
4,218.45
0.010412026
0.042472589
202,245,000
90,719,996,760
0.002229332
Universitas Sumatera Utara
23. Indal Aluminium Industry Tbk (INAI)
T
Harga
saham
Actual Return
IHSG
Market
Return
Abnormal
Return
Volume
Transa
ksi
Jumlah
Volume
Beredar
TVA
5
4
3
2
1
0
-1
-2
-3
-4
-5
290
293
290
304
314
320
290
293
290
304
314
-0.010238908
0.010344828
-0.046052632
-0.031847134
-0.01875
-0.428571429
-0.010238908
0.010344828
-0.046052632
-0.031847134
-0.01875
4,592.65
4,556.19
4,555.37
4,508.04
4,491.66
4,496.29
4,592.65
4,556.19
4,555.37
4,508.04
4,491.66
0.0080023
0.000180007
0.01049902
0.003646759
-0.001029738
0.005838678
0.004367803
-0.003564176
0.009483107
0.009214677
0.00736399
-0.018241208
0.01016482
-0.056551651
-0.035493892
-0.017720262
-0.434410107
-0.115478914
0.089771073
-0.009483107
-0.009214677
-0.00736399
27,100
9,200
114,100
125,500
3,700
23,700
41,000
200
24,200
16,400
29,200
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
316,800,000
0.000085543
0.000029040
0.000360164
0.000396149
0.000011679
0.000074811
0.000129419
0.000000631
0.000076389
0.000051768
0.000092172
Universitas Sumatera Utara
Lampiran 3
Rata-rata Abnormal Return Sebelum dan Sesudah Stock Split
Kode Emiten
ANTM
DAVO
SMGR
SOBI
BBCA
INCO
PANR
ARNA
KKGI
TURI
INTA
JTPE
LSIP
MAIN
MTSM
ASII
BRNA
KLBF
PTRO
TOTO
BATA
TLKM
INAI
Rata-rata Abnormal Return
Sebelum Stock Split
0.003539034
0.003846
0.006753
0.009578
0.007173
0.006867
0.031952
0.009025
0.001661
-0.000460
0.001111
-0.011965
-0.001059
-0.002868
-0.015673
0.002674
0.002793
0.002144
0.008186
0.020738
-0.009832
0.004785
-0.010354
Rata-rata Abnormal
Return Sesudah Stock Split
-0.000254707
-0.004823
-0.007757
-0.012493
-0.009067
-0.017101
0.015444
-0.009072
0.019591
0.002996
-0.011554
-0.015419
0.002731
-0.007240
-0.015607
-0.005351
-0.003499
0.004177
-0.019979
-0.009658
0.030450
-0.006783
-0.023568
Universitas Sumatera Utara
Lampiran 4
Rata-rata Trading Volume Activity(TVA) Sebelum dan Sesudah Stock Split
Kode Emiten
ANTM
DAVO
SMGR
SOBI
BBCA
INCO
PANR
ARNA
KKGI
TURI
INTA
JTPE
LSIP
MAIN
MTSM
ASII
BRNA
KLBF
PTRO
TOTO
BATA
TLKM
INAI
Rata-rata TVA Sebelum
Stock Split
0.002435
0.000834
0.000083
0.000833
0.002091
0.000600
0.012399
0.008307
0.001273
0.002586
0.018409
0.007183
0.004497
0.003618
0.000026
0.001063
0.003455
0.001139
0.001654
0.000137
0.000038
0.001418
0.000070
Rata-rata TVA Sesudah
Stock Split
0.002324
0.000084
0.000569
0.003847
0.000663
0.001884
0.007793
0.007181
0.000041
0.005234
0.008678
0.004797
0.002731
0.002928
0.000322
0.000805
0.002567
0.000668
0.004594
0.000151
0.000571
0.000961
0.000177
Universitas Sumatera Utara
Lampiran 5
Uji Normalitas Kolmogrov Smirnov Rata-rata Abnormal Return
One-Sample Kolmogorov-Smirnov Test
AR_Sebelum
N
AR_Sesudah
23
23
.00307024
-.00451459
.010212801
.012815454
Absolute
.175
.164
Positive
.175
.164
Negative
-.126
-.076
Kolmogorov-Smirnov Z
.839
.787
Asymp. Sig. (2-tailed)
.482
.566
Normal Parameters
a,,b
Mean
Std. Deviation
Most Extreme Differences
a. Test distribution is Normal.
b. Calculated from data.
Uji Normalitas Kolmogrov Smirnov Rata-rata Trading Volume Activity
(TVA)
One-Sample Kolmogorov-Smirnov Test
TVA_Sebelum
N
Normal Parameters
a,,b
23
23
.00322380
.00259002
.004507517
.002649804
Absolute
.252
.209
Positive
.252
.209
Negative
-.239
-.168
1.208
1.002
.108
.268
Mean
Std. Deviation
Most Extreme Differences
Kolmogorov-Smirnov Z
Asymp. Sig. (2-tailed)
TVA_Sesudah
a. Test distribution is Normal.
b. Calculated from data.
Universitas Sumatera Utara
Lampiran 6
Uji Paired Sample T-Test Rata-rata Abnormal Return
Paired Samples Statistics
Mean
Pair 1
N
Std. Deviation
Std. Error Mean
AR_Sebelum
.00307024
23
.010212801
.002129516
AR_Sesudah
-.00451459
23
.012815454
.002672207
Paired Samples Correlations
N
Pair 1
Correlation
AR_Sebelum & AR_Sesudah
23
Sig.
.123
.575
Paired Samples Test
Paired Differences
95% Confidence Interval
Mean
Std.
Std. Error
Deviation
Mean
Sig.
of the Difference
Lower
Upper
(2t
df tailed)
Pair AR_Sebelum .007584831 .015371038 .003205083 .000937895 .014231766 2.367 22
1
.027
AR_Sesudah
Universitas Sumatera Utara
Lampiran 7
Uji Paired Sample T-Test Rata-rata Trading Volume Activity (TVA)
Paired Samples Statistics
Mean
Pair 1
N
Std. Deviation
Std. Error Mean
TVA_Sebelum
.00322380
23
.004507517
.000939882
TVA_Sesudah
.00259002
23
.002649804
.000552522
Paired Samples Correlations
N
Pair 1
TVA_Sebelum & TVA_Sesudah
Correlation
23
Sig.
.860
.000
Paired Samples Test
Paired Differences
95% Confidence Interval
Mean
Std.
Std. Error
Deviation
Mean
Pair TVA_Sebelum .000633771 .002607999 .000543805
1
-
Sig.
of the Difference
Lower
Upper
(2t
df tailed)
- .001761555 1.165 22
.256
.000494012
TVA_Sesudah
Universitas Sumatera Utara