Sumber :data yang diolah 2006

  Perpustakaan Unika Lampiran 1 Daftar frekwensi perdagangan saham

  No. Kode Tanggal t-2 t-1 t+1 t+2

  1 IGAR 16-Aug-1999 62 378 23897 2525

  2 EKAD 6-Sep-1999

  10 73 6342 2571

  3 KLBF 17-Sep-1999 1464 10495 25048 12927

  4 FASW 20-Sep-1999 66 2195 14450 22504

  5 DNKS 20-Sep-1999 548 10370 16561 6390

  6 SSTM 27-Sep-1999 174 2495 4628 5499

  7 BUDI 28-Sep-1999 233 163 10334 16175

  8 KKGI 29-Sep-1999 29 396 10334 895

  9 SUDI 10-Oct-1999 12640 6244 2057 776

  10 DSUC 21-Oct-1999

  24 73 6210 1537

  11 MTDL 9-Dec-1999 1649 8951 53801 3328

  12 FAST 5-Mar-2000

  61

  29

  5

  12

  13 TIRT 15-May-2000 1079 557 1109 1109

  14 UNTR 5-Sep-2000 8691 3367 8124 16373

  15 INDF 8-Oct-2000 41787 38942 27649 18661

  16 TRST 9-Oct-2000 4952 12954 1071 1554

  17 INTP 6-Nov-2000 567 260 1071 308

  18 UNVR 6-Nov-2000 327 387 4832 2169

  19 ESTI 11-Dec-2000 1740 890 717 1603

  20 SUBA 8-Jan-2001 38844 4254 6581 3722

  21 TURI 6-Jul-2001 454 5091 635 9476

  22 SMPL 31-Jul-2001 6286 3779 1075 232

  23 SRSN 6-Aug-2001 23 3795 4923 3100

  24 ULTJ 29-Aug-2001 5569 13661 260 766

  25 SIMM 30-Aug-2001 310 267 673 456

  26 SDPC 3-Sep-2001

  5

  13 7 357

  27 GGRM 24-Sep-2001 28050 37272 22709 41897

  28 HMSP 24-Sep-2001 28592 25272 19407 29188

  29 ASGR 26-Oct-2001 19275 33065 7102 14376

  30 TBLA 29-Oct-2001 305 2847 1043 1298

  31 STTP 12-Nov-2001 45 323 1043 956

  32 ACAP 7-Jan-2002

  79 34 116 3428

  33 VOKS 19-Mar-2002 25 173

  84

  18

  37 CPIN 15-Jan-2003 502 625 1789 2844

  21 TURI 6-Jul-2001 257 71 -2.61972

  35 6 -4.83333

  13 TIRT 15-May-2000

  9 22 0.590909

  14 UNTR 5-Sep-2000 490 793 0.382093

  15 INDF 8-Oct-2000 1898 1898

  16 TRST 9-Oct-2000 119 156 0.237179

  17 INTP 6-Nov-2000

  42 73 0.424658

  18 UNVR 6-Nov-2000 835 1019 0.180569

  19 ESTI 11-Dec-2000 86 116 0.258621

  20 SUBA 8-Jan-2001 2.9 -1.4 3.071429

  22 SMPL 31-Jul-2001

  0.25

  10 13 0.230769

  23 SRSN 6-Aug-2001

  19

  20

  0.05

  24 ULTJ 29-Aug-2001

  28 38 0.263158

  25 SIMM 30-Aug-2001

  11 13 0.153846

  26 SDPC 3-Sep-2001 5 -4

  2.25

  27 GGRM 24-Sep-2001 1720 2442 0.295659

  12 FAST 5-Mar-2000

  68

  38 HMSP 8-Jul-2003

  4 FASW 20-Sep-1999

  11 28 361 237

  39 MRAT 2-Sep-2003 557 956 1605 3667

  40 BLTA 20-Oct-2003 1575 738 2599 1613

  Sumber :data yang diolah 2006 Lampiran 2 Daftar perubahan Earning yang diproksikan dengan operating income t-1 t0 Perubahan to No. Kode Tanggal

  (dalam milliyar rupiah)

  1 IGAR 16-Aug-1999

  30 42 0.285714

  2 EKAD 6-Sep-1999

  7

  10

  0.3

  3 KLBF 17-Sep-1999 172 228 0.245614

  72 89 0.191011

  51

  5 DNKS 20-Sep-1999

  65 65 0.015152

  6 SSTM 27-Sep-1999

  40 59 0.322034

  7 BUDI 28-Sep-1999 94 135 0.303704

  8 KKGI 29-Sep-1999

  25 30 0.166667

  9 SUDI 10-Oct-1999

  62 74 0.162162

  10 DSUC 21-Oct-1999 135 150

  0.1

  11 MTDL 9-Dec-1999

  Perpustakaan Unika

  31 STTP 12-Nov-2001

  28

  62

  35

  42

  29

  17 INTP Intraco Penta 6-Nov-2000

  16 TRST Trias Santosa 9-Oct-2000 59 119 40 101

  15 UNDF Indofood Sukses Makmur 8-Oct-2000 1240 1898 566 1034

  14 UNTR United Tractor 5-Sep-2000 183 490 940 553

  38

  28

  9

  13 TIRT Tirta Mahakam Polywood Industry 15-May-2000

  19 ESTI Evershine Textile Industry 11-Dec-2000

  28

  16

  35

  24

  12 FAST Fast Food Indonesia 5-Mar-2000

  23

  17

  51

  34

  11 MTDL Metrodata Electronics 9-Dec-1999

  53

  26

  18 UNVR Unilever Indonesia 6-Nov-2000 536 835 361 706

  51

  8

  19

  4

  11

  5

  25 SIMM Surya Intrindo Makmur 30-Aug-2001

  13

  56

  28

  11

  24 ULTJ Ultrajaya Milk Industri 29-Aug-2001

  43

  22

  9

  86

  23 SRSN Surasa Nugraha 6-Aug-2001

  18

  10

  4

  22 SMPL Sumitplast Interbenua 31-Jul-2001

  20

  54

  21 TURI Tunas Ridean 6-Jul-2001 24 257

  1

  20 SUBA Suba Indah 8-Jan-2001 -4 2.9 -4

  86

  25

  10 DSUC Surya Dumai Industry 21-Oct-1999 88 135

  8

  35 41 0.146341

  27 2 -12.5

  2 EKAD Ekadharma Tape Industry 6-Sep-1999

  12

  47

  30

  14

  1 IGAR Kageo Igar Jaya 16-Aug-1999

  (dalam milliyar rupiah)

  t-2 t-1 t+1 t+2 No Kode Nama Emiten Tanggal

  Operating income

  Sumber :data yang diolah 2006 Lampiran 3 Daftar operating income t-2,t-1,t1 dan t2

  40 BLTA 20-Oct-2003 144 203 0.29064

  39 MRAT 2-Sep-2003

  7

  26 44 0.409091

  38 HMSP 8-Jul-2003

  37 CPIN 15-Jan-2003 239 3 -78.6667

  26 2 -12

  36 PBRX 10-Jan-2003

  16 26 0.384615

  35 HEXA 29-Jul-2002

  3

  34 FMII 2-Jul-2002 6 -3

  33 VOKS 19-Mar-2002 -8 3 3.666667

  20 4 -4

  32 ACAP 7-Jan-2002

  7

  12

  62

  40

  40

  9 SUDI Daya Sakti Unggul Corporation 10-Oct-1999

  52

  40

  25

  25

  8 KKGI Kurnia Kapuas Utama Glue Industri 29-Sep-1999

  12

  7 BUDI Budi Acid Jaya 28-Sep-1999 94 94 142

  81

  69

  40

  6 SSTM Sunson Textile Manufacture 27-Sep-1999

  3

  39

  82

  65

  45

  5 DNKS Dankos Laboratoris 20-Sep-1999

  15

  92

  72

  56

  4 FASW Fajar Surya Wisesa 20-Sep-1999

  91

  3 KLBF Kalbe Farma 17-Sep-1999 153 172 262

  5 Perpustakaan Unika

  29 ASGR Astra Graphia 26-Oct-2001

  Sumber :data yang diolah 2006 Lampiran 4

  4. FASW 20-Sep-1999 1875 625 -0.6667 547017 543333 -0.0067 -0.6599

  3. KLBF 17-Sep-1999 3000 575 -0.8083 517542 515067 -0.0048 -0.8036

  2. EKAD 6-Sep-1999 1400 875 -0.3750 565196 540420 -0.0438 -0.3312

  1. IGAR 16-Aug-1999 3500 225 -0.9357 557709 560481 0.0050 -0.9407

  IHSG T0 Return market SREET

  Daftar Closing price dan IHSG No. Kode Tanggal t-1 t-0 Return saham

  40 BLTA Berlian Laju Tanker 20-Oct-2003 49 144 75 136

  6. SSTM 27-Sep-1999 575 115 -0.8000 517542 515067 -0.0048 -0.7952

  9

  6

  27

  27

  39 MRAT Mustika Ratu 2-Sep-2003

  90

  5. DNKS 20-Sep-1999 2600 525 -0.7981 547017 543333 -0.0067 -0.7913

  7. BUDI 28-Sep-1999 2800 750 -0.7321 515067 579222 0.1246 -0.8567

  26

  17. INTP 6-Nov-2000 1550 1575 0.0161 409834 415267 0.0133 0.0029

  Perpustakaan Unika

  22. SMPL 31-Jul-2001 1650 365 -0.7788 449191 444081 -0.0114 -0.7674

  21. TURI 6-Jul-2001 1650 310 -0.8121 431005 432878 0.0043 -0.8165

  20. SUBA 8-Jan-2001 200 90 -0.5500 418820 415726 -0.0074 -0.5426

  19. ESTI 11-Dec-2000 1150 250 -0.7826 431808 421473 -0.0239 -0.7587

  18. UNVR 6-Nov-2000 148000 14000 -0.9054 409834 415267 0.0133 -0.9187

  16. TRST 9-Oct-2000 535 105 -0.8037 421996 415364 -0.0157 -0.7880

  8. KKGI 29-Sep-1999 1225 600 -0.5102 529222 526469 -0.0052 -0.5050

  15. INDF 8-Oct-2000 4025 850 -0.7888 415523 421336 0.0140 -0.8028

  14. UNTR 5-Sep-2000 1970 490 -0.7513 475356 476422 0.0022 -0.7535

  13. TIRT 15-May-2000 2000 450 -0.7750 526877 516430 -0.0198 -0.7552

  12. FAST 5-Mar-2000 9500 950 -0.9000 429904 431435 0.0036 -0.9036

  11. MTDL 9-Dec-1999 7550 825 -0.8907 620977 631553 0.0170 -0.9078

  10. SUDI 21-Oct-1999 2800 600 -0.7857 584425 616490 0.0549 -0.8406

  9. DSUC 10-Oct-1999 1525 700 -0.5410 567918 553213 -0.0259 -0.5151

  42

  26

  40

  24

  32 ACAP Andhi Candra Automotive Product 7-Jan-2002

  24

  8

  35

  21

  31 STTP Siantar Top 12-Nov-2001

  11

  20

  40

  34

  30 TBLA Tunas Baru Lampung 29-Oct-2001

  13

  13

  66

  17

  8

  38 HMSP Selamat Samporna 8-Jul-2003

  18

  94

  94

  37 CPIN Chareon Pokhpit Indonesia 15-Jan-2003 223 239

  8

  8

  26

  36 PBRX Pan Brothers 10-Jan-2003

  13

  50

  33

  16

  8

  35 HEXA Hexindo Adiperkasa 29-Jul-2002

  34 FMII Fortune Mate Indonesia 2-Jul-2002 5 6 -41 -12

  33 VOKS Voksel Electronics 19-Mar-2002 -5 -8 -1 -4

IHSG T-1

  26. SDPC 3-Sep-2001 750 750 0.0000 435552 43772 -0.8995 0.8995

  27. GGRM 24-Sep-2001 10650 10500 -0.0141 414427 410394 -0.0097 -0.0044

  28. HMSP 24-Sep-2001 17300 3300 -0.8092 414427 410394 -0.0097 -0.7995

  29. ASGR 26-Oct-2001 4100 410 -0.9000 482653 486907 0.0088 -0.9088

  30. TBLA 29-Oct-2001 1175 295 -0.7489 387822 384328 -0.0090 -0.7399

  31. STTP 12-Nov-2001 1450 270 -0.8138 375074 377828 0.0073 -0.8211

  32. ACAP 7-Jan-2002 1875 345 -0.8160 385201 388724 0.0091 -0.8251

  33. VOKS 19-Mar-2002 390 195 -0.5000 469676 471643 0.0042 -0.5042

  34. FMII 2-Jul-2002 1050 200 -0.8095 492266 483780 -0.0172 -0.7923

  35. HEXA 29-Jul-2002 1150 625 -0.4565 441875 455086 0.0299 -0.4864

  36. PBRX 10-Jan-2003 1825 365 -0.8000 406392 420326 0.0343 -0.8343

  37. CPIN 15-Jan-2003 370 340 -0.0811 453674 453634 -0.0001 -0.0810

  38. SMSM 8-Jul-2003 1750 325 -0.8143 511378 518530 0.0140 -0.8283

  39. MRAT 2-Sep-2003 500 445 -0.1100 534337 538939 0.0086 -0.1186

  40 BLTA 20-Oct-2003 650 700 0.0769 649646 652759 0.0048 0.0721

  Sumber :data yang diolah 2006 Perpustakaan Unika

  Perpustakaan Unika Output SPSS NPar Tests

  Descriptive Statistics N Mean Std. Minimum Maximum Percentiles

  Deviation 25th 50th 75th

  (Median) OP_2 40 116.7500 249.41580 -5.00 1240.00 11.7500 28.5000 58.2500 OP_1 40 203.9475 450.21739 -8.00 1898.00 19.2500 42.0000 113.2500

  OP1 40 231.4750 676.82399 -31.00 3390.00 8.7500 30.5000 80.2500 OP2 40 126.7500 253.35753 -12.00 1034.00 12.0000 26.0000 89.0000

  One-Sample Kolmogorov-Smirnov Test OP_2 OP_1 OP1 OP2

  N

  40

  40

  40

  40 Normal Mean 116.7500 203.9475 231.4750 126.7500 Parameters

  Std. Deviation 249.41580 450.21738 676.82397 253.35753 Most Extreme Absolute .367 .386 .405 .390

  Differences Positive .367 .386 .405 .390

  Negative -.313 -.319 -.349 -.292 Kolmogorov- 2.318 2.440 2.564 2.470

  Smirnov Z Asymp. Sig. .000 .000 .000 .000

  (2-tailed) a Test distribution is Normal. b Calculated from data.

  NPar Tests

  Descriptive Statistics N Mean Std. Minimum Maximum

  Deviation OP_2 40 116.7500 249.41580 -5.00 1240.00 OP_1 40 203.9475 450.21739 -8.00 1898.00

  OP1 40 231.4750 676.82399 -31.00 3390.00 OP2 40 126.7500 253.35753 -12.00 1034.00

  Perpustakaan Unika Wilcoxon Signed Ranks Test

  Ranks N Mean Sum of

  Rank Ranks OP1 - Negative

  18 17.92 322.50 OP_2 Ranks

  Positive

  20 20.92 418.50 Ranks

  Ties

  2 Total

  40 OP2 - Negative

  19 18.84 358.00 OP_2 Ranks

  Positive

  20 21.10 422.00 Ranks

  Ties

  1 Total

  40 OP1 - Negative

  22 22.32 491.00 OP_1 Ranks

  Positive

  18 18.28 329.00 Ranks

  Ties Total

  40 OP2 - Negative

  28 20.64 578.00 OP_1 Ranks

  Positive

  11 18.36 202.00 Ranks

  Ties

  1 Total

  40 a OP1 < OP_2 b OP1 > OP_2 c OP_2 = OP1 d OP2 < OP_2 e OP2 > OP_2 f OP_2 = OP2 g OP1 < OP_1 h OP1 > OP_1 i OP_1 = OP1 j OP2 < OP_1 k OP2 > OP_1 l OP_1 = OP2 Test Statistics

  OP1 - OP2 - OP1 - OP2 - OP_2 OP_2 OP_1 OP_1

  Z -.696 -.447 -1.089 -2.624 Asymp. .486 .655 .276 .009

  Sig. (2- tailed) a Based on negative ranks. b Based on positive ranks.

  NPar Tests

  Descriptive Statistics N Mean Std.

  8 Most Extreme

  Difference s Absolute .367 .288 .251 .306

  Positive .367 .288 .233 .306 Negative -.313 -.283 -.251 -.250

  Kolmogoro v-Smirnov Z

  2.319 1.821 1.586 1.938 Asymp. Sig. (2- tailed)

  .000 .003 .013 .001 a Test distribution is Normal. b Calculated from data.

  NPar Tests

  Deviation Minimum Maximum

  58 10900.796

  FREKW_2 40 5224.8250 10725.954

  67 5.00 41787.00

  FREKW_1 40 5871.7500 10207.892

  95 13.00 38942.00

  FREKW1 40 7330.3750 10900.796

  79 5.00 53801.00

  FREKW2 40 6188.4500 9140.5967

  1 12.00 41897.00

  88 9140.5966

  08 10207.892

  Descriptive Statistics N Mean Std.

  79 5.00 53801.00 684.0000 2022.0000 9781.5000

  Deviation Minimum Maximum Percentiles

  25th 50th (Median)

  75th FREKW_2 40 5224.8250 10725.954

  67 5.00 41787.00 63.0000 478.0000 4224.5000

  FREKW_1 40 5871.7500 10207.892

  95 13.00 38942.00 261.7500 940.0000 5955.7500

  FREKW1 40 7330.3750 10900.796

  FREKW2 40 6188.4500 9140.5967

  10725.955

  1 12.00 41897.00 768.5000 2347.0000 8704.5000

  One-Sample Kolmogorov-Smirnov Test FREKW_2 FREKW_1 FREKW1 FREKW2

  N

  40

  40

  40

  40 Normal Parameter s

  Mean 5224.8252 5871.7500 7330.3750 6188.4502 Std. Deviation

  Perpustakaan Unika

  Perpustakaan Unika Wilcoxon Signed Ranks Test

  Ranks N Mean Sum of

  Rank Ranks FREKW1 - Negative

  13 23.77 309.00 FREKW_2 Ranks

  Positive

  27 18.93 511.00 Ranks

  Ties Total

  40 FREKW2 - Negative

  13 20.15 262.00 FREKW_2 Ranks

  Positive

  27 20.67 558.00 Ranks

  Ties Total

  40 FREKW1 - Negative

  15 21.00 315.00 FREKW_1 Ranks

  Positive

  25 20.20 505.00 Ranks

  Ties Total

  40 FREKW2 - Negative

  15 22.27 334.00 FREKW_1 Ranks

  Positive

  25 19.44 486.00 Ranks

  Ties Total

  40 a FREKW1 < FREKW_2 b FREKW1 > FREKW_2 c FREKW_2 = FREKW1 d FREKW2 < FREKW_2 e FREKW2 > FREKW_2 f FREKW_2 = FREKW2 g FREKW1 < FREKW_1 h FREKW1 > FREKW_1 i FREKW_1 = FREKW1 j FREKW2 < FREKW_1 k FREKW2 > FREKW_1 l FREKW_1 = FREKW2 Test Statistics

  FREKW1 - FREKW2 - FREKW1 - FREKW2 - FREKW_2 FREKW_2 FREKW_1 FREKW_1

  Z -1.358 -1.989 -1.277 -1.022 Asymp. .175 .047 .202 .307

  Sig. (2- tailed) a Based on negative ranks. b Wilcoxon Signed Ranks Test

  Regression Descriptives

  Descriptive Statistics N Minimum Maximum Mean Std.

  Deviation DOP0 31 -78.67 3.07 -2.8676 14.31650

  SREET 31 -.94 -.56 -.8031 .08258 Valid N

  Perpustakaan Unika

31 Explore

  Valid Missing Total N Percent N Percent N Percent

  Unstandardized Residual

  (listwise)

  2 18 -.19476

  1 1 -.21666

  5 14 -.02936 Lowest

  4 30 -.01601

  3 37 .02343

  2 4 .06405

  1 20 .16244

  Highest

  Extreme Values Case Number Value

  Unstandar dized Residual 31 77.5%

  Skewness .838 .421 Kurtosis 2.114 .821

  Range .37909 Interquartile Range .0791558

  Case Processing Summary Cases

  Variance .006 Std. Deviation .07868078

  5% Trimmed Mean -.0867843 Median -.0790425

  Lower Bound -.1110344 Upper Bound -.0533137

  9 95% Confidence Interval for Mean

  Mean -.0821740 .0141314

  Statistic Std. Error Unstandardize d Residual

  9 22.5% 40 100.0% Descriptives

  Minimum -.21666 Maximum .16244

  Perpustakaan Unika

  Tests of Normality Kolmogoro Shapiro- v-Smirnov Wilk

  Statistic df Sig. Statistic df Sig. Unstandar .151 31 .071 .930 31 .043 dized

  Residual a Lilliefors Significance Correction

  Unstandardized Residual Histogram

  10

  8

  6

  4 cy

  2 Std. Dev = .08 Mean = -.082 requen

  N = 31.00 F

• .225 -.175 -.125 -.075 -.025 .025 .075 .125
• .200 -.150 -.100 -.050 .000 .050 .100 .150

  Unstandardized Residual Unstandardized Residual Stem-and-Leaf Plot Frequency Stem & Leaf 1.00 -2 . 1 5.00 -1 . 78889 5.00 -1 . 00123 12.00 -0 . 666677777899 5.00 -0 . 12334 1.00 0 . 2

  2.00 Extremes (>=.06) Stem width: .10000 Each leaf: 1 case(s)

  Perpustakaan Unika Normal Q-Q Plot of Unstandardized Residual

  2

  1 al m or

• 1

  ted N pec x

• 2

  E

• .3 -.2 -.1 -.0 .1 .2

  Observed Value

  Detrended Normal Q-Q Plot of Unstandardized R

  1.5

  1.0 .5 l rma o

  0.0 m N ro v f e

• .5

  D

• .2 -.1 0.0 .1 .2

  Observed Value

  Perpustakaan Unika .2 ₂₀ .1 ₄

• .0
• .1
• .2
• .3 _{N =}
₃₁ Unstandardized Resid

  Regression

  Variables Entered/Removed Model Variables Variables Method

  Entered Removed

  1 DOP0 . Enter a All requested variables entered. b Dependent Variable: SREET Model Summary

  Model R R Square Adjusted R Std. Error Square of the

  Estimate 1 .352 .124 .094 .07861 a Predictors: (Constant), DOP0 b Dependent Variable: SREET

  ANOVA Model Sum of df Mean F Sig.

  Squares Square

  1 Regressio .025 1 .025 4.113 .052 n Residual .179 29 .006

  Total .205

  30 a Predictors: (Constant), DOP0 b Dependent Variable: SREET

  Perpustakaan Unika

  Coefficients Unstandar Standardiz t Sig. dized ed

  Coefficient Coefficient s s Model B Std. Error Beta 1 (Constant) -.809 .014 -56.143 .000

  DOP0 -2.033E-03 .001 -.352 -2.028 .052 a Dependent Variable: SREET Casewise Diagnostics

  Case Std. SREET Number Residual 20 3.190 -.56 a Dependent Variable: SREET Residuals Statistics

  Minimum Maximum Mean Std. N Deviation

  Predicted -.8151 -.6490 -.8031 .02911

  31 Value Std. -.415 5.295 .000 1.000

  31 Predicted Value

  Standard .01412 .07728 .01660 .01127

  31 Error of Predicted

  Value Adjusted -1.4450 -.7821 -.8287 .11459

  31 Predicted Value

  Residual -.1312 .2507 .0000 .07728

  31 Std. -1.669 3.190 .000 .983

  31 Residual Stud. -1.699 3.252 .050 1.057

  31 Residual Deleted -.1358 .8235 .0257 .16827

  31 Residual Stud. -1.759 4.009 .076 1.156

  31 Deleted Residual

  Mahal. .000 28.032 .968 5.023

  31 Distance Cook's .000 53.047 1.729 9.524

  31 Distance Centered .000 .934 .032 .167

  31 Leverage Value a Dependent Variable: SREET

  Perpustakaan Unika Charts

  Normal P-P Plot of Regression Standa Dependent Variable: SREET 1.00 .75

  .50 rob m P u

  .25 ted C pec x

  0.00 E 0.00 .25 .50 .75

  1.00 Observed Cum Prob Scatterplot Dependent Variable: SREET

  4

  3 idual es

  2 ed R iz

  1 tudent on S ssi

• 1

  e egr

• 2

  R

• 1

  1

  2

  3

  4

  5

  6 Regression Standardized Predicted Value