Pengaruh Hari Perdagangan Terhadap Return Saham LQ-45 di Bursa Efek Indonesia

Lampiran 1
Return Saham Rata-rata LQ-45 Periode Februari 2012 - Juli 2012
Hari Perdagangan
No

Kode Efek
Senin

Selasa

Rabu

Kamis

Jumat

1

AALI

-0,0010519934


-0,0018047685

0,0036215804

0,0009845510

-0,0005761887

2
3
4
5
6
7
8
9
10
11
12

13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

ADRO

AKRA
ASII
ASRI
BBCA
BBNI
BBRI
BDMN
BMRI
BMTR
BSDE
CPIN
EXCL
GGRM
HRUM
ICBP
INDF
INTP
ITMG
JSMR
KLBF

LPKR
LSIP
MNCN
PGAS
PTBA
PWON
SMGR
TLKM

-0,0017244484
0,0022693769
-0,0004878932
0,0005537225
-0,0020304398
-0,0001345970
0,0013629436
0,0026074238
-0,0011534646
-0,0010881629
0,0001685878

0,0015836353
-0,0016909675
0,0005936730
-0,0011984368
0,0004167457
-0,0206954961
0,0018106112
-0,0023394825
-0,0005734916
-0,0001031208
0,0012437492
-0,0003307572
-0,0017410511
0,0013146102
0,0140727787
0,0002947798
0,0023831240
-0,0009243631

-0,0010423640

0,0003591964
-0,0011339387
-0,0002711606
0,0015064297
-0,0006582892
0,0006983145
0,0023670283
-0,0007403551
-0,0018001228
0,0020978412
-0,0008674038
-0,0027501786
0,0003176023
-0,0037426308
-0,0008515215
0,0001952762
0,0003014776
-0,0015325819
-0,0003909998
-0,0008932818

-0,0016447346
-0,0046179317
-0,0000530642
-0,0008182446
0,0109060275
0,0025815900
-0,0015285069
-0,0005508182

0,0023461408
-0,0240890707
0,0023648751
0,0002194187
-0,0001952112
0,0005088975
0,0035498846
-0,0016298851
0,0042916358
0,0029576119
0,0005729696

-0,0004686879
0,0017909073
0,0028665244
0,0018770705
0,0037806604
0,0015070012
0,0009944567
0,0000426059
0,0055046611
0,0001830913
0,0003931830
0,0039538938
0,0042398198
0,0002206652
0,0130902061
0,0047169437
0,0003245045
0,0019980800

-0,0002922569

-0,0005914210
-0,0006456472
-0,0003834266
0,0015134517
0,0014977192
-0,0001023219
0,0001507827
-0,0002358531
0,0000460771
-0,0007589032
0,0014154371
0,0009681220
0,0022803708
-0,0030195659
0,0000263039
0,0024114411
0,0017599972
0,0000050818
0,0012974018
0,0025694967

-0,0006204763
0,0005987706
-0,0011910338
-0,0001683120
0,0151476993
-0,0007768429
-0,0008345807
0,0002294329

-0,0014315612
-0,0001875454
0,0014719738
0,0007615481
0,0016802612
0,0025919784
0,0040250879
0,0019231755
0,0030708265
0,0020625335
0,0017308560

-0,0194364627
0,0011860180
0,0015007317
-0,0015965544
0,0025161955
0,0030627395
0,0035724051
-0,0000030361
0,0045726147
0,0024855805
0,0028660444
0,0003626595
0,0012660445
0,0030065806
0,0136539760
0,0040778993
0,0027861901
0,0033040275

31

UNTR

-0,0018071378

0,0023794353

-0,0000943724

0,0004078824

0,0027785787

32

UNVR

0,1908706477

-0,0005840411

0,0014919544

0,0011239694

0,0023633422

33

WIKA

0,0036637457

-0,0008226165

0,0025149441

0,0011501703

0,0058630566

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Lampiran 2
Tabel Statistik Deskriptif
Descriptive Statistics
N

Minimum

Maximum

Mean

Std. Deviation

SENIN

50

-,01680

,27871

,0062527

,04002074

SELASA

49

-,01625

,01835

-,0001633

,00580300

RABU

48

-,00735

,01717

,0020006

,00449792

KAMIS

47

-,02688

,01403

,0007872

,00658836

JUMAT

48

-,01022

,03772

,0023715

,00718219

Valid N (listwise)

47

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Lampiran 3
Uji Normalitas

Sebelum Transformasi
One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N

242

Normal Parameters

a,b

Mean

,0000000

Std. Deviation

Most Extreme Differences

,01883203

Absolute

,297

Positive

,297

Negative

-,275

Kolmogorov-Smirnov Z

4,624

Asymp. Sig. (2-tailed)

,000

a. Test distribution is Normal.
b. Calculated from data.

Setelah transformasi
One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N
Normal Parameters

182
a,b

Most Extreme Differences

Kolmogorov-Smirnov Z
Asymp. Sig. (2-tailed)

Mean
Std. Deviation

,0000000
1,67616218

Absolute

,076

Positive

,076

Negative

-,060
1,030
,239

a. Test distribution is Normal.
b. Calculated from data.

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Gambar Histogram sebelum Transformasi

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Gambar Histogram setelah Transformasi

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Grafik Normal P-Plot sebelum Transformasi

Grafik Normal P-Plot setelahTransformasi

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Lampiran 4
Uji Heteroskedastisitas

Coefficients
Model

Unstandardized Coefficients

a,b

Standardized

t

Sig.

Coefficients
B

1

Std. Error

Beta

DSEN

,065

,321

,015

,202

,840

DSEL

-,231

,346

-,050

-,669

,504

DRAB

,159

,317

,038

,501

,617

DKAM

-,068

,317

-,016

-,214

,831

DJUM

,032

,321

,007

,098

,922

a. Dependent Variable: Lnei2
b. Linear Regression through the Origin

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Lampiran 5
Uji Multikolonieritas
Coefficients
Model

Unstandardized Coefficients

a,b

Standardized

t

Sig.

Collinearity Statistics

Coefficients
B

1

Std. Error

Beta

Tolerance

VIF

DSEN

-6,839

,279

-,429

-24,544

,000

1,000

1,000

DSEL

-7,195

,300

-,420

-24,012

,000

1,000

1,000

DRAB

-6,954

,275

-,442

-25,289

,000

1,000

1,000

DKAM

-7,093

,275

-,451

-25,798

,000

1,000

1,000

DJUM

-6,900

,279

-,433

-24,760

,000

1,000

1,000

a. Dependent Variable: LnRETURN
b. Linear Regression through the Origin

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Lampiran 6
Uji Autokolerasi
c,d

Model Summary
Model

1

R

,973

R Square

a

b

,946

Adjusted R

Std. Error of the

Square

Estimate
,944

Durbin-Watson

1,69500

1,001

a. Predictors: DJUM, DKAM, DRAB, DSEL, DSEN
b. For regression through the origin (the no-intercept model), R Square measures the
proportion of the variability in the dependent variable about the origin explained by
regression. This CANNOT be compared to R Square for models which include an
intercept.
c. Dependent Variable: LnRETURN
d. Linear Regression through the Origin

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Lampiran 7
Uji Analisis Regresi Berganda
Coefficients
Model

Unstandardized Coefficients

a,b

Standardized

t

Sig.

Coefficients
B

1

Std. Error

Beta

DSEN

-6,839

,279

-,429

-24,544

,000

DSEL

-7,195

,300

-,420

-24,012

,000

DRAB

-6,954

,275

-,442

-25,289

,000

DKAM

-7,093

,275

-,451

-25,798

,000

DJUM

-6,900

,279

-,433

-24,760

,000

a. Dependent Variable: LnRETURN
b. Linear Regression through the Origin

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Lampiran 8
Uji ANOVA

Levene's Test of Equality of Error Variances

a

Dependent Variable: LnRETURN
F

df1
,396

df2
4

Sig.
177

,811

Tests the null hypothesis that the error variance
of the dependent variable is equal across groups.
a. Design: Intercept + HARI_PERDAGANGAN

Tests of Between-Subjects Effects
Dependent Variable: LnRETURN
Source

Type III Sum of

df

Mean Square

F

Sig.

Squares
a

4

,735

,256

,906

8871,115

1

8871,115

3087,741

,000

2,941

4

,735

,256

,906

Error

508,523

177

2,873

Total

9406,460

182

511,464

181

Corrected Model
Intercept
HARI_PERDAGANGAN

Corrected Total

2,941

a. R Squared = ,006 (Adjusted R Squared = -,017)

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Multiple Comparisons
Dependent Variable: LnRETURN
(I)

(J)

HARI_PERDAGANGAN

HARI_PERDAGANGAN

SENIN

SELASA

Tukey
RABU
HSD

KAMIS

JUMAT

SENIN

SELASA

Bonferr
RABU
oni

KAMIS

JUMAT

SELASA
RABU
KAMIS
JUMAT
SENIN
RABU
KAMIS
JUMAT
SENIN
SELASA
KAMIS
JUMAT
SENIN
SELASA
RABU
JUMAT
SENIN
SELASA
RABU
KAMIS
SELASA
RABU
KAMIS
JUMAT
SENIN
RABU
KAMIS
JUMAT
SENIN
SELASA
KAMIS
JUMAT
SENIN
SELASA
RABU
JUMAT
SENIN
SELASA
RABU
KAMIS

Mean

Std.

Difference (I-J)

Error

Sig.

95% Confidence Interval
Lower Bound

Upper Bound

,3555

,40918 ,908 -,7723

1,4832

,1143
,2541
,0603
-,3555
-,2411
-,1013
-,2952
-,1143
,2411
,1398
-,0541
-,2541
,1013
-,1398
-,1939
-,0603
,2952
,0541
,1939
,3555

,39148
,39148
,39408
,40918
,40668
,40668
,40918
,39148
,40668
,38886
,39148
,39148
,40668
,38886
,39148
,39408
,40918
,39148
,39148
,40918

,998 -,9646
,967 -,8248
1,000 -1,0258
,908 -1,4832
,976 -1,3620
,999 -1,2222
,951 -1,4229
,998 -1,1933
,976 -,8797
,996 -,9319
1,000 -1,1330
,967 -1,3331
,999 -1,0195
,996 -1,2115
,988 -1,2728
1,000 -1,1464
,951 -,8326
1,000 -1,0249
,988 -,8851
1,000 -,8077

1,1933
1,3331
1,1464
,7723
,8797
1,0195
,8326
,9646
1,3620
1,2115
1,0249
,8248
1,2222
,9319
,8851
1,0258
1,4229
1,1330
1,2728
1,5186

,1143
,2541
,0603
-,3555
-,2411
-,1013
-,2952
-,1143
,2411
,1398
-,0541
-,2541
,1013
-,1398
-,1939
-,0603
,2952
,0541
,1939

,39148
,39148
,39408
,40918
,40668
,40668
,40918
,39148
,40668
,38886
,39148
,39148
,40668
,38886
,39148
,39408
,40918
,39148
,39148

1,000 -,9985
1,000 -,8587
1,000 -1,0599
1,000 -1,5186
1,000 -1,3972
1,000 -1,2574
1,000 -1,4583
1,000 -1,2272
1,000 -,9149
1,000 -,9656
1,000 -1,1669
1,000 -1,3670
1,000 -1,0547
1,000 -1,2452
1,000 -1,3067
1,000 -1,1805
1,000 -,8680
1,000 -1,0588
1,000 -,9190

1,2272
1,3670
1,1805
,8077
,9149
1,0547
,8680
,9985
1,3972
1,2452
1,0588
,8587
1,2574
,9656
,9190
1,0599
1,4583
1,1669
1,3067

Based on observed means.
The error term is Mean Square(Error) = 2,873.

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Homogeneous Subsets
LnRETURN
HARI_PERDAGANGAN

N

Subset
1

a,b,c

SELASA

32

-7,1947

KAMIS

38

-7,0934

RABU

38

-6,9536

JUMAT

37

-6,8996

SENIN

37

-6,8393

Tukey HSD

Sig.

,899

Means for groups in homogeneous subsets are displayed.
Based on observed means.
The error term is Mean Square(Error) = 2,873.
a. Uses Harmonic Mean Sample Size = 36,249.
b. The group sizes are unequal. The harmonic mean of the group
sizes is used. Type I error levels are not guaranteed.
c. Alpha = ,05.

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