Dampak Perubahan Tick Size terhadap Likuiditas Saham (Studi Empiris pada Bursa Efek Indonesia Berdasarkan Tick Size 6 Januari 2014)
DAFTAR LAMPIRAN
Lampiran 1: Daftar Emiten yang Terpilih Sebagai Sampel
No.
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Kode Saham
Nama Emiten
AALI
ACES
ADES
ADHI
ADRO
AISA
AKRA
ALDO
ALTO
AMRT
ANTM
APEX
APIC
APLN
ARII
ARNA
ASGR
ASII
ASRI
ASSA
AUTO
BAJA
BBCA
BBKP
BBMD
BBNI
BBRI
BBTN
BCIP
BDMN
BEST
BHIT
BISI
BJBR
BJTM
BMRI
BMTR
Astra Agro Lestari Tbk.
Ace Hardware Indonesia Tbk.
Akasha Wira International Tbk.
Adhi Karya (Persero) Tbk.
Adaro Energy Tbk.
Tiga Pilar Sejahtera Food Tbk.
AKR Corporindo Tbk.
Alkindo Naratama Tbk.
Tri Banyan Tirta Tbk.
Sumber Alfaria Trijaya Tbk.
Aneka Tambang (Persero) Tbk.
Apexindo Pratama Duta Tbk.
Pacific Strategic Financial Tbk.
Agung Podomoro Land Tbk.
Atlas Resources Tbk.
Arwana Citramulia Tbk.
Astra Graphia Tbk.
Astra International Tbk.
Alam Sutera Realty Tbk.
Adi Sarana Armada Tbk.
Astra Otoparts Tbk.
Saranacentral Bajatama Tbk.
Bank Central Asia Tbk.
Bank Bukopin Tbk.
Bank Mestika Dharma Tbk.
Bank Negara Indonesia (Persero) Tbk.
Bank Rakyat Indonesia (Persero) Tbk.
Bank Tabungan Negara (Persero) Tbk.
Bumi Citra Permai Tbk.
Bank Danamon Indonesia Tbk.
Bekasi Fajar Industrial Estate Tbk.
MNC Investama Tbk.
BISI International Tbk.
Bank Pembangunan Daerah Jawa Barat dan
Bank Pembangunan Daerah Jawa Timur
Bank Mandiri (Persero) Tbk.
Global Mediacom Tbk.
108
Universitas Sumatera Utara
109
38
39
40
41
42
43
44
45
46
47
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49
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55
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62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
BNGA
BRPT
BSDE
BWPT
CFIN
CLPI
CMNP
CNKO
COWL
CPGT
CPIN
CTRA
CTRP
CTRS
DILD
DNET
DSNG
DYAN
EKAD
ELSA
ERAA
EXCL
FASW
GGRM
GIAA
GJTL
HEXA
HRUM
ICBP
IMAS
INCO
INDF
INDY
INTA
INTP
ISAT
ITMG
JPFA
JSMR
JTPE
KAEF
KKGI
KLBF
KPIG
Bank CIMB Niaga Tbk.
Barito Pacific Tbk.
Bumi Serpong Damai Tbk.
BW Plantation Tbk.
Clipan Finance Indonesia Tbk.
Colorpak Indonesia Tbk.
Citra Marga Nusaphala Persada Tbk.
Exploitasi Energi Indonesia Tbk.
Cowell Development Tbk.
Cipaganti Citra Graha Tbk.
Charoen Pokphand Indonesia Tbk
Ciputra Development Tbk.
Ciputra Property Tbk.
Ciputra Surya Tbk.
Intiland Development Tbk.
Indoritel Makmur Internasional Tbk.
Dharma Satya Nusantara Tbk.
Dyandra Media International Tbk.
Ekadharma International Tbk.
Elnusa Tbk.
Erajaya Swasembada Tbk.
XL Axiata Tbk.
Fajar Surya Wisesa Tbk.
Gudang Garam Tbk.
Garuda Indonesia (Persero) Tbk.
Gajah Tunggal Tbk.
Hexindo Adiperkasa Tbk.
Harum Energy Tbk.
Indofood CBP Sukses Makmur Tbk.
Indomobil Sukses Internasional Tbk.
Vale Indonesia Tbk.
Indofood Sukses Makmur Tbk.
Indika Energy Tbk.
Intraco Penta Tbk.
Indocement Tunggal Prakasa Tbk.
Indosat Tbk.
Indo Tambangraya Megah Tbk.
Japfa Comfeed Indonesia Tbk.
Jasa Marga (Persero) Tbk.
Jasuindo Tiga Perkasa Tbk.
Kimia Farma Tbk.
Resource Alam Indonesia Tbk.
Kalbe Farma Tbk.
MNC Land Tbk.
Universitas Sumatera Utara
110
82
83
84
85
86
87
88
89
90
91
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93
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109
110
111
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117
118
119
120
121
122
123
124
125
KRAS
KREN
LPCK
LPKR
LPLI
LPPF
LSIP
MAIN
MAPI
MBSS
MDLN
MEDC
META
MICE
MLPL
MNCN
MPMX
MPPA
MSKY
MTLA
MYRX
NIRO
NOBU
NRCA
PADI
PANR
PBRX
PGAS
PNBN
PTBA
PTPP
PTRO
PWON
RALS
ROTI
SAME
SCMA
SDMU
SGRO
SIMP
SMBR
SMCB
SMGR
SMMT
Krakatau Steel (Persero) Tbk.
Kresna Graha Sekurindo Tbk.
Lippo Cikarang Tbk
Lippo Karawaci Tbk.
Star Pacific Tbk
Matahari Department Store Tbk.
PP London Sumatra Indonesia Tbk.
Malindo Feedmill Tbk.
Mitra Adiperkasa Tbk.
Mitrabahtera Segara Sejati Tbk.
Modernland Realty Ltd. Tbk
Medco Energi International Tbk
Nusantara Infrastructure Tbk.
Multi Indocitra Tbk.
Multipolar Tbk.
Media Nusantara Citra Tbk.
Mitra Pinasthika Mustika Tbk.
Matahari Putra Prima Tbk.
MNC Sky Vision Tbk.
Metropolitan Land Tbk.
Hanson International Tbk.
Nirvana Development Tbk.
Bank Nationalnobu Tbk.
Nusa Raya Cipta Tbk.
Minna Padi Investama Tbk.
Panorama Sentrawisata Tbk.
Pan Brothers Tbk.
Perusahaan Gas Negara (Persero) Tbk.
Bank Pan Indonesia Tbk
Tambang Batubara Bukit Asam (Persero)
PP (Persero) Tbk.
Petrosea Tbk.
Pakuwon Jati Tbk.
Ramayana Lestari Sentosa Tbk.
Nippon Indosari Corpindo Tbk.
Sarana Meditama Metropolitan Tbk.
Surya Citra Media Tbk.
Sidomulyo Selaras Tbk.
Sampoerna Agro Tbk.
Salim Ivomas Pratama Tbk.
Semen Baturaja (Persero) Tbk.
Holcim Indonesia Tbk.
Semen Indonesia (Persero) Tbk.
Golden Eagle Energy Tbk.
Universitas Sumatera Utara
111
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
SMRA
SMSM
SSIA
SUGI
TAXI
TBIG
TBLA
TELE
TINS
TLKM
TMPI
TOTL
TRAM
TRIS
TURI
ULTJ
UNTR
UNVR
WIIM
WIKA
WSKT
YPAS
Summarecon Agung Tbk.
Selamat Sempurna Tbk.
Surya Semesta Internusa Tbk.
Sugih Energy Tbk.
Express Transindo Utama Tbk.
Tower Bersama Infrastructure Tbk.
Tunas Baru Lampung Tbk.
Tiphone Mobile Indonesia Tbk.
Timah (Persero) Tbk.
Telekomunikasi Indonesia (Persero)
Sigmagold Inti Perkasa Tbk.
Total Bangun Persada Tbk.
Trada Maritime Tbk.
Trisula International Tbk.
Tunas Ridean Tbk.
Ultra Jaya Milk Industry & Trading
United Tractors Tbk.
Unilever Indonesia Tbk.
Wismilak Inti Makmur Tbk.
Wijaya Karya (Persero) Tbk.
Waskita Karya (Persero) Tbk.
Yanaprima Hastapersada Tbk
Lampiran 2: Output Regresi Sebelum Transformasi Data
b
Model Summary
Adjusted R
Std. Error of the
Model
R
R Square
Square
Estimate
a
1
.487
.237
.229
.00450
a. Predictors: (Constant), FREQUENCY, VOLATILITY, PRICE
b. Dependent Variable: SPREAD
a
Model
1 (Constant)
Coefficients
Unstandardized
Standardized
Coefficients
Coefficients
B
Std. Error
Beta
.011
.000
PRICE
-1.580E-7
VOLATILITY
.015
FREQUENCY
-2.178E-6
a. Dependent Variable: SPREAD
.000
.012
.000
-.176
.067
-.404
t
24.931
Sig.
.000
-3.274
1.300
-7.509
.001
.195
.000
Universitas Sumatera Utara
112
Universitas Sumatera Utara
113
b
Model Summary
Adjusted R
Std. Error of the
Model
R
R Square
Square
Estimate
a
1
.433
.188
.179 1166641.93963
a. Predictors: (Constant), FREQUENCY, VOLATILITY, PRICE
b. Dependent Variable: DEPTH
Coefficients
Model
1
(Constant)
Unstandardized Coefficients
B
Std. Error
434041.575
116195.219
PRICE
-67.024
VOLATILITY
2505773.119
FREQUENCY
554.857
a. Dependent Variable: DEPTH
12.526
3008198.633
75.274
a
Standardized
Coefficients
Beta
-.296
.044
.409
t
3.735
Sig.
.000
-5.351
.833
7.371
.000
.406
.000
Universitas Sumatera Utara
114
Universitas Sumatera Utara
115
Lampiran 3: Output Skewness dan Kurtosis
Unstandardized Residual
Valid N (listwise)
Descriptive Statistics
N
Skewness
Statistic
Statistic
Std. Error
294
.546
.142
294
Kurtosis
Statistic
Std. Error
-.216
.283
Unstandardized Residual
Valid N (listwise)
Descriptive Statistics
N
Skewness
Statistic
Statistic
Std. Error
294
3.773
.142
294
Kurtosis
Statistic
Std. Error
17.987
.283
Lampiran 4: Analisis Deskriptif
Descriptive Statistics
PRICE
VOLATILITY
FREQUENCY
SPREAD
DEPTH
DRS
Valid N (listwise)
N
294
294
294
294
294
294
294
Minimum
231.00
.00
5.00
.00
6893.00
530852.00
Maximum
45290.00
.33
5144.00
.02
9335582.00
9.24E8
Mean
Std. Deviation
3076.2211
5691.35972
.0233
.02270
882.8741
948.53863
.0091
.00512
776102.5034 1287922.68617
1.0446E8
1.35155E8
Universitas Sumatera Utara
116
Lampiran 5: Uji Peringkat Bertanda Wilcoxon Spread
b
Test Statistics
SPREAD_AFTER SPREAD_BEFORE
a
Z
-10.309
Asymp. Sig. (2-tailed)
.000
a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
b
Test Statistics
GROUP2_POST GROUP3_POST GROUP4_POST GROUP5_POST
- GROUP2_PRE - GROUP3_PRE - GROUP4_PRE - GROUP5_PRE
a
a
a
a
Z
-5.018
-6.419
-4.690
-3.603
Asymp. Sig. (2-tailed)
.000
.000
.000
.000
a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
Lampiran 6: Uji Peringkat Bertanda Wilcoxon Depth
b
Test Statistics
DEPTH_AFTER DEPTH_BEFORE
a
Z
-8.967
Asymp. Sig. (2-tailed)
.000
a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
b
Test Statistics
GROUP2_POST GROUP3_POST GROUP4_POST GROUP5_POST
- GROUP2_PRE - GROUP3_PRE - GROUP4_PRE - GROUP5_PRE
a
a
a
a
Z
-4.672
-6.072
-3.795
-1.408
Asymp. Sig. (2-tailed)
.000
.000
.000
.159
a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
Lampiran 7: Uji Peringkat Bertanda Wilcoxon Depth to Spread
b
Test Statistics
DRS_AFTER DRS_BEFORE
a
Z
-6.706
Asymp. Sig. (2-tailed)
.000
a. Based on negative ranks.
b. Wilcoxon Signed Ranks Test
Universitas Sumatera Utara
117
b
Test Statistics
GROUP2_POST GROUP3_POST GROUP4_POST GROUP5_POST
- GROUP2_PRE - GROUP3_PRE - GROUP4_PRE - GROUP5_PRE
a
a
a
a
Z
-1.403
-3.919
-3.860
-3.458
Asymp. Sig. (2-tailed)
.161
.000
.000
.001
a. Based on negative ranks.
b. Wilcoxon Signed Ranks Test
Lampiran 8: Output Regresi Spread
b
Model Summary
Adjusted R
Std. Error of the
Model
R
R Square
Square
Estimate
a
1
.863
.745
.740
.30000
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE,
Ln_VOLATILITY, Ln_FREQUENCY, DLn_VOLATILITY, DLn_PRICE
b. Dependent Variable: Ln_SPREAD
b
Model
1
Regression
Residual
Total
Sum of Squares
75.565
25.830
101.395
ANOVA
df
6
287
Mean Square
12.594
.090
F
139.937
Sig.
a
.000
293
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE, Ln_VOLATILITY, Ln_FREQUENCY,
DLn_VOLATILITY, DLn_PRICE
b. Dependent Variable: Ln_SPREAD
a
Model
1
(Constant)
Coefficients
Unstandardized
Standardized
Coefficients
Coefficients
B
Std. Error
Beta
-1.869
.220
Ln_PRICE
-.219
Ln_VOLATILITY
.101
Ln_FREQUENCY
-.109
DLn_PRICE
.134
DLn_VOLATILITY
.268
DLn_FREQUENCY
-.096
a. Dependent Variable: Ln_SPREAD
.022
.051
.021
.030
.044
.027
-.434
.084
-.246
.843
.929
-.543
t
-8.478
Sig.
.000
-9.833
1.989
-5.198
4.450
6.079
-3.604
.000
.048
.000
.000
.000
.000
Universitas Sumatera Utara
118
Universitas Sumatera Utara
119
Lampiran 9: Output Regresi Depth
b
Model Summary
Adjusted R
Std. Error of the
Model
R
R Square
Square
Estimate
a
1
.859
.738
.732
.71749
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE,
Ln_VOLATILITY, Ln_FREQUENCY, DLn_VOLATILITY, DLn_PRICE
b. Dependent Variable: Ln_DEPTH
b
Model
1
Regression
Residual
Total
Sum of Squares
415.753
147.745
563.498
ANOVA
df
6
287
Mean Square
69.292
.515
F
134.603
Sig.
a
.000
293
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE, Ln_VOLATILITY, Ln_FREQUENCY,
DLn_VOLATILITY, DLn_PRICE
b. Dependent Variable: Ln_DEPTH
Universitas Sumatera Utara
Lampiran 1: Daftar Emiten yang Terpilih Sebagai Sampel
No.
1
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
31
32
33
34
35
36
37
Kode Saham
Nama Emiten
AALI
ACES
ADES
ADHI
ADRO
AISA
AKRA
ALDO
ALTO
AMRT
ANTM
APEX
APIC
APLN
ARII
ARNA
ASGR
ASII
ASRI
ASSA
AUTO
BAJA
BBCA
BBKP
BBMD
BBNI
BBRI
BBTN
BCIP
BDMN
BEST
BHIT
BISI
BJBR
BJTM
BMRI
BMTR
Astra Agro Lestari Tbk.
Ace Hardware Indonesia Tbk.
Akasha Wira International Tbk.
Adhi Karya (Persero) Tbk.
Adaro Energy Tbk.
Tiga Pilar Sejahtera Food Tbk.
AKR Corporindo Tbk.
Alkindo Naratama Tbk.
Tri Banyan Tirta Tbk.
Sumber Alfaria Trijaya Tbk.
Aneka Tambang (Persero) Tbk.
Apexindo Pratama Duta Tbk.
Pacific Strategic Financial Tbk.
Agung Podomoro Land Tbk.
Atlas Resources Tbk.
Arwana Citramulia Tbk.
Astra Graphia Tbk.
Astra International Tbk.
Alam Sutera Realty Tbk.
Adi Sarana Armada Tbk.
Astra Otoparts Tbk.
Saranacentral Bajatama Tbk.
Bank Central Asia Tbk.
Bank Bukopin Tbk.
Bank Mestika Dharma Tbk.
Bank Negara Indonesia (Persero) Tbk.
Bank Rakyat Indonesia (Persero) Tbk.
Bank Tabungan Negara (Persero) Tbk.
Bumi Citra Permai Tbk.
Bank Danamon Indonesia Tbk.
Bekasi Fajar Industrial Estate Tbk.
MNC Investama Tbk.
BISI International Tbk.
Bank Pembangunan Daerah Jawa Barat dan
Bank Pembangunan Daerah Jawa Timur
Bank Mandiri (Persero) Tbk.
Global Mediacom Tbk.
108
Universitas Sumatera Utara
109
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
BNGA
BRPT
BSDE
BWPT
CFIN
CLPI
CMNP
CNKO
COWL
CPGT
CPIN
CTRA
CTRP
CTRS
DILD
DNET
DSNG
DYAN
EKAD
ELSA
ERAA
EXCL
FASW
GGRM
GIAA
GJTL
HEXA
HRUM
ICBP
IMAS
INCO
INDF
INDY
INTA
INTP
ISAT
ITMG
JPFA
JSMR
JTPE
KAEF
KKGI
KLBF
KPIG
Bank CIMB Niaga Tbk.
Barito Pacific Tbk.
Bumi Serpong Damai Tbk.
BW Plantation Tbk.
Clipan Finance Indonesia Tbk.
Colorpak Indonesia Tbk.
Citra Marga Nusaphala Persada Tbk.
Exploitasi Energi Indonesia Tbk.
Cowell Development Tbk.
Cipaganti Citra Graha Tbk.
Charoen Pokphand Indonesia Tbk
Ciputra Development Tbk.
Ciputra Property Tbk.
Ciputra Surya Tbk.
Intiland Development Tbk.
Indoritel Makmur Internasional Tbk.
Dharma Satya Nusantara Tbk.
Dyandra Media International Tbk.
Ekadharma International Tbk.
Elnusa Tbk.
Erajaya Swasembada Tbk.
XL Axiata Tbk.
Fajar Surya Wisesa Tbk.
Gudang Garam Tbk.
Garuda Indonesia (Persero) Tbk.
Gajah Tunggal Tbk.
Hexindo Adiperkasa Tbk.
Harum Energy Tbk.
Indofood CBP Sukses Makmur Tbk.
Indomobil Sukses Internasional Tbk.
Vale Indonesia Tbk.
Indofood Sukses Makmur Tbk.
Indika Energy Tbk.
Intraco Penta Tbk.
Indocement Tunggal Prakasa Tbk.
Indosat Tbk.
Indo Tambangraya Megah Tbk.
Japfa Comfeed Indonesia Tbk.
Jasa Marga (Persero) Tbk.
Jasuindo Tiga Perkasa Tbk.
Kimia Farma Tbk.
Resource Alam Indonesia Tbk.
Kalbe Farma Tbk.
MNC Land Tbk.
Universitas Sumatera Utara
110
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
KRAS
KREN
LPCK
LPKR
LPLI
LPPF
LSIP
MAIN
MAPI
MBSS
MDLN
MEDC
META
MICE
MLPL
MNCN
MPMX
MPPA
MSKY
MTLA
MYRX
NIRO
NOBU
NRCA
PADI
PANR
PBRX
PGAS
PNBN
PTBA
PTPP
PTRO
PWON
RALS
ROTI
SAME
SCMA
SDMU
SGRO
SIMP
SMBR
SMCB
SMGR
SMMT
Krakatau Steel (Persero) Tbk.
Kresna Graha Sekurindo Tbk.
Lippo Cikarang Tbk
Lippo Karawaci Tbk.
Star Pacific Tbk
Matahari Department Store Tbk.
PP London Sumatra Indonesia Tbk.
Malindo Feedmill Tbk.
Mitra Adiperkasa Tbk.
Mitrabahtera Segara Sejati Tbk.
Modernland Realty Ltd. Tbk
Medco Energi International Tbk
Nusantara Infrastructure Tbk.
Multi Indocitra Tbk.
Multipolar Tbk.
Media Nusantara Citra Tbk.
Mitra Pinasthika Mustika Tbk.
Matahari Putra Prima Tbk.
MNC Sky Vision Tbk.
Metropolitan Land Tbk.
Hanson International Tbk.
Nirvana Development Tbk.
Bank Nationalnobu Tbk.
Nusa Raya Cipta Tbk.
Minna Padi Investama Tbk.
Panorama Sentrawisata Tbk.
Pan Brothers Tbk.
Perusahaan Gas Negara (Persero) Tbk.
Bank Pan Indonesia Tbk
Tambang Batubara Bukit Asam (Persero)
PP (Persero) Tbk.
Petrosea Tbk.
Pakuwon Jati Tbk.
Ramayana Lestari Sentosa Tbk.
Nippon Indosari Corpindo Tbk.
Sarana Meditama Metropolitan Tbk.
Surya Citra Media Tbk.
Sidomulyo Selaras Tbk.
Sampoerna Agro Tbk.
Salim Ivomas Pratama Tbk.
Semen Baturaja (Persero) Tbk.
Holcim Indonesia Tbk.
Semen Indonesia (Persero) Tbk.
Golden Eagle Energy Tbk.
Universitas Sumatera Utara
111
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
SMRA
SMSM
SSIA
SUGI
TAXI
TBIG
TBLA
TELE
TINS
TLKM
TMPI
TOTL
TRAM
TRIS
TURI
ULTJ
UNTR
UNVR
WIIM
WIKA
WSKT
YPAS
Summarecon Agung Tbk.
Selamat Sempurna Tbk.
Surya Semesta Internusa Tbk.
Sugih Energy Tbk.
Express Transindo Utama Tbk.
Tower Bersama Infrastructure Tbk.
Tunas Baru Lampung Tbk.
Tiphone Mobile Indonesia Tbk.
Timah (Persero) Tbk.
Telekomunikasi Indonesia (Persero)
Sigmagold Inti Perkasa Tbk.
Total Bangun Persada Tbk.
Trada Maritime Tbk.
Trisula International Tbk.
Tunas Ridean Tbk.
Ultra Jaya Milk Industry & Trading
United Tractors Tbk.
Unilever Indonesia Tbk.
Wismilak Inti Makmur Tbk.
Wijaya Karya (Persero) Tbk.
Waskita Karya (Persero) Tbk.
Yanaprima Hastapersada Tbk
Lampiran 2: Output Regresi Sebelum Transformasi Data
b
Model Summary
Adjusted R
Std. Error of the
Model
R
R Square
Square
Estimate
a
1
.487
.237
.229
.00450
a. Predictors: (Constant), FREQUENCY, VOLATILITY, PRICE
b. Dependent Variable: SPREAD
a
Model
1 (Constant)
Coefficients
Unstandardized
Standardized
Coefficients
Coefficients
B
Std. Error
Beta
.011
.000
PRICE
-1.580E-7
VOLATILITY
.015
FREQUENCY
-2.178E-6
a. Dependent Variable: SPREAD
.000
.012
.000
-.176
.067
-.404
t
24.931
Sig.
.000
-3.274
1.300
-7.509
.001
.195
.000
Universitas Sumatera Utara
112
Universitas Sumatera Utara
113
b
Model Summary
Adjusted R
Std. Error of the
Model
R
R Square
Square
Estimate
a
1
.433
.188
.179 1166641.93963
a. Predictors: (Constant), FREQUENCY, VOLATILITY, PRICE
b. Dependent Variable: DEPTH
Coefficients
Model
1
(Constant)
Unstandardized Coefficients
B
Std. Error
434041.575
116195.219
PRICE
-67.024
VOLATILITY
2505773.119
FREQUENCY
554.857
a. Dependent Variable: DEPTH
12.526
3008198.633
75.274
a
Standardized
Coefficients
Beta
-.296
.044
.409
t
3.735
Sig.
.000
-5.351
.833
7.371
.000
.406
.000
Universitas Sumatera Utara
114
Universitas Sumatera Utara
115
Lampiran 3: Output Skewness dan Kurtosis
Unstandardized Residual
Valid N (listwise)
Descriptive Statistics
N
Skewness
Statistic
Statistic
Std. Error
294
.546
.142
294
Kurtosis
Statistic
Std. Error
-.216
.283
Unstandardized Residual
Valid N (listwise)
Descriptive Statistics
N
Skewness
Statistic
Statistic
Std. Error
294
3.773
.142
294
Kurtosis
Statistic
Std. Error
17.987
.283
Lampiran 4: Analisis Deskriptif
Descriptive Statistics
PRICE
VOLATILITY
FREQUENCY
SPREAD
DEPTH
DRS
Valid N (listwise)
N
294
294
294
294
294
294
294
Minimum
231.00
.00
5.00
.00
6893.00
530852.00
Maximum
45290.00
.33
5144.00
.02
9335582.00
9.24E8
Mean
Std. Deviation
3076.2211
5691.35972
.0233
.02270
882.8741
948.53863
.0091
.00512
776102.5034 1287922.68617
1.0446E8
1.35155E8
Universitas Sumatera Utara
116
Lampiran 5: Uji Peringkat Bertanda Wilcoxon Spread
b
Test Statistics
SPREAD_AFTER SPREAD_BEFORE
a
Z
-10.309
Asymp. Sig. (2-tailed)
.000
a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
b
Test Statistics
GROUP2_POST GROUP3_POST GROUP4_POST GROUP5_POST
- GROUP2_PRE - GROUP3_PRE - GROUP4_PRE - GROUP5_PRE
a
a
a
a
Z
-5.018
-6.419
-4.690
-3.603
Asymp. Sig. (2-tailed)
.000
.000
.000
.000
a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
Lampiran 6: Uji Peringkat Bertanda Wilcoxon Depth
b
Test Statistics
DEPTH_AFTER DEPTH_BEFORE
a
Z
-8.967
Asymp. Sig. (2-tailed)
.000
a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
b
Test Statistics
GROUP2_POST GROUP3_POST GROUP4_POST GROUP5_POST
- GROUP2_PRE - GROUP3_PRE - GROUP4_PRE - GROUP5_PRE
a
a
a
a
Z
-4.672
-6.072
-3.795
-1.408
Asymp. Sig. (2-tailed)
.000
.000
.000
.159
a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
Lampiran 7: Uji Peringkat Bertanda Wilcoxon Depth to Spread
b
Test Statistics
DRS_AFTER DRS_BEFORE
a
Z
-6.706
Asymp. Sig. (2-tailed)
.000
a. Based on negative ranks.
b. Wilcoxon Signed Ranks Test
Universitas Sumatera Utara
117
b
Test Statistics
GROUP2_POST GROUP3_POST GROUP4_POST GROUP5_POST
- GROUP2_PRE - GROUP3_PRE - GROUP4_PRE - GROUP5_PRE
a
a
a
a
Z
-1.403
-3.919
-3.860
-3.458
Asymp. Sig. (2-tailed)
.161
.000
.000
.001
a. Based on negative ranks.
b. Wilcoxon Signed Ranks Test
Lampiran 8: Output Regresi Spread
b
Model Summary
Adjusted R
Std. Error of the
Model
R
R Square
Square
Estimate
a
1
.863
.745
.740
.30000
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE,
Ln_VOLATILITY, Ln_FREQUENCY, DLn_VOLATILITY, DLn_PRICE
b. Dependent Variable: Ln_SPREAD
b
Model
1
Regression
Residual
Total
Sum of Squares
75.565
25.830
101.395
ANOVA
df
6
287
Mean Square
12.594
.090
F
139.937
Sig.
a
.000
293
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE, Ln_VOLATILITY, Ln_FREQUENCY,
DLn_VOLATILITY, DLn_PRICE
b. Dependent Variable: Ln_SPREAD
a
Model
1
(Constant)
Coefficients
Unstandardized
Standardized
Coefficients
Coefficients
B
Std. Error
Beta
-1.869
.220
Ln_PRICE
-.219
Ln_VOLATILITY
.101
Ln_FREQUENCY
-.109
DLn_PRICE
.134
DLn_VOLATILITY
.268
DLn_FREQUENCY
-.096
a. Dependent Variable: Ln_SPREAD
.022
.051
.021
.030
.044
.027
-.434
.084
-.246
.843
.929
-.543
t
-8.478
Sig.
.000
-9.833
1.989
-5.198
4.450
6.079
-3.604
.000
.048
.000
.000
.000
.000
Universitas Sumatera Utara
118
Universitas Sumatera Utara
119
Lampiran 9: Output Regresi Depth
b
Model Summary
Adjusted R
Std. Error of the
Model
R
R Square
Square
Estimate
a
1
.859
.738
.732
.71749
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE,
Ln_VOLATILITY, Ln_FREQUENCY, DLn_VOLATILITY, DLn_PRICE
b. Dependent Variable: Ln_DEPTH
b
Model
1
Regression
Residual
Total
Sum of Squares
415.753
147.745
563.498
ANOVA
df
6
287
Mean Square
69.292
.515
F
134.603
Sig.
a
.000
293
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE, Ln_VOLATILITY, Ln_FREQUENCY,
DLn_VOLATILITY, DLn_PRICE
b. Dependent Variable: Ln_DEPTH
Universitas Sumatera Utara