Analisis Pengaruh January Effect Terhadap Return Saham Pada Indeks Sektoral Di Bursa Efek Indonesia

LAMPIRAN 1

PERTANIAN

AGRICULTURE

Date Close IHSG RI RM AR

2/1/2011 1978.544 3,470.35 -0.03037 0.017946 -0.04832 3/1/2011 2127.728 3,678.67 0.075401 0.060029 0.015372 4/1/2011 2201.926 3,819.62 0.034872 0.038315 -0.00344 5/1/2011 2384.387 3,836.97 0.082864 0.004542 0.078322 6/1/2011 2318.688 3,888.57 -0.02755 0.013448 -0.041 7/1/2011 2456.066 4,130.80 0.059248 0.062293 -0.00304 8/1/2011 2247.994 3,841.73 -0.08472 -0.06998 -0.01474 9/1/2011 2044.694 3,549.03 -0.09044 -0.07619 -0.01425 10/1/2011 2155.049 3,790.85 0.053971 0.068137 -0.01417 11/1/2011 2174.274 3,715.08 0.008921 -0.01999 0.028909 12/1/2011 2146.036 3,821.99 -0.01299 0.028777 -0.04176 1/1/2012 2137.331 3,941.69 -0.00406 0.031319 -0.03538 2/1/2012 2297.49 3,985.21 0.074934 0.011041 0.063893 3/1/2012 2428.191 4,121.55 0.056889 0.034211 0.022677 4/1/2012 2236.77 4,180.73 -0.07883 0.014359 -0.09319 5/1/2012 2148.905 3,832.82 -0.03928 -0.08322 0.043935 6/1/2012 2189.452 3,955.58 0.018869 0.032029 -0.01316 7/1/2012 2340.42 4,142.34 0.068952 0.047214 0.021738 8/1/2012 2221.842 4,060.33 -0.05067 -0.0198 -0.03087 9/1/2012 2242.256 4,262.56 0.009188 0.049806 -0.04062 10/1/2012 2122.969 4,350.29 -0.0532 0.020582 -0.07378 11/1/2012 1915.327 4,276.14 -0.09781 -0.01704 -0.08076 12/1/2012 2062.937 4,316.69 0.077068 0.009483 0.067585 1/1/2013 1994.746 4,453.70 -0.03306 0.03174 -0.06479 2/1/2013 2006.198 4,795.79 0.005741 0.07681 -0.07107 3/1/2013 1991.103 4,940.99 -0.00752 0.030277 -0.0378 4/1/2013 1805.835 5,034.07 -0.09305 0.018838 -0.11189 5/1/2013 1975.599 5,068.63 0.094009 0.006865 0.087143 6/1/2013 2042.039 4,818.90 0.03363 -0.04927 0.0829 7/1/2013 1702.922 4,610.38 -0.16607 -0.04327 -0.1228 8/1/2013 1806.971 4,195.09 0.0611 -0.09008 0.151177 9/1/2013 1760.193 4,316.18 -0.02589 0.028865 -0.05475 10/1/2013 1765.666 4,546.50 0.003109 0.053362 -0.05025 11/1/2013 1947.176 4,256.43 0.1028 -0.0599 0.162699 12/1/2013 2139.96 4,274.17 0.099007 -0.00415 0.103157

PERTAMBANGAN

MINING

Date Close IHSG Ri Rm Art

7/2/2012 2001.008 4,142.34 -0.02173 0.047214 -0.06895 8/1/2012 1905.954 4,060.33 -0.0475 -0.0198 -0.02771 9/1/2012 2030.596 4,262.56 0.065396 0.049806 0.01559 10/1/2012 1901.74 4,350.29 -0.06346 0.020582 -0.08404 11/1/2012 1781.828 4,276.14 -0.06305 -0.01704 -0.04601 12/1/2012 1863.665 4,316.69 0.045929 0.009483 0.036446 1/1/2013 1948.104 4,453.70 0.045308 0.03174 0.013568 2/1/2013 1917.848 4,795.79 -0.01553 0.07681 -0.09234 3/1/2013 1774.598 4,940.99 -0.07469 0.030277 -0.10497 4/1/2013 1754.005 5,034.07 -0.0116 0.018838 -0.03044 5/1/2013 1534.571 5,068.63 -0.1251 0.006865 -0.13197 6/1/2013 1423.244 4,818.90 -0.07255 -0.04927 -0.02328 7/1/2013 1282.509 4,610.38 -0.09888 -0.04327 -0.05561 8/1/2013 1429.521 4,195.09 0.114628 -0.09008 0.204706 9/1/2013 1435.177 4,316.18 0.003957 0.028865 -0.02491 10/1/2013 1499.736 4,546.50 0.044983 0.053362 -0.00838 11/1/2013 1443.998 4,256.43 -0.03717 -0.0638 0.026636 12/1/2013 1429.311 4,274.17 -0.01017 0.004168 -0.01434

DASAR KIMIA

BASIC INDUSTRY

Date

Close

IHSG

Ri

Rm

Art

12/1/2013 480.744 4,274.17 0.030249 0.004168 0.026081

ANEKA INDUSTRI

Miscellaneous Industry

Date

Close

IHSG

Ri

Rm

Art

12/1/2011 1311.147 3,821.99 0.040041 0.028777 0.011263 1/1/2012 1399.529 3,941.69 0.067408 0.031319 0.036089 2/1/2012 1278.999 3,985.21 -0.08612 0.011041 -0.09716 3/1/2012 1329.132 4,121.55 0.039197 0.034211 0.004986 4/1/2012 1301.481 4,180.73 -0.0208 0.014359 -0.03516 5/1/2012 1187.154 3,832.82 -0.08784 -0.08322 -0.00463 6/1/2012 1234.321 3,955.58 0.039731 0.032029 0.007703 7/1/2012 1253.382 4,142.34 0.015442 0.047214 -0.03177 8/1/2012 1210.857 4,060.33 -0.03393 -0.0198 -0.01413 9/1/2012 1312.276 4,262.56 0.083758 0.049806 0.033952 10/1/2012 1397.397 4,350.29 0.064865 0.020582 0.044284 11/1/2012 1281.588 4,276.14 -0.08287 -0.01704 -0.06583 12/1/2012 1336.524 4,316.69 0.042866 0.009483 0.033383 1/1/2013 1293.379 4,453.70 -0.03228 0.03174 -0.06402 2/1/2013 1386.973 4,795.79 0.072364 0.07681 -0.00445 3/1/2013 1388.083 4,940.99 0.0008 0.030277 -0.02948 4/1/2013 1312.39 5,034.07 -0.05453 0.018838 -0.07337 5/1/2013 1282.921 5,068.63 -0.02245 0.006865 -0.02932 6/1/2013 1272.485 4,818.90 -0.00813 -0.04927 0.041135 7/1/2013 1188.444 4,610.38 -0.06604 -0.04327 -0.02277 8/1/2013 1106.125 4,195.09 -0.06927 -0.09008 0.020811 9/1/2013 1184.58 4,316.18 0.070928 0.028865 0.042063 10/1/2013 1208.16 4,546.50 0.019906 0.053362 -0.03346 11/1/2013 1133.456 4,256.43 -0.06183 -0.0638 0.001968 12/1/2013 1205.012 4,274.17 0.063131 0.004168 0.058963

CONSUMER GOODS

Date

Close

IHSG

Ri

Rm

Art

5/1/2013 2140.025 5,068.63 0.133249 0.006865 0.126384 6/1/2013 2056.763 4,818.90 -0.03891 -0.04927 0.010363 7/1/2013 2002.145 4,610.38 -0.02656 -0.04327 0.016716 8/1/2013 1880.86 4,195.09 -0.06058 -0.09008 0.0295 9/1/2013 1852.481 4,316.18 -0.01509 0.028865 -0.04395 10/1/2013 1892.531 4,546.50 0.02162 0.053362 -0.03174 11/1/2013 1757.791 4,256.43 -0.0712 -0.0638 -0.00739 12/1/2013 1782.086 4,274.17 0.013821 0.004168 0.009654

PROPERTY

Date

Close

IHSG

Ri

Rm

Art

5/1/2011 209.389 3,836.97 0.004654 0.004542 0.000112 6/1/2011 207.483 3,888.57 -0.0091 0.013448 -0.02255 7/1/2011 232.439 4,130.80 0.12028 0.062293 0.057987 8/1/2011 229.233 3,841.73 -0.01379 -0.06998 0.056186 9/1/2011 205.859 3,549.03 -0.10197 -0.07619 -0.02578 10/1/2011 215.084 3,790.85 0.044812 0.068137 -0.02332 11/1/2011 203.415 3,715.08 -0.05425 -0.01999 -0.03427 12/1/2011 229.254 3,821.99 0.127026 0.028777 0.098249 1/1/2012 237.167 3,941.69 0.034516 0.031319 0.003198 2/1/2012 252.516 3,985.21 0.064718 0.011041 0.053677 3/1/2012 278.588 4,121.55 0.103249 0.034211 0.069037 4/1/2012 312.001 4,180.73 0.119937 0.014359 0.105578 5/1/2012 278.12 3,832.82 -0.10859 -0.08322 -0.02538 6/1/2012 275.638 3,955.58 -0.00892 0.032029 -0.04095 7/1/2012 289.269 4,142.34 0.049453 0.047214 0.002238 8/1/2012 279.167 4,060.33 -0.03492 -0.0198 -0.01512 9/1/2012 310.543 4,262.56 0.112392 0.049806 0.062585 10/1/2012 320.543 4,350.29 0.032202 0.020582 0.01162 11/1/2012 332.566 4,276.14 0.037508 -0.01704 0.054553 12/1/2012 326.552 4,316.69 -0.01808 0.009483 -0.02757 1/1/2013 363.702 4,453.70 0.113764 0.03174 0.082025 2/1/2013 418.054 4,795.79 0.149441 0.07681 0.072631 3/1/2013 461.06 4,940.99 0.102872 0.030277 0.072595 4/1/2013 482.825 5,034.07 0.047206 0.018838 0.028368 5/1/2013 565.295 5,068.63 0.170807 0.006865 0.163942 6/1/2013 483.267 4,818.90 -0.14511 -0.04927 -0.09584 7/1/2013 436.439 4,610.38 -0.0969 -0.04327 -0.05363 8/1/2013 365.444 4,195.09 -0.16267 -0.09008 -0.07259 9/1/2013 384.039 4,316.18 0.050883 0.028865 0.022019 10/1/2013 402.933 4,546.50 0.049198 0.053362 -0.00416 11/1/2013 345.009 4,256.43 -0.14376 -0.0638 -0.07996 12/1/2013 336.997 4,274.17 -0.02322 0.004168 -0.02739

INFRASTRUKTUR

Date

Close

IHSG

Ri

Rm

Art

11/1/2012 882.472 4,276.14 -0.05889 -0.01704 -0.04185 12/1/2012 907.524 4,316.69 0.028388 0.009483 0.018906 1/1/2013 933.719 4,453.70 0.028864 0.03174 -0.00288 2/1/2013 979.004 4,795.79 0.0485 0.07681 -0.02831 3/1/2013 1036.571 4,940.99 0.058802 0.030277 0.028525 4/1/2013 1069.424 5,034.07 0.031694 0.018838 0.012856 5/1/2013 1008.692 5,068.63 -0.05679 0.006865 -0.06365 6/1/2013 1018.718 4,818.90 0.00994 -0.04927 0.059209 7/1/2013 1025.63 4,610.38 0.006785 -0.04327 0.050056 8/1/2013 952.229 4,195.09 -0.07157 -0.09008 0.01851 9/1/2013 930.788 4,316.18 -0.02252 0.028865 -0.05138 10/1/2013 975.924 4,546.50 0.048492 0.053362 -0.00487 11/1/2013 949.473 4,256.43 -0.0271 -0.0638 0.036697 12/1/2013 930.399 4,274.17 -0.02009 0.004168 -0.02426

KEUANGAN

Date

Close

IHSG

Ri

Rm

Art

PERDAGANGAN

Date

Close

IHSG

Ri

Rm

Art

6/1/2012 665.364 3,955.58 0.003361 0.032029 -0.02867 7/1/2012 698.597 4,142.34 0.049947 0.047214 0.002733 8/1/2012 682.027 4,060.33 -0.02372 -0.0198 -0.00392 9/1/2012 734.179 4,262.56 0.076466 0.049806 0.02666 10/1/2012 742.226 4,350.29 0.010961 0.020582 -0.00962 11/1/2012 736.812 4,276.14 -0.00729 -0.01704 0.009751 12/1/2012 740.949 4,316.69 0.005615 0.009483 -0.00387 1/1/2013 735.882 4,453.70 -0.00684 0.03174 -0.03858 2/1/2013 808.919 4,795.79 0.099251 0.07681 0.022441 3/1/2013 872.033 4,940.99 0.078023 0.030277 0.047746 4/1/2013 877.878 5,034.07 0.006703 0.018838 -0.01214 5/1/2013 926.901 5,068.63 0.055843 0.006865 0.048977 6/1/2013 880.231 4,818.90 -0.05035 -0.04927 -0.00108 7/1/2013 837.691 4,610.38 -0.04833 -0.04327 -0.00506 8/1/2013 758.733 4,195.09 -0.09426 -0.09008 -0.00418 9/1/2013 776.054 4,316.18 0.022829 0.028865 -0.00604 10/1/2013 788.542 4,546.50 0.016092 0.053362 -0.03727 11/1/2013 790.444 4,256.43 0.002412 -0.0638 0.066213 12/1/2013 776.786 4,274.17 -0.01728 0.004168 -0.02145

LAMPIRAN 2

Hasil Output Deskriptif Sektor Pertambangan/Minning

Descriptive Statistics

N

Minimum Maximum

Mean

Std. Deviation

Januari

5 -.015221

.067461

.02273329

.031511509

Februari

5 -.092341

.080665

.00395440

.062483530

Maret

5 -.104970

.025828 -.05008802

.048148790

April

5 -.080340

.235183

.02130827

.123067532

Mei

5 -.131970

.146623 -.03400367

.111764903

Juni

5 -.057731

-.007846 -.03440268

.019214315

Juli

5 -.068948

.014052 -.03538492

.031714401

Agustus

5 -.072466

.204706

.02074132

.107185585

September

5 -.061269

.015590 -.01456029

.030224214

Oktober

5 -.084039

.027513 -.01664819

.042963810

Desember

5 -.014500

.091698

.01732476

.046937934

Valid N (listwise)

5

Hasil Output Deskriptif Sektor Dasar Kimia

Descriptive Statistics

N

Minimum Maximum

Mean

Std. Deviation

Januari

5 -.046903

-.007601 -.02767103

.018931062

Februari

5 -.009887

.019598

.00912824

.012186233

Maret

5 -.036631

.048191

.00445967

.036825135

April

5 -.078833

.018666 -.01621384

.038263377

Mei

5 -.039392

.091763

.01482245

.048186045

Juni

5 -.018961

.023368

.00696994

.016294248

Juli

5 -.070231

.036690 -.00406101

.045884465

Agustus

5 -.037303

.033648

.00302943

.035017193

September

5 -.019297

.024275

.00143916

.018075550

Oktober

5 -.052938

.100943

.02836601

.055108768

November

5 -.037975

.061777 -.00244724

.040169190

Desember

5 -.058139

.064710

.01533617

.045017921

Valid N (listwise)

5

Hasil Output Deskriptif Sektor Aneka Industri

Descriptive Statistics

N

Minimum Maximum

Mean

Std. Deviation

Januari

5 -.064021

.163969

.02606430

.085614273

Februari

5 -.097163

.035703 -.02230631

.058889984

Maret

5 -.029476

.082192

.02317753

.040795729

April

5 -.073369

.069344 -.01442561

.053285823

Mei

5 -.035317

.050338

.00277277

.037745639

Juni

5

.007703

.090111

.05464365

.031888959

Agustus

5 -.033544

.058428

.00674736

.035173936

September

5

.025935

.067218

.04050217

.015988600

Oktober

5 -.040321

.044284 -.00656593

.035079440

November

5 -.065830

.039856 -.01331714

.040621949

Desember

5 -.011868

.058963

.02287965

.026242743

Valid N (listwise)

5

Hasil Output Deskriptif Sektor Konsumsi

Descriptive Statistics

N

Minimum Maximum

Mean

Std. Deviation

Januari

5 -.026524

.050445

.00449861

.029820820

Februari

5 -.019186

.060001

.01919136

.034187261

Maret

5 -.100817

.006871 -.03456543

.046099814

April

5 -.115760

.066187 -.00161232

.072583209

Mei

5 -.000858

.141692

.07263410

.061946679

Juni

5

.010363

.085585

.04404979

.027377310

Juli

5 -.025008

.046312

.00577734

.027248919

Agustus

5 -.062045

.094831

.01958426

.057073779

September

5 -.051542

.033554 -.00676105

.038350419

Oktober

5 -.037174

.008885 -.01842442

.022544413

November

5 -.064555

.083669

.02604175

.061189018

Desember

5 -.063580

.023779 -.01763872

.034825704

Valid N (listwise)

5

Hasil Output Deskriptif Sektor Property

N

Minimum Maximum

Mean

Std. Deviation

Januari

5 -.055337

.082025

.00150989

.053507237

Februari

5 -.017332

.072631

.03108578

.037316156

Maret

5 -.085773

.072595

.01929746

.063968663

April

5 -.075230

.105578

.02364076

.064488125

Mei

5 -.092991

.163942

.01984995

.096264137

Juni

5 -.095837

.048002 -.01911903

.054988021

Juli

5 -.053628

.057987 -.01166809

.044242801

Agustus

5 -.072592

.056186 -.00807882

.047125212

September

5 -.025776

.062585

.00612696

.036864014

Oktober

5 -.023325

.011620 -.00414056

.014844723

November

5 -.087546

.054553 -.02291477

.064512219

Desember

5 -.049413

.098249 -.00662923

.059403787

Valid N (listwise)

5

Hasil Output Deskriptif Sektor Infrastruktur

Descriptive Statistics

N

Minimum Maximum

Mean

Std. Deviation

Januari

5 -.028918

.027083 -.00513926

.021341184

Februari

5 -.062379

.028647 -.03200345

.036958170

Maret

5 -.044863

.060380 -.00246225

.045308342

April

5 -.079275

.048028 -.01378536

.055966230

Mei

5 -.089363

.056629 -.01846186

.059038067

Juni

5 -.044184

.059209 -.01319707

.041779338

Juli

5 -.057020

.050056

.01142348

.043905178

Agustus

5 -.039780

.043188

.00149913

.032156378

September

5 -.058527

.052347 -.01888004

.043949766

Oktober

5 -.054676

.036179 -.00363378

.032914597

November

5 -.041849

.036697 -.00037675

.030149812

Desember

5 -.033203

.018906 -.01147510

.021419888

Hasil Output Deskriptif Sektor Finance

Descriptive Statistics

N

Minimum Maximum

Mean

Std. Deviation

Januari

5 -.068839

.047897 -.01044476

.042190982

Februari

5 -.063376

.036056 -.00967022

.036801046

Maret

5 -.021547

.072966

.03159535

.040901853

April

5 -.004667

.047799

.01744060

.019344433

Mei

5 -.057404

.016168 -.02394608

.031097690

Juni

5 -.026234

.013908

.00220931

.017395932

Juli

5 -.026733

.042073

.00873337

.026351110

Agustus

5 -.062509

.020229 -.00923038

.031384989

September

5 -.007010

.060366

.01557088

.029874873

Oktober

5 -.013203

.024731

.00490862

.015967812

November

5 -.032886

.011991 -.00813714

.016733640

Desember

5 -.021991

-.004054 -.01270496

.007395679

Valid N (listwise)

5

Hasil Output Deskriptif Sektor Trade and Services

Descriptive Statistics

N

Minimum Maximum

Mean

Std. Deviation

Januari

5 -.038578

.078466

.02854243

.044887299

Feb

5

.011765

.059747

.03448904

.018345372

Mar

5 -.091784

.056222

.00110228

.059288270

Apr

5 -.053402

.000196 -.01636364

.021320222

Mei

5 -.034589

.048977

.00428918

.034016995

Jun

5 -.039933

.017241 -.00964861

.023806637

Jul

5 -.013497

.042110

.00553976

.021430115

Aug

5 -.033430

.031477 -.00866109

.026794926

sept

5 -.006036

.060304

.02120017

.024873034

nov

5 -.051154

.066213

.02807123

.049612560

des

5 -.021447

.085388

.02987802

.044184265

Valid N (listwise)

5

LAMPIRAN 3

Sektor pertanian

Test of Homogeneity of Variances

abnormal return sektor pertanian

Levene Statistic

df1

df2

Sig.

.538

11

48

.868

ANOVA

abnormal return sektor pertanian

Sum of

Squares

df

Mean Square

F

Sig.

Between Groups

.053

11

.005

1.159

.340

Within Groups

.200

48

.004

Total

.253

59

Sektor Pertambangan

abnormal return sektor pertambangan

Levene Statistic

df1

df2

Sig.

1.718

11

48

.098

ANOVA

abnormal return sektor pertambangan

Sum of

Squares

df

Mean Square

F

Sig.

Between Groups

.037

11

.003

.730

.704

Within Groups

.223

48

.005

Total

.260

59

Sektor Dasar Kimia

Test of Homogeneity of Variances

abnormal return sektor dasar kimia

Levene Statistic

df1

df2

Sig.

1.033

11

48

.433

ANOVA

abnormal return sektor dasar kimia

Sum of

Squares

df

Mean Square

F

Sig.

Between Groups

.012

11

.001

.800

.640

Within Groups

.065

48

.001

Total

.077

59

Test of Homogeneity of Variances

abnormal return sektor aneka industri

Levene Statistic

df1

df2

Sig.

1.415

11

48

.197

ANOVA

abnormal return sektor aneka industri

Sum of

Squares

df

Mean Square

F

Sig.

Between Groups

.030

11

.003

1.321

.243

Within Groups

.100

48

.002

Total

.131

59

Sektor Konsumsi

Test of Homogeneity of Variances

abnormal return sektor konsumsi

Levene Statistic

df1

df2

Sig.

1.724

11

48

.096

ANOVA

abnormal return sektor konsumsi

Sum of

Squares

df

Mean Square

F

Sig.

Between Groups

.048

11

.004

2.082

.040

Within Groups

.100

48

.002

Total

.148

59

Test of Homogeneity of Variances

abnormal return sektor property

Levene Statistic

df1

df2

Sig.

.953

11

48

.500

ANOVA

abnormal return sektor property

Sum of

Squares

df

Mean Square

F

Sig.

Between Groups

.017

11

.002

.487

.902

Within Groups

.153

48

.003

Total

.170

59

Sektor Infrastruktur

Test of Homogeneity of Variances

abnormal return sektor infrastruktur

Levene Statistic

df1

df2

Sig.

1.252

11

48

.281

ANOVA

abnormal return sektor infrastruktur

Sum of

Squares

df

Mean Square

F

Sig.

Between Groups

.007

11

.001

.404

.947

Within Groups

.078

48

.002

Sektor Finance

Test of Homogeneity of Variances

abnormal return sektor finance

Levene Statistic

df1

df2

Sig.

1.534

11

48

.151

ANOVA

abnormal return sektor finance

Sum of

Squares

df

Mean Square

F

Sig.

Between Groups

.014

11

.001

1.552

.144

Within Groups

.038

48

.001

Total

.052

59

Sektor Trade and Services

Test of Homogeneity of Variances

abnormal return sektor trade

Levene Statistic

df1

df2

Sig.

1.484

11

48

.169

ANOVA

abnormal return sektor trade

Sum of

Squares

df

Mean Square

F

Sig.

Between Groups

.019

11

.002

1.362

.222

Within Groups

.060

48

.001