Perusahaan sektor properti, real estat, dan konstruksi bangunan yang telah terdaftar di Bursa Efek Indonesia pada periode

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61 Lampiran 1. Daftar Sampel Perusahaan

Perusahaan sektor properti, real estat, dan konstruksi bangunan yang telah terdaftar di Bursa Efek Indonesia pada periode 2010-2017

No. Kode Nama Perusahaan

1 ADHI Adhi Karya (Persero) Tbk.

2 ASRI Alam Sutera Realty Tbk.

3 BAPA Bekasi Asri Pemula Tbk.

4 BCIP Bumi Citra Permai Tbk.

5 BIPP Bhuwanatala Indah Permai Tbk.

6 BKDP Bukit Darmo Property Tbk.

7 BKSL Sentul City Tbk.

8 BSDE Bumi Serpong Damai Tbk.

9 COWL Cowell Development Tbk.

10 CTRA Ciputra Development Tbk.

11 DART Duta Anggada Realty Tbk.

12 DGIK Nusa Konstruksi Enjiniring Tbk.

13 DILD Intiland Development Tbk.

14 DUTI Duta Pertiwi Tbk.

15 ELTY Bakrieland Development Tbk.

16 FMII Fortune Mate Indonesia Tbk.

17 GMTD Gowa Makassar Tourism Development Tbk.

18 GPRA Perdana Gapuraprima Tbk.

19 JRPT Jaya Real Property Tbk.

20 KIJA Kawasan Industri Jababeka Tbk.

21 KPIG MNC Land Tbk.

22 LCGP Eureka Prima Jakarta Tbk.

23 LPCK Lippo Cikarang Tbk.

24 LPKR Lippo Karawaci Tbk.

25 MDLN Modernland Realty Tbk.

26 MKPI Metropolitan Kentjana Tbk.

27 MTSM Metro Realty Tbk.

28 OMRE Indonesia Prima Property Tbk.

29 PLIN Plaza Indonesia Realty Tbk.

30 PUDP Pudjiati Prestige Tbk.

31 PWON Pakuwon Jati Tbk.

32 RBMS Ristia Bintang Mahkota Tbk.

33 RDTX Roda Vivatex Tbk.

34 RODA Pikko Land Development Tbk.

35 SCBD Danayasa Arthatama Tbk.

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62

Lampiran 1. Daftar Sampel Perusahaan (Sambungan) 36 SMDM Suryamas Dutamakmur Tbk.

37 SMRA Summarecon Agung Tbk.

38 SSIA Surya Semesta Internusa Tbk.

39 TOTL Total Bangun Persada Tbk.

40 WIKA Wijaya Karya Persero Tbk.

Perusahaan dalam sektor properti, real estat, dan konstruksi bangunan yang pernah melakukan delisting dan mengalami perubahan sektor selama periode penelitian

No. Kode Nama Perusahaan 1 KPIG Mnc Land Tbk 2 PUDP Pudjiati Prestige Tbk.

3 RDTX Roda Vivatex Tbk.

4 RODA Pikko Land Development Tbk.

Perusahaan dalam sektor properti, real estat, dan konstruksi bangunan yang sahamnya terkena suspensi oleh Otoritas Jasa Keuangan selama periode penelitian

1 ASRI Alam Sutera Realty Tbk.

2 BAPA Bekasi Asri Pemula Tbk.

3 BCIP Bumi Citra Permai Tbk.

4 BIPP Bhuwanatala Indah Permai Tbk.

5 BKDP Bukit Darmo Property Tbk.

6 DART Duta Anggada Realty Tbk.

7 DUTI Duta Pertiwi Tbk.

8 ELTY Bakrieland Development Tbk.

9 FMII Fortune Mate Indonesia Tbk.

10 GMTD Gowa Makassar Tourism Development Tbk.

11 JRPT Jaya Real Property Tbk.

12 LCGP Eureka Prima Jakarta Tbk.

13 MKPI Metropolitan Kentjana Tbk.

14 MTSM Metro Realty Tbk.

15 OMRE Indonesia Prima Property Tbk.

16 PLIN Plaza Indonesia Realty Tbk.

17 RBMS Ristia Bintang Mahkota Tbk.

18 SSIA Surya Semesta Internusa Tbk.

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63

Lampiran 1. Daftar Sampel Perusahaan (Sambungan) 19 SCBD Danayasa Arthatama Tbk.

20 SMDM Suryamas Dutamakmur Tbk.

Perusahaan Sampel

1 ADHI Adhi Karya Persero Tbk.

2 BKSL Sentul City Tbk.

3 BSDE Bumi Serpong Damai Tbk.

4 COWL Cowell Development Tbk.

5 CTRA Ciputra Development Tbk.

6 DGIK Nusa Konstruksi Enjiniring Tbk.

7 DILD Intiland Development Tbk.

8 GPRA Perdana Gapuraprima Tbk.

9 KIJA Kawasan Industri Jababeka Tbk.

10 LPCK Lippo Cikarang Tbk.

11 LPKR Lippo Karawaci Tbk.

12 MDLN Modernland Realty Tbk.

13 PWON Pakuwon Jati Tbk.

14 SMRA Summarecon Agung Tbk.

15 TOTL Total Bangun Persada Tbk.

16 WIKA Wijaya Karya Persero Tbk.

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64 Lampiran 2. Data Variabel Tahun 2010-2017

MONTH BANK IHSG BUNGA KURS PROPERTI Jan-10 0,05125 0,05105 0,00613 -0,0186 0,0041 Feb-10 -0,0177 -0,0272 -0,0042 0,00662 0,00739 Mar-10 0,0971 0,05632 -0,03 -0,0182 0,00926 Apr-10 0,09958 0,07553 -0,006 -0,0152 -0,002 Jul-10 0,05988 0,04387 -0,005 -0,0106 0,00305 Agu-10 0,03476 0,03229 -0,0049 -0,0076 0,00103 Sep-10 0,07594 0,08538 -0,0036 0,00086 0,00257 Okt-10 0,07738 0,07769 -0,0058 -0,0058 -0,0094 Nov-10 0,0512 0,02111 -0,0089 0,00157 0,0083 Des-10 -0,0239 -0,0008 0,0008 0,00902 0,00041 Jan-11 -0,0825 -0,0342 -0,0011 0,00137 0,00414 Feb-11 0,0227 -0,0262 0,00057 -0,0131 -0,0027 Mar-11 0,04868 0,03141 0,00801 -0,0176 1,9E-05 Apr-11 0,06193 0,05371 -0,0087 -0,0127 0,0015 Mei-11 0,00091 0,01844 -0,0005 -0,0104 -0,0002 Jun-11 -0,0106 -0,0034 0,00034 0,00066 -5E-06 Jul-11 0,06075 0,05797 -0,0134 -0,004 0,00525 Agu-11 -0,0046 -0,0223 -0,0029 -0,0004 0,03021 Sep-11 -0,0661 -0,0558 -0,0034 0,02333 -0,0106 Okt-11 -0,0182 -0,0312 -0,0015 0,01601 0,00362 Nov-11 0,02053 0,0414 -0,0025 0,01508 0,02668 Des-11 -0,0279 0,00719 0,00082 0,0061 0,00153 Jan-12 0,01631 0,04089 -0,0002 0,00016 -0,0044 Feb-12 -0,0203 0,00743 -0,04 -0,0063 -0,0017 Mar-12 0,02335 0,01601 0,04459 0,01601 0,0003 Apr-12 0,08965 0,03449 -0,0053 0,00232 -0,0069 Mei-12 -0,0335 -0,0267 -0,0063 0,0098 0,00376 Jun-12 -0,0245 -0,0495 -0,0008 0,01655 -0,0044 Jul-12 0,04842 0,05038 -0,0018 0,00281 0,00244 Agu-12 0,04147 0,01735 -0,004 0,00636 0,00394 Sep-12 0,0164 0,01761 0,00024 0,00646 -4E-05 Okt-12 0,01439 0,02925 -0,0023 0,00416 -0,0014 Nov-12 0,01834 0,00409 -0,0014 0,00251 -0,0005 Des-12 -0,0149 -0,0076 -0,0007 0,00189 0,00533 Jan-13 0,03356 0,02633 -0,0409 0,0017 0,0012 Feb-13 0,06095 0,04133 -0,0115 0,00295 -0,0026 Mar-13 0,05717 0,05085 0,0024 0,00291 -0,0279 Apr-13 0,02943 0,0282 -0,0029 0,00145 -0,0001

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65

Lampiran 2. Data Variabel Tahun 2010-2017 (Sambungan) Mei-13 0,00493 0,02849 0,00795 0,00349 -0,007870855

Jun-13 -0,1181 -0,0732 -0,0055 0,01175 0,026859519 Jul-13 -0,028 -0,0199 -0,0096 0,02027 -0,02091524 Agu-13 -0,0773 -0,0612 -0,0024 0,0458 -0,001055395 Sep-13 0,00096 0,0011 -0,0011 0,07546 -0,038809154 Okt-13 0,0614 0,03277 -0,0005 0,00154 -0,005304025 Nov-13 -0,0372 -0,0304 0,00217 0,02345 0,000160931 Des-13 -0,0528 -0,0317 0,00153 0,04095 -0,000931995 Jan-14 0,06021 0,03128 0,00191 0,00592 -0,00123396 Feb-14 0,05137 0,03709 0,00254 -0,0197 -0,013634071 Mar-14 0,0345 0,04576 0,00342 -0,0421 -0,018971927 Apr-14 0,02818 0,03113 0,00088 0,00129 -0,014650752 Mei-14 0,00082 0,01101 0,00126 0,00916 -0,001577112 Jun-14 -0,0071 -0,0049 0,00315 0,03089 -0,000796685 Jul-14 0,02278 0,02749 0,00301 -0,0195 0,001008226 Agu-14 0,01141 0,02194 -0,0044 0,00426 -0,00173804 Sep-14 0,03791 0,0074 0,00616 0,01604 -0,000426608 Okt-14 0,00572 -0,0317 -0,0006 0,0205 -0,000480848 Nov-14 0,02745 0,01228 0,01363 0,00208 0,001089343 Des-14 0,01707 0,01293 0,00358 0,02173 -0,017950843 Jan-15 0,00506 0,0149 0,00246 0,01134 -0,004811469 Feb-15 0,05676 0,02682 0,00441 0,01499 -0,000648895 Mar-15 0,03533 0,01544 0,00061 0,024 0,004687766 Apr-15 0,00612 -0,0083 0,0039 -0,0092 -0,003177003 Mei-15 -0,058 -0,0308 0,0034 0,01436 -0,011501428 Jun-15 -0,0649 -0,0505 0,00448 0,0133 0,006273959 Jul-15 -0,0402 -0,0224 -0,0116 0,00515 0,004438182 Agu-15 -0,0631 -0,065 0,01012 0,03093 -0,000303986 Sep-15 -0,0595 -0,0472 0,00266 0,04504 -0,017099545 Okt-15 0,04597 0,04407 -0,0024 -0,0441 -0,051940514 Nov-15 -0,0087 0,00027 0,00205 -0,0072 0,00872787 Des-15 0,00625 -0,0037 0,00036 0,01158 0,000331309 Jan-16 -0,005 0,00414 0,00253 0,00375 -0,003585756 Feb-16 0,03097 0,04162 -0,0004 -0,0271 0,066607797 Mar-16 0,03558 0,02707 0,00276 -0,0231 -0,002367262 Apr-16 -0,0315 0,00343 0,00012 -0,0019 -0,000768379 Mei-16 -0,0519 -0,0172 -0,0035 0,0186 -0,0048829 Jun-16 0,02058 0,02119 0,0006 -0,0059 -0,017571266 Jul-16 0,08342 0,06069 -0,0029 -0,0168 -0,015714228

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66

Lampiran 2. Data Variabel Tahun 2010-2017 (Sambungan) Agu-16 0,07237 0,04552 -0,0088 0,00351 0,038121672

Sep-16 0,0007 -0,0119 -0,0002 -0,0038 0,000630898 Okt-16 0,01179 0,0129 -0,0032 -0,007 -0,000131144 Nov-16 -0,039 -0,0296 -0,003 0,02275 0,000960766 Des-16 -0,0131 -0,0053 -0,0031 0,00712 0,012625139 Jan-17 0,04172 0,01479 -0,0037 -0,0032 -0,000931926 Feb-17 0,04627 0,01419 -0,003 -0,0021 -0,009767381 Mar-17 0,03121 0,02023 -0,0058 0,00039 -0,001041864 Apr-17 0,03311 0,03123 0,00199 -0,0031 0,102549601 Mei-17 0,02939 0,0075 -0,0048 0,00156 -0,001451027 Jun-17 0,01045 0,00921 -0,034 -0,0012 0,000175534 Jul-17 0,03804 0,01346 -0,0065 0,00298 0,000153822 Agu-17 0,02327 0,00389 -0,0074 -0,0003 -0,002436424 Sep-17 0,00288 0,00355 -0,0022 -0,0027 -0,000117389 Okt-17 0,04219 0,01299 0,00275 0,01655 -0,005474349 Nov-17 0,03147 0,01629 -0,0132 -2E-05 0,018977652 Des-17 0,04765 0,01003 -0,0081 0,00233 0,002216271

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67 Lampiran 3. Analisa Deskriptif

BANK IHSG BUNGA KURS PROPERTI

Mean 0.013949 0.009895 -0.002569 0.003908 0.000493

Median 0.019435 0.013222 -0.001290 0.002325 -0.000158

Maxim um 0.325955 0.085382 0.044594 0.075458 0.102550 Minim um -0.252334 -0.073241 -0.040909 -0.044067 -0.051941 Std. Dev. 0.059782 0.032788 0.010025 0.017012 0.017136 Skewnes s 0.375161 -0.325081 -0.568366 0.655545 2.519761 Kurtos is 12.88717 2.860879 11.49845 6.274591 17.64111

Jarque-Bera 393.2765 1.768259 294.0634 49.76760 959.0354 Probability 0.000000 0.413074 0.000000 0.000000 0.000000

Sum 1.339067 0.949904 -0.246637 0.375159 0.047334

Sum Sq. Dev. 0.339523 0.102132 0.009548 0.027493 0.027895

Obs ervations 96 96 96 96 96

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68

Lampiran 4. Uji Normalitas (Jarque-Bera Test) Uji normalitas dengan outlier

Uji normalitas tanpa outlier

0 5 10 15 20 25 30 35 40

-0.3 -0.2 -0.1 0.0 0.1 0.2 0.3

Series: Residuals

Sample 2010M01 2017M12 Observations 96

Mean -1.88e-18 Median -0.000849 Maximum 0.358397 Minimum -0.284572 Std. Dev. 0.051444 Skewness 1.769243 Kurtosis 35.10061

Jarque-Bera 4171.880 Probability 0.000000

0 2 4 6 8 10 12

-0.025 0.000 0.025 0.050

Series: Residuals

Sample 2010M01 2017M12 Observations 94

Mean -1.03e-18 Median -0.002919 Maximum 0.051499 Minimum -0.044069 Std. Dev. 0.019734 Skewness 0.160180 Kurtosis 2.766003

Jarque-Bera 0.616423 Probability 0.734760

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69

Lampiran 5. Uji Multikolinearitas (Variance Inflation Factors)

Variance Inflation Factors Date: 11/19/18 Tim e: 10:09 Sam ple: 2010M01 2017M12 Included obs ervations : 94

Coefficient Uncentered Centered

Variable Variance VIF VIF

C 6.09E-06 1.407946 NA

IHSG 0.006105 1.635556 1.487305

BUNGA 0.045912 1.080266 1.026297

KURS 0.022549 1.590952 1.513286

PROPERTI 0.014863 1.019663 1.018854

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70

Lampiran 6. Uji Heteroskedastisitas (White Test)

Heteros kedas ticity Tes t: White Null hypothes is : Hom os kedas ticity

F-s tatis tic 1.451540 Prob. F(14,79) 0.1499

Obs *R-s quared 19.23275 Prob. Chi-Square(14) 0.1562 Scaled explained SS 15.22395 Prob. Chi-Square(14) 0.3630

Tes t Equation:

Dependent Variable: RESID^2 Method: Leas t Squares Date: 11/19/18 Tim e: 10:11 Sam ple: 2010M01 2017M12 Included obs ervations : 94

Variable Coefficient Std. Error t-Statis tic Prob.

C 0.000492 7.89E-05 6.226813 0.0000

IHSG^2 0.155715 0.058034 2.683176 0.0089

IHSG*BUNGA 0.279980 0.372049 0.752534 0.4540

IHSG*KURS 0.630874 0.177182 3.560591 0.0006

IHSG*PROPERTI 0.247657 0.164085 1.509325 0.1352

IHSG -0.010115 0.002986 -3.387270 0.0011

BUNGA^2 -0.362199 0.249449 -1.451994 0.1505

BUNGA*KURS 1.298946 0.858561 1.512934 0.1343

BUNGA*PROPERTI 0.123745 0.969724 0.127609 0.8988

BUNGA -0.013850 0.010722 -1.291782 0.2002

KURS^2 0.264173 0.155109 1.703146 0.0925

KURS*PROPERTI 0.194555 0.184992 1.051698 0.2961

KURS -0.015407 0.005728 -2.689988 0.0087

PROPERTI^2 -0.073491 0.081216 -0.904877 0.3683 PROPERTI -0.003012 0.006957 -0.432882 0.6663

R-s quared 0.204604 Mean dependent var 0.000385 Adjus ted R-s quared 0.063647 S.D. dependent var 0.000515 S.E. of regres s ion 0.000498 Akaike info criterion -12.22630 Sum s quared res id 1.96E-05 Schwarz criterion -11.82045 Log likelihood 589.6360 Hannan-Quinn criter. -12.06237 F-s tatis tic 1.451540 Durbin-Wats on s tat 1.733976 Prob(F-s tatis tic) 0.149867

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71

Lampiran 7. Uji Stasioneritas Return Indeks Harga Saham Gabungan (IHSG)

Null Hypothes is : IHSG has a unit root Exogenous : Cons tant

Lag Length: 0 (Autom atic - bas ed on SIC, m axlag=11)

t-Statis tic Prob.*

Augm ented Dickey-Fuller tes t s tatis tic -6.758948 0.0000 Tes t critical values : 1% level -3.502238

5% level -2.892879

10% level -2.583553

*MacKinnon (1996) one-s ided p-values .

Augm ented Dickey-Fuller Tes t Equation Dependent Variable: D(IHSG)

Method: Leas t Squares Date: 11/19/18 Tim e: 10:13

Sam ple (adjus ted): 2010M02 2017M12 Included obs ervations : 93 after adjus tm ents

IHSG(-1) -0.659860 0.097628 -6.758948 0.0000

C 0.006326 0.003341 1.893451 0.0615

R-s quared 0.334228 Mean dependent var -0.000441 Adjus ted R-s quared 0.326912 S.D. dependent var 0.037466 S.E. of regres s ion 0.030738 Akaike info criterion -4.105348 Sum s quared res id 0.085980 Schwarz criterion -4.050883 Log likelihood 192.8987 Hannan-Quinn criter. -4.083356 F-s tatis tic 45.68337 Durbin-Wats on s tat 1.854208 Prob(F-s tatis tic) 0.000000

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72

Lampiran 8. Uji Stasioneritas Perubahan Suku Bunga Dasar Kredit (SBDK)

Null Hypothes is : BUNGA has a unit root Exogenous : Cons tant

t-Statis tic Prob.*

5% level -2.892879

10% level -2.583553

Augm ented Dickey-Fuller Tes t Equation Dependent Variable: D(BUNGA) Method: Leas t Squares

Date: 11/19/18 Tim e: 10:14

BUNGA(-1) -1.115852 0.103909 -10.73879 0.0000

C -0.002600 0.001051 -2.474569 0.0152

R-s quared 0.558941 Mean dependent var -0.000153 Adjus ted R-s quared 0.554094 S.D. dependent var 0.014813 S.E. of regres s ion 0.009891 Akaike info criterion -6.373032 Sum s quared res id 0.008903 Schwarz criterion -6.318568 Log likelihood 298.3460 Hannan-Quinn criter. -6.351041 F-s tatis tic 115.3215 Durbin-Wats on s tat 1.993737 Prob(F-s tatis tic) 0.000000

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73

Lampiran 9. Uji Stasioneritas Perubahan Nilai Tukar (Kurs)

Null Hypothes is : KURS has a unit root Exogenous : Cons tant

t-Statis tic Prob.*

5% level -2.892879

10% level -2.583553

Augm ented Dickey-Fuller Tes t Equation Dependent Variable: D(KURS)

Method: Leas t Squares Date: 11/19/18 Tim e: 10:15

KURS(-1) -0.704824 0.099129 -7.110147 0.0000

C 0.002959 0.001742 1.698841 0.0928

R-s quared 0.357137 Mean dependent var 0.000225 Adjus ted R-s quared 0.350072 S.D. dependent var 0.020319 S.E. of regres s ion 0.016381 Akaike info criterion -5.364164 Sum s quared res id 0.024418 Schwarz criterion -5.309699 Log likelihood 251.4336 Hannan-Quinn criter. -5.342172 F-s tatis tic 50.55420 Durbin-Wats on s tat 1.945252 Prob(F-s tatis tic) 0.000000

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74

Lampiran 10. Uji Stasioneritas Return Saham Sektor Properti

Null Hypothes is : PROPERTI has a unit root Exogenous : Cons tant

t-Statis tic Prob.*

5% level -2.892879

10% level -2.583553

Augm ented Dickey-Fuller Tes t Equation Dependent Variable: D(PROPERTI) Method: Leas t Squares

Date: 11/19/18 Tim e: 10:16

PROPERTI(-1) -1.015147 0.104797 -9.686756 0.0000

C 0.000454 0.001816 0.249867 0.8033

R-s quared 0.507664 Mean dependent var -2.02E-05 Adjus ted R-s quared 0.502254 S.D. dependent var 0.024807 S.E. of regres s ion 0.017502 Akaike info criterion -5.231739 Sum s quared res id 0.027875 Schwarz criterion -5.177275 Log likelihood 245.2759 Hannan-Quinn criter. -5.209748 F-s tatis tic 93.83324 Durbin-Wats on s tat 2.000956 Prob(F-s tatis tic) 0.000000

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75

Lampiran 11. Hasil Output Regresi Linier Berganda

Dependent Variable: BANK Method: Leas t Squares Date: 11/19/18 Tim e: 10:08 Sam ple: 2010M01 2017M12 Included obs ervations : 94

C 0.001492 0.002469 0.604508 0.5470

IHSG 1.163940 0.078135 14.89652 0.0000

BUNGA -0.033779 0.214270 -0.157647 0.8751

KURS -0.006065 0.150164 -0.040388 0.9679

PROPERTI -0.034200 0.121913 -0.280532 0.7797

R-s quared 0.788519 Mean dependent var 0.013462 Adjus ted R-s quared 0.779014 S.D. dependent var 0.042911 S.E. of regres s ion 0.020172 Akaike info criterion -4.917304 Sum s quared res id 0.036215 Schwarz criterion -4.782022 Log likelihood 236.1133 Hannan-Quinn criter. -4.862660 F-s tatis tic 82.96023 Durbin-Wats on s tat 1.572368 Prob(F-s tatis tic) 0.000000