Pengaruh January Effect Terhadap Return Saham Perusahaan Lq 45 Di Bursa Efek Indonesia

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Lampiran 1

Harga Saham

Pre-January

dan

Return

Saham

Post January

1

No

HargaSaham

Pre-January Return

Saham

Post January 1

Hari

Kerja/Tahun

Rata-rata harga saham

harian 10 hari sebelum

Januari (Rp)

Hari

Kerja/Tahun

Rata-rata

return

saham

harian 10 hari pertama di

bulan Januari

1 H-10/2010

10.720,87

H+1/2011

-0,0216

2 H-9/2010

10.576,58

H+2/2011

-0,0185

3 H-8/2010

10.703,90

H+3/2011

0,0024

4 H-7/2010

10.864,52

H+4/2011

0,0101

5 H-6/2010

10.975,98

H+5/2011

0,0122

6 H-5/2010

10.877,29

H+6/2011

-0,0074

7 H-4/2010

10.824,59

H+7/2011

-0,0032

8 H-3/2010

10.940,67

H+8/2011

0,0021

9 H-2/2010

11.007,95

H+9/2011

0,0112

10 H-1/2010

11.108,62

H+10/2011

0,0132

11 H-10/2011

10.279,82

H+1/2012

0,0178

12 H-9/2011

10.419,29

H+2/2012

0,0238

13 H-8/2011

10.279,64

H+3/2012

-0,0056

14 H-7/2011

10.453,57

H+4/2012

0,0153

15 H-6/2011

10.536,43

H+5/2012

0,0030

16 H-5/2011

10.656,61

H+6/2012

0,0262

17 H-4/2011

10,584,46

H+7/2012

-0,0120

18 H-3/2011

10.464,82

H+8/2012

-0,0036

19 H-2/2011

10.559,82

H+9/2012

-0,0048

20 H-1/2011

10.639,46

H+10/2012

0,0071

21 H-10/2012

8.775,00

H+1/2013

0,0238

22 H-9/2012

8.630,14

H+2/2013

-0,0049

23 H-8/2012

8.582,21

H+3/2013

-0,0047

24 H-7/2012

8.501,32

H+4/2013

-0,0051

25 H-6/2012

8.682,00

H+5/2013

0,0184

26 H-5/2012

8.551,00

H+6/2013

0,0118

27 H-4/2012

8.665,25

H+7/2013

0,0155

28 H-3/2012

8.607,92

H+8/2013

0,0094

29 H-2/2012

8.642,96

H+9/2013

0,0043

30 H-1/2012

8.654,92

H+10/2013

-0,0013

31 H-10/2013

7.519,64

H+1/2014

0,0129

32 H-9/2013

6.791,60

H+2/2014

-0,0249

33 H-8/2013

7.682,32

H+3/2014

-0,0210

34 H-7/2013

7.646,96

H+4/2014

-0,0133

35 H-6/2013

7.731,86

H+5/2014

0,0213

36 H-5/2013

7.754,29

H+6/2014

-0,0023

37 H-4/2013

7.710,71

H+7/2014

0,0042

38 H-3/2013

7.683,92

H+8/2014

0,0033

39 H-2/2013

7.693,57

H+9/2014

0,0073

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Lampiran 2

Rata-rata Harga Saham

Post January

1 dan

Return

Saham

Post January

2

No

Harga Saham

Post Januari

1 Return

saham

Post Januari

2 Hari

Kerja/Tahun

Rata-rata harga saham

harian 10 hari pertama

setelah Januari (Rp)

Hari

Kerja/Tahun

Rata-rata

return

saham

harian 10 hari kedua

di bulan Januari

1 H+1/2011

11.377,88

H+11/2011

-0,0154

2 H+2/2011

11.482,19

H+22/2011

0,0023

3 H+3/2011

11.504,95

H+13/2011

-0,0053

4 H+4/2011

11.270,58

H+14/2011

-0,0315

5 H+5/2011

10.904,90

H+15/2011

-0,0258

6 H+6/2011

10.481,20

H+16/2011

-0,0110

7 H+7/2011

10.298,53

H+17/2011

0,0277

8 H+8/2011

10.639,14

H+18/2011

0,0256

9 H+9/2011

10.671,91

H+19/2011

0,0024

10 H+10/2011

10.604,50

H+20/2011

-0,0082

11 H+1/2012

10.585,00

H+11/2012

0,0022

12 H+2/2012

10.765,89

H+12/2012

0,0095

13 H+3/2012

11.002,32

H+13/2012

0,0095

14 H+4/2012

11.009,11

H+14/2012

0,0057

15 H+5/2012

10.868,57

H+15/2012

-0,0070

16 H+6/2012

10.901,25

H+16/2012

-0,0007

17 H+7/2012

11.072,68

H+17/2012

-0,0026

18 H+8/2012

10.980,71

H+18/2012

-0,0035

19 H+9/2012

10.942,14

H+19/2012

0,0029

20 H+10/2012

10.942,14

H+20/2012

-0,0284

21 H+1/2013

8.622,429

H+11/2013

0,0024

22 H+2/2013

8.622,429

H+12/2013

-0,0119

23 H+3/2013

8.827,893

H+13/2013

0,0429

24 H+4/2013

8.957,25

H+14/2013

-0,0284

25 H+5/2013

8.976,07

H+15/2013

0,0015

26 H+6/2013

8.917,61

H+16/2013

-0,0077

27 H+7/2013

8.942,36

H+17/2013

-0,0043

28 H+8/2013

8.800,25

H+18/2013

0,0076

29 H+9/2013

8.671,86

H+19/2013

-0,0053

30 H+10/2013

8.620,04

H+20/2013

0,0119

31 H+1/2014

7.787,86

H+11/2014

-0,0070

32 H+2/2014

7.740,71

H+12/2014

0,0036

33 H+3/2014

7.606,61

H+13/2014

0,0115

34 H+4/2014

7.477,32

H+14/2014

0,0097

35 H+5/2014

7.471,25

H+15/2014

0,0115

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37 H+7/2014

7.524,64

H+17/2014

-0,0135

38 H+8/2014

7.591,61

H+18/2014

-0,0361

39 H+9/2014

7.720,18

H+19/2014

0,0030

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Lampiran 3

Hasil Analisis Data Variabel Harga Saham

Pre January

Terhadap

Post January

1 Uji Normalitas

One-Sample Kolmogorov-Smirnov Test

Unstandardized

Residual

N 40

Normal Parametersa Mean .0000000

Std. Deviation .01245552

Most Extreme Differences Absolute .071

Positive .065

Negative -.071

Kolmogorov-Smirnov Z .448

Asymp. Sig. (2-tailed) .988

a. Test distribution is Normal.

Descriptive Statistics

Mean Std. Deviation N

return_saham .004255 .0124632 40

harga_saham 9.4167E3 1329.55049 40

Correlations

return_saham harga_saham

Pearson Correlation return_saham 1.000 -.035

harga_saham -.035 1.000

Sig. (1-tailed) return_saham . .415

harga_saham .415 .

N return_saham 40 40

harga_saham 40 40

Variables Entered/Removedb

Model Variables Entered

Variables

Removed Method

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Unstandardized

Residual

N 40

Positive .065

Negative -.071

a. All requested variables entered.

b. Dependent Variable: return_saham

Model Summaryb

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

Change Statistics

D R Square Change F Change df1 df2 Sig. F Change

1 .035a .001 -.025 .0126183 .001 .047 1 38 .830

a. Predictors: (Constant), harga_saham

ANOVAb

Model Sum of Squares df Mean Square F Sig.

1 Regression .000 1 .000 .047 .830a

Residual .006 38 .000

Total .006 39

a. Predictors: (Constant), harga_saham

Coefficientsa

Model

Unstandardized

Coefficients Standardized Coefficients

t Sig.

95% Confidence Interval for B Correlat

B Std. Error Beta Lower Bound Upper Bound Zero-order

1 (Constant) .007 .014 .509 .614 -.022 .037

harga_saham -3.289E-7 .000 -.035 -.216 .830 .000 .000 -.035

a. Dependent Variable: return_saham

Coefficient Correlationsa

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1 Correlations harga_saham 1.000

Covariances harga_saham 2.310E-12

Collinearity Diagnosticsa

Model

Dimensi

on Eigenvalue Condition Index

Variance Proportions

(Constant) harga_saham

1 1 1.990 1.000 .00 .00

2 .010 14.415 1.00 1.00

Casewise Diagnosticsa

Case

Number Std. Residual return_saham Predicted Value Residual

1 -2.015 -.0216 .003826 -2.5426078E-2

2 -1.773 -.0185 .003874 -2.2373537E-2

3 -.113 .0024 .003832 -1.4316629E-3

4 .501 .0101 .003779 6.3211668E-3

5 .678 .0123 .003742 8.5578217E-3

6 -.886 -.0074 .003775 -1.1174637E-2

7 -.562 -.0033 .003792 -7.0919691E-3

8 -.131 .0021 .003754 -1.6537914E-3

9 .592 .0112 .003732 7.4683363E-3

10 .753 .0132 .003699 9.5014458E-3

11 1.096 .0178 .003971 1.3828861E-2

12 1.575 .0238 .003925 1.9874732E-2

13 -.759 -.0056 .003971 -9.5711981E-3

14 .902 .0153 .003914 1.1386006E-2

15 -.062 .0031 .003887 -7.8674221E-4

16 1.771 .0262 .003847 2.2352784E-2

17 -1.258 -.0120 .003871 -1.5870946E-2

18 -.603 -.0037 .003910 -7.6102941E-3

19 -.688 -.0048 .003879 -8.6790495E-3

20 .257 .0071 .003853 3.2471434E-3

21 1.532 .0238 .004466 1.9333940E-2

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23 -.731 -.0047 .004529 -9.2294637E-3

24 -.765 -.0051 .004556 -9.6560710E-3

25 1.102 .0184 .004497 1.3903353E-2

26 .578 .0118 .004512 7.2878721E-3

27 .872 .0155 .004502 1.0997844E-2

28 .379 .0093 .004521 4.7789920E-3

29 -.017 .0043 .004509 -2.0948693E-4

30 -.460 -.0013 .004506 -5.8055501E-3

31 .636 .0129 .004879 8.0210635E-3

32 1.353 .0219 .004831 1.7068578E-2

33 -2.047 -.0210 .004825 -2.5825433E-2

34 -1.437 -.0133 .004837 -1.8137062E-2

35 1.307 .0213 .004809 1.6490861E-2

36 -.563 -.0023 .004802 -7.1017622E-3

37 -.057 .0041 .004816 -7.1609530E-4

38 -.121 .0033 .004825 -1.5249030E-3

39 .196 .0073 .004822 2.4782675E-3

40 -.286 .0012 .004810 -3.6096326E-3

Residuals Statisticsa

Minimum Maximum Mean Std. Deviation N

Predicted Value .003699 .004879 .004255 .0004373 40

Residual

-2.5825433E-2 .0223528

-

2.1684043E-19

.0124555 40

Std. Predicted Value -1.273 1.427 .000 1.000 40

Std. Residual -2.047 1.771 .000 .987 40

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Lampiran 4

Hasil Analisis Data Variabel

Post January

1 Terhadap

Post January

2 Uji Normalitas

Descriptive Statistics

Mean Std. Deviation N

return_shm -.000815 .0160189 40

harga_shm 9.5628E3 1453.28971 40

Unstandardized

Residual

N 40

Positive .111

Negative -.094

a. Test distribution is Normal.

Correlations

return_shm harga_shm

Pearson Correlation return_shm 1.000 -.152

harga_shm -.152 1.000

Sig. (1-tailed) return_shm . .175

harga_shm .175 .

N return_shm 40 40

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Variables Entered/Removedb

Model Variables Entered

Variables

Removed Method

1 harga_shma . Enter

a. All requested variables entered.

b. Dependent Variable: return_shm

Model Summaryb

Model R R Square

Adjusted R

Square

Std. Error of the

Estimate

Change Statistics

Durbin-Watson R Square

Change

F

Change df1 df2 Sig. F Change

1 .152a .023 -.003 .0160404 .023 .896 1 38 .350 1.913

a. Predictors: (Constant), harga_shm

ANOVAb

Model Sum of Squares df Mean Square F Sig.

1 Regression .000 1 .000 .896 .350a

Residual .010 38 .000

Total .010 39

a. Predictors: (Constant), harga_shm

Coefficientsa

Model

Unstandardized

Coefficients

Standardized

Coefficients

t Sig.

95% Confidence Interval for B Correlations

B Std. Error Beta Lower Bound Upper Bound Zero-order Partial

1 (Constant) .015 .017 .888 .380 -.019 .050

harga_shm -1.673E-6 .000 -.152 -.946 .350 .000 .000 -.152 -.152

a. Dependent Variable: return_shm

Coefficient Correlationsa

Model harga_shm

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Covariances harga_shm 3.124E-12

Collinearity Diagnosticsa

Model

Dimensi

on Eigenvalue Condition Index

Variance Proportions

(Constant) harga_shm

1 1 1.989 1.000 .01 .01

2 .011 13.402 .99 .99

Casewise Diagnosticsa

Case

Number Std. Residual return_shm Predicted Value Residual

1 -.720 -.0154 -.003851 -1.1549107E-2

2 .394 .0023 -.004025 6.3253593E-3

3 -.077 -.0053 -.004063 -1.2365729E-3

4 -1.735 -.0315 -.003671 -2.7828574E-2

5 -1.418 -.0258 -.003060 -2.2740201E-2

6 -.539 -.0110 -.002351 -8.6488705E-3

7 1.854 .0277 -.002046 2.9745600E-2

8 1.759 .0256 -.002615 2.8215296E-2

9 .316 .0024 -.002670 5.0701061E-3

10 -.352 -.0082 -.002557 -5.6426421E-3

11 .295 .0022 -.002525 4.7247427E-3

12 .775 .0096 -.002827 1.2427295E-2

13 .793 .0095 -.003223 1.2722741E-2

14 .557 .0057 -.003234 8.9340981E-3

15 -.249 -.0070 -.002999 -4.0009655E-3

16 .147 -.0007 -.003054 2.3536942E-3

17 .040 -.0027 -.003340 6.4042358E-4

18 -.020 -.0035 -.003187 -3.1340305E-4

19 .375 .0029 -.003122 6.0220858E-3

20 -1.576 -.0284 -.003122 -2.5277914E-2

21 .102 .0024 .000758 1.6421993E-3

22 -.733 -.0110 .000758 -1.1757801E-2

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24 -1.783 -.0284 .000198 -2.8597790E-2

25 .083 .0015 .000166 1.3336883E-3

26 -.497 -.0077 .000264 -7.9640903E-3

27 -.282 -.0043 .000223 -4.5226941E-3

28 .451 .0077 .000460 7.2396164E-3

29 -.373 -.0053 .000675 -5.9751254E-3

30 .694 .0119 .000762 1.1138202E-2

31 -.564 -.0069 .002154 -9.0536808E-3

32 .085 .0036 .002233 1.3674574E-3

33 .564 .0115 .002457 9.0431652E-3

34 .438 .0097 .002673 7.0269181E-3

35 .550 .0115 .002683 8.8167656E-3

36 .393 .0089 .002598 6.3015818E-3

37 -1.003 -.0135 .002594 -1.6093936E-2

38 -2.405 -.0361 .002482 -3.8581923E-2

39 .046 .0030 .002267 7.3311943E-4

40 .965 .0176 .002125 1.5475288E-2

Residuals Statisticsa

Minimum Maximum Mean Std. Deviation N

Predicted Value -.004063 .002683 -.000815 .0024307 40

Residual

-3.8581923E-2 .0424858

-

3.4694470E-19

.0158334 40

Std. Predicted Value -1.336 1.439 .000 1.000 40

Std. Residual -2.405 2.649 .000 .987 40

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