LAMPIRAN 1
DAFTAR POPULASI &PENENTUAN SAMPEL PENELITIAN
No.
Kode
Nama Bank
Kriteria Sampel
Sampel
1
2
3
1
AGRO
Bank Rakyat Indonesia Agro
Niaga Tbk
√
√
√
Sampel 1
2
AGRS
Bank Agris Tbk
√
X
3
ARTO
Bank Artos Indonesia Tbk
√
X
4
BABP
Bank MNC Internasional Tbk
√
√
√
Sampel 2
5
BACA
Bank Capital Indonesia Tbk
√
√
√
Sampel 3
6
BBCA
Bank Central Asia Tbk
√
√
√
Sampel 4
7
BBHI
Bank Harda Internasional
Tbk
√
X
8
BBKP
Bank Bukopin Tbk
√
√
√
Sampel 5
9
BBMD
Bank Mestika Dharma Tbk
√
X
10
BBNI
Bank Negara Indonesia
(Persero) Tbk
√
√
√
Sampel 6
11
BBNP
Bank Nusantara Parahyangan
Tbk
√
√
√
Sampel 7
12
BBRI
Bank Rakyat Indonesia
(Persero) Tbk
√
√
√
Sampel 8
13
BBTN
Bank Tabungan Negara
(Persero) Tbk
√
√
√
Sampel 9
14
BBYB
Bank Yudha Bhakti Tbk
√
X
15
BCIC
Bank J Trust Indonesia Tbk
√
√
X
16
BDMN
Bank Danamon Indonesia
Tbk
√
√
√
Sampel
10
17
BEKS
Bank Pundi Indonesia Tbk
√
√
√
Sampel
11
18
BINA
Bank Ina Perdana Tbk
√
X
19
BJBR
Bank Jabar Banten Tbk
√
√
√
Sampel
12
20
BJTM
Bank Pembangunan Daerah
Jawa Timur Tbk
√
X
21
BKSW
Bank QNB Indonesia Tbk
√
√
√
Sampel
13
22
BMAS
Bank Maspion Indonesia Tbk
√
X
23
BMRI
Bank Mandiri (Persero) Tbk
√
√
√
Sampel
14
24
BNBA
Bank Bumi Artha Tbk
√
√
√
Sampel
15
25
BNGA
Bank CIMB Niaga Tbk
√
√
√
Sampel
LANJUTAN LAMPIRAN 1
No.
Kode
Nama Bank
Kriteria Sampel
Sampel
1
2
3
26
BNII
Bank Maybank Indonesia
Tbk
√
√
√
30
BTPN
Bank Tabungan Pensiunan
Nasional Tbk
√
√
√
Sampel
21
31
BVIC
Bank Victoria Internasional
Tbk
√
√
√
34
MAYA
Bank Mayapada International
Tbk
√
√
√
42
SDRA
Bank Pan Indonesia Syariah
Tbk
√
√
√
LAMPIRAN 2
DATA KEUANGAN SAMPEL PENELITIAN (dalam %)
LANJUTAN LAMPIRAN 2
Kode
Emitem
Tahun
CAR
(%)
NPL
(%)
NPM
(%)
NIM
(%)
LDR
(%)
Return
Saham
(%)
MAYA
2012
10.93
3.2
16.84
6.00
80.58
137.77
2013
14.07
1.04
17.09
5.75
85.61
-19.12
2014
10.44
1.46
12.22
4.25
81.52
-31.64
MCOR
2012
15.19
1.98
15.73
5.18
80.22
-5.32
2013
15.88
1.69
12.06
4.87
82.73
-28.65
2014
15.2
2.71
5.88
3.76
84.03
61.41
MEGA
2012
16.83
2.09
24.68
6.45
52.39
-4.29
2013
15.74
2.17
10.79
5.38
57.41
-38.81
2014
15.23
2.09
10.02
5.27
68.85
-2.44
NISP
2012
16.49
0.91
18.59
4.17
86.79
41.67
2013
19.28
0.73
18.58
4.11
92.49
-19.61
2014
18.74
1.34
16.85
4.15
93.59
10.57
PNBN
2012
14.67
1.69
19.81
4.19
88.46
-19.23
2013
15.32
2.13
18.91
4.09
87.71
4.76
2014
15.62
2.05
16.67
3.83
90.51
76.515
SDRA
LAMPIRAN 3
HASIL PENGUJIAN EVIEWS
1.
Statistik Deskriptif
CAR LDR NIM NPL NPM
RETURN SAHAM Mean 16.39299 84.82966 5.846897 2.132644 16.43517 10.54161 Median 15.88000 85.80000 5.340000 1.900000 14.89000 0.640000 Maximum 27.76000 113.3000 16.64000 9.950000 54.89000 204.5400 Minimum 10.05000 52.39000 1.880000 0.140000 -11.95000 -58.33000 Std. Dev. 2.971285 10.52518 2.495491 1.650143 11.53292 40.80685 Observations 87 87 87 87 87 87
Sumber: Hasil Penelitian, 2016 (data diolah)
2.
Uji Normalitas
Sumber: Hasil Penelitian, 2016 (data diolah)
3.
Uji Multikolinieritas
CAR LDR NIM NPL NPM CAR 1 0.01346299611 0.02550363406 -0.3389781146 0.12015141651 LDR 0.0134629961 1 0.0583738840 0.0898317760 -0.02508222684 NIM 0.02550363406 0.0583738840 1 0.33680041212 0.0555505072 NPL -0.3389781146 0.08983177607 0.33680041212 1 -0.35761618862 NPM 0.12015141651 -0.0250822268 0.05555050721 -0.3576161886 1
Sumber: Hasil Penelitian, 2016 (data diolah)
02 4 6 8 10 12
-70 -60 -50 -40 -30 -20 -10 0 10 20 30 40 50 60 70
Series: RESID Sample 1 87 Observations 87
4.
Uji Autokorelasi
Dependent Variable: RETURNSAHAM Method: Least Squares
Date: 05/12/16 Time: 05:44 Sample: 1 87
Included observations: 87
Variable Coefficient Std. Error t-Statistic Prob. CAR -0.404225 1.631575 -0.247751 0.8050 LDR 0.057204 0.429591 0.133158 0.8944 NIM 0.333232 1.979785 0.168317 0.8668 NPL 1.018228 3.387240 0.300607 0.7645 NPM 0.447509 0.426419 1.049458 0.2971 C 0.840728 46.28606 0.018164 0.9856 R-squared 0.016253 Mean dependent var 10.54161 Adjusted R-squared -0.044472 S.D. dependent var 40.80685 S.E. of regression 41.70436 Akaike info criterion 10.36556 Sum squared resid 140879.6 Schwarz criterion 10.53562 Log likelihood -444.9019 Hannan-Quinn criter. 10.43404 F-statistic 0.267651 Durbin-Watson stat 1.952740 Prob(F-statistic) 0.929524
Sumber: Hasil Penelitian, 2016 (data diolah)
5.
Uji Heteroskedastisitas
Heteroskedasticity Test: White
F-statistic 0.953439 Prob. F(20,66) 0.5263 Obs*R-squared 19.50167 Prob. Chi-Square(20) 0.4895 Scaled explained SS 75.20073 Prob. Chi-Square(20) 0.0000 Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 05/12/16 Time: 05:45 Sample: 1 87
Included observations: 87
LDR*NPL -4.199468 52.99505 -0.079243 0.9371 LDR*NPM 13.13130 7.251836 1.810756 0.0747 NIM 11694.67 4461.175 2.621433 0.0109 NIM^2 93.22269 101.9217 0.914650 0.3637 NIM*NPL -290.9290 242.5295 -1.199561 0.2346 NIM*NPM 19.97959 38.38499 0.520505 0.6045 NPL 5392.437 5293.022 1.018782 0.3120 NPL^2 -194.3856 374.2181 -0.519445 0.6052 NPL*NPM -103.9263 69.82702 -1.488340 0.1414 NPM -195.6419 672.4809 -0.290926 0.7720 NPM^2 -13.94950 4.543364 -3.070302 0.0031 R-squared 0.224157 Mean dependent var 1619.305 Adjusted R-squared -0.010947 S.D. dependent var 4858.067 S.E. of regression 4884.584 Akaike info criterion 20.03206 Sum squared resid 1.57E+09 Schwarz criterion 20.62728 Log likelihood -850.3947 Hannan-Quinn criter. 20.27174 F-statistic 0.953439 Durbin-Watson stat 1.838707 Prob(F-statistic) 0.526311
Sumber: Hasil Penelitian, 2016 (data diolah)
6.
Common Effect Model
(CEM)
Dependent Variable: RETURNSAHAM? Method: Pooled Least Squares
Date: 05/18/16 Time: 14:28 Sample: 2012 2014
Included observations: 3 Cross-sections included: 29
Total pool (balanced) observations: 87
Variable Coefficient Std. Error t-Statistic Prob. CAR? 3.138386 1.353878 2.318071 0.0230 NPL? 3.954204 3.108266 1.272158 0.2070 NPM? 0.856367 0.400246 2.139600 0.0354 NIM? 0.861053 1.705870 0.504759 0.6151 LDR? 0.005852 0.404880 0.014453 0.9885 C -70.13366 42.21956 -1.661165 0.1005 R-squared 0.126833 Mean dependent var 10.54161 Adjusted R-squared 0.072934 S.D. dependent var 40.80685 S.E. of regression 39.29058 Akaike info criterion 10.24632 Sum squared resid 125043.7 Schwarz criterion 10.41638 Log likelihood -439.7149 Hannan-Quinn criter. 10.31480 F-statistic 2.353149 Durbin-Watson stat 1.962194 Prob(F-statistic) 0.047822
7.
Fixed Effect Model
(FEM)
Dependent Variable: RETURNSAHAM? Method: Pooled Least Squares
Date: 05/18/16 Time: 14:28 Sample: 2012 2014
Included observations: 3 Cross-sections included: 29
Total pool (balanced) observations: 87
Variable Coefficient Std. Error t-Statistic Prob. CAR? 5.450379 1.746766 3.120269 0.0029 Fixed Effects (Cross)
_1--C -20.23227 Cross-section fixed (dummy variables)
Sum squared resid 77934.35 Schwarz criterion 11.38089 Log likelihood -419.1482 Hannan-Quinn criter. 10.80525 F-statistic 1.345132 Durbin-Watson stat 3.004012 Prob(F-statistic) 0.165163
Sumber: Hasil Penelitian, 2016 (data diolah)
8.
Uji Chow
Redundant Fixed Effects Tests Pool: DATAPANEL
Test cross-section fixed effects
Effects Test Statistic d.f. Prob. Cross-section F 1.144185 (28,53) 0.3293 Cross-section Chi-square 41.133321 28 0.0522 Cross-section fixed effects test equation:
Dependent Variable: RETURNSAHAM? Method: Panel Least Squares
Date: 05/17/16 Time: 17:16 Sample: 2012 2014
Included observations: 3 Cross-sections included: 29
Total pool (balanced) observations: 87
Variable Coefficient Std. Error t-Statistic Prob. CAR? 3.138386 1.353878 2.318071 0.0230 NPL? 3.954204 3.108266 1.272158 0.2070 NPM? 0.856367 0.400246 2.139600 0.0354 NIM? 0.861053 1.705870 0.504759 0.6151 LDR? 0.005852 0.404880 0.014453 0.9885 C -70.13366 42.21956 -1.661165 0.1005 R-squared 0.126833 Mean dependent var 10.54161 Adjusted R-squared 0.072934 S.D. dependent var 40.80685 S.E. of regression 39.29058 Akaike info criterion 10.24632 Sum squared resid 125043.7 Schwarz criterion 10.41638 Log likelihood -439.7149 Hannan-Quinn criter. 10.31480 F-statistic 2.353149 Durbin-Watson stat 1.962194 Prob(F-statistic) 0.047822
9.
Random Effect Model
(REM)
Dependent Variable: RETURNSAHAM?
Method: Pooled EGLS (Cross-section random effects) Date: 05/11/16 Time: 20:55
Sample: 2012 2014 Included observations: 3 Cross-sections included: 29
Total pool (balanced) observations: 87
Swamy and Arora estimator of component variances
Variable Coefficient Std. Error t-Statistic Prob. CAR? 3.138386 1.321349 2.375137 0.0199 NPL? 3.954204 3.033585 1.303475 0.1961 NPM? 0.856367 0.390630 2.192273 0.0312 NIM? 0.861053 1.664884 0.517185 0.6064 LDR? 0.005852 0.395153 0.014809 0.9882 C -70.13366 41.20518 -1.702059 0.0926 R-squared 0.126833 Mean dependent var 10.54161 Adjusted R-squared 0.072934 S.D. dependent var 40.80685 S.E. of regression 39.29058 Sum squared resid 125043.7 F-statistic 2.353149 Durbin-Watson stat 1.962194 Prob(F-statistic) 0.047822
Sumber: Hasil Penelitian, 2016 (data diolah)
10.
Uji Hausman
Correlated Random Effects - Hausman Test Pool: DATAPANEL
Test cross-section random effects Test Summary
Chi-Sq.
Statistic Chi-Sq. d.f. Prob. Cross-section random 10.520705 5 0.0618 ** WARNING: estimated cross-section random effects variance is zero.
Cross-section random effects test comparisons:
Cross-section random effects test equation: Dependent Variable: RETURNSAHAM? Method: Panel Least Squares
Date: 05/11/16 Time: 20:56 Sample: 2012 2014
Included observations: 3 Cross-sections included: 29
Total pool (balanced) observations: 87
Variable Coefficient Std. Error t-Statistic Prob. C 13.82008 105.2751 0.131276 0.8961 CAR? 5.450379 1.746766 3.120269 0.0029 NPL? -0.916454 7.688633 -0.119196 0.9056 NPM? -0.565656 0.864391 -0.654399 0.5157 NIM? 4.906492 3.244449 1.512273 0.1364 LDR? -1.320258 1.078197 -1.224506 0.2262
Effects Specification Cross-section fixed (dummy variables)
R-squared 0.455793 Mean dependent var 10.54161 Adjusted R-squared 0.116947 S.D. dependent var 40.80685 S.E. of regression 38.34657 Akaike info criterion 10.41720 Sum squared resid 77934.35 Schwarz criterion 11.38089 Log likelihood -419.1482 Hannan-Quinn criter. 10.80525 F-statistic 1.345132 Durbin-Watson stat 3.004012 Prob(F-statistic) 0.165163
