Lampiran 1 Data closed saham DATE BUMI DOID PTBA PTRO MEDC TINS CTTH MITI IHSG

(1)

Lampiran 1

Data closed saham

DATE BUMI DOID PTBA PTRO MEDC TINS CTTH MITI IHSG

(2)

Dec 1,2009 2,425.00 1,690.00 17,250.0 9,000.00 2,450.00 2,000.00 68.00 55.00 2,534.36 Jan 1, 2010 2,475.00 1,790.00 17,200.0 10,200.0 2,400.00 2,225.00 66.00 50.00 2,610.80 Feb 1,2010 2,250.00 1,570.00 15,600.0 8,400.00 2,475.00 2,150.00 69.00 50.00 2,549.03 Mar 1,2010 2,250.00 1,070.00 17,400.0 9,000.00 2,600.00 2,375.00 73.00 51.00 2,777.30 Apr 1,2010 2,375.00 1,050.00 18,600.0 9,000.00 2,950.00 2,700.00 80.00 57.00 2,971.25 May1,2010 2,025.00 800.00 17,450.0 9,000.00 2,850.00 2,225.00 67.00 51.00 2,796.96 Jun 1, 2010 1,880.00 990.00 17,250.0 11,000.0 2,950.00 2,150.00 69.00 59.00 2,913.68 Jul 1, 2010 1,720.00 1,000.00 16,700.0 13,600.0 3,000.00 2,475.00 73.00 60.00 3,069.28 Aug1,2010 1,660.00 800.00 17,500.0 20,000.0 3,075.00 2,375.00 71.00 54.00 3,081.88 Sept1,2010 2,125.00 1,030.00 19,450.0 27,600.0 3,325.00 3,150.00 75.00 57.00 3,501.30 Oct 1,2010 2,225.00 1,070.00 19,650.0 32,000.0 4,075.00 2,850.00 76.00 55.00 3,635.32 Nov1,2010 2,650.00 1,260.00

18,700.0

2,625.00 74.00 55.00 3,531.21

Dec 1,2010 3,025.00 1,610.00 22,950.0 26,100.0 3,375.00 2,750.00 72.00 54.00 3,703.51 Jan 1, 2011 2,725.00 1,280.00 19,750.0 21,000.0 2,750.00 69.00 51.00 3,409.17 3,000.00 1,160.00 20,050.0 21,000.0 2,700.00 76.00 50.00 3,470.35 1,120.00 21,000.0 27,000.0 2,875.00 2,775.00 74.00 51.00 3,678.67 3,425.00 1,300.00 22,300.0 36,000.0 2,750.00 2,875.00 72.00 52.00 3,819.62 3,300.00 1,170.00 21,250.0 40,500.0 2,600.00 2,600.00 74.00 55.00 3,836.97 2,950.00 1,010.00 20,800.0 37,000.0 2,350.00 2,500.00 73.00 53.00 3,888.57 3,050.00 980.00 21,300.0 34,050.0 2,500.00 2,450.00 74.00 61.00 4,130.80 2,525.00 860.00 19,050.0 30,000.0 2,375.00 2,225.00 84.00 54.00 3,841.73 1,950.00 690.00 16,800.0 32,000. 2,150.00 1,770.00 80.00 50.00 3,549.03 2,350.00 630.00 18,350.0 45,000.0 2,325.00 1,990.00 76.00 52.00 3,790.85

Nov1,2011 2,000.00 630.000 1,730.00 67.00 51.00 3,715.08

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Lampiran 2

Return saham emiten

DATE RBUMI RDOID RPTBA RPTRO RMEC RTINS RCTH RMITI RIHSG

Sept3,2007 0.401960

(4)

Mar 3,

09091 0.1125 0.06067641

Jun 2, 2008

(5)

647 3922 752 762 78261 536

519 0.04905954

(6)

(7)

Lampiran 3

Variabel Makro ekonomi

DATE INFLASI KURS JUB (M2)

VOLUME

EKSPOR SBI

(8)

(9)

Lampiran 4

Perubahan Variabel Makroekonomi

DATE PINFLASI PKURS PJUB (M2) PVS PSBI

Jan 1, 2007 - - - - -

(10)

Feb 1, 2010 0.024194 -0.003203 -0.003558 0.131289 0 March1,2010 -0.099738 -0.023567 0.022067 -0.065967 0 Apr 1, 2010 0.139942 -0.0113 0.001866 -0.131727 0 May 1, 2010 0.063939 0.018642 0.012859 0.266861 0 Jun 1, 2010 0.213942 -0.010566 0.041018 -0.131608 0 Jul 1, 2010 0.231683 -0.014423 -0.006076 -0.198531 0 Aug 1, 2010 0.03537 0.009942 0.00851 0.275166 0 Sept 1, 2010 -0.099379 -0.012941 0.017213 0.185205 0 Oct 1, 2010 -0.022414 0.000448 0.014898 -0.174151 0 Nov 1, 2010 0.116402 0.009521 0.016875 0.312322 0 Dec 1, 2010 0.099526 -0.002441 0.052559 -0.390174 0 Jan 1, 2011 0.008621 0.007341 -0.013972 -0.087185 0 Feb 1, 2011 -0.025641 -0.025836 -0.006767 -0.424194 0.038461538 Mar1, 2011 -0.027778 -0.012921 0.012882 1.396019 0 Apr 1, 2011 -0.073684 -0.015501 -0.00689 0.97569 0 May 1, 2011 -0.029221 -0.004315 0.016763 -0.220702 0 Jun 1, 2011 -0.073579 0.007028 0.019189 -0.231083 0 Jul 1, 2011 -0.16787 -0.010352 0.016558 -0.179412 0 Aug 1, 2011 0.039046 0.008228 0.022144 0.23816 0 Sept 1, 2011 -0.037578 0.028561 0.008387 -0.384364 0 Oct 3, 2011 -0.041215 0.00136 0.013035 0.799608 -0.03703703 Nov 1, 2011 -0.061086 0.037917 0.019326 -0.308539 -0.07692307 Dec 1, 2011 -0.086747 -0.011123 0.054105 -0.010605 0

Lampiran 5 Lampiran 5

Pengujian Stasioneritas Data

Null Hypothesis: RBUM_{I has a unit root}

Exogenous: Constant

Lag Length: 5 (Automatic based on AIC, MAXLAG=8)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.090942 0.0022

Test critical values: 1% level -3.560019

5% level -2.917650

10% level -2.596689

(11)

Null Hypothesis: RDOID _{has a unit root}

Exogenous: Constant

t-Statistic Prob.*

5% level -2.913549

10% level -2.594521

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: RPTBA_{has a unit root}

Exogenous: Constant

t-Statistic Prob.*

5% level -2.915522

10% level -2.595565

(12)

Null Hypothesis: RPTRO has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.912631

10% level -2.594027

Null Hypothesis: RMEDC_{has a unit root}

Exogenous: Constant

t-Statistic Prob.*

5% level -2.916566

10% level -2.596116

Null Hypothesis: RTINS_{has a unit root}

Exogenous: Constant

t-Statistic Prob.*

(13)

5% level -2.912631

10% level -2.594027

Null Hypothesis: RCTTH_{has a unit root}

Exogenous: Constant

t-Statistic Prob.*

5% level -2.912631

10% level -2.594027

Null Hypothesis: RMITI has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.919952

10% level -2.597905

Null Hypothesis: PINFLASI_{has a unit root}

Exogenous: None

t-Statistic Prob.*

5% level -1.946764

10% level -1.613062

(14)

Null Hypothesis: PKURS_{has a unit root}

Exogenous: Constant Lag Length: 1 (Fixed)

t-Statistic Prob.*

5% level -2.913549

10% level -2.594521

Null Hypothesis: PM2_{has a unit root}

t-Statistic Prob.*

5% level -2.916566

10% level -2.596116

Null Hypothesis: PVPS _{has a unit root}

t-Statistic Prob.*

5% level -2.916566

10% level -2.596116

(15)

Null Hypothesis: PSBI has a unit root Exogenous: None

t-Statistic Prob.*

5% level -1.946549

10% level -1.613181

Lampiran 6

Pengujian Multikorelasi

PINFLASI PKURS PM2 PVPS PSBI

PINFLASI 1.000000 0.063081 -0.098166 -0.000139 0.404452 PKURS 0.063081 1.000000 0.124747 -0.142736 0.096367 PM2 -0.098166 0.124747 1.000000 -0.234511 0.013586 PVPS -0.000139 -0.142736 -0.234511 1.000000 -0.051546 PSBI 0.404452 0.096367 0.013586 -0.051546 1.000000

Lampiran 7

Pengujian Autokorelasi 1. RBUMI

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 0.149543 Prob. F(1,52) 0.700550

Obs*R-squared 0.169187 Prob. Chi-Square(1) 0.680835

2. RDOID

(16)

3. RPTBA 4.

4.RPTRO

5. RMEDC

6. RTINS

Obs*R-squared 6.156555 Prob. Chi-Square 0.091323

7. RCTTH

(17)

8. RMITI

(18)

Lampiran 8

Hasil Regresi Emiten Saham Dependent Variable: RBUMI Method: Least Squares Date: 04/03/12 Time: 23:21

Sample (adjusted): 2007M02 2011M12 Included observations: 59 after adjustments

Variable

Coefficie

nt Std. Error t-Statistic Prob. C 0.006534 0.036144 0.180788 0.8572 PINFLASI 0.055472 0.259820 0.213502 0.8318

PKURS

-2.685407 0.757661 -3.544339 0.0008 PM2 0.603509 1.515398 0.398251 0.6920 PVPS 0.058915 0.051255 1.149449 0.2555

PSBI

-2.436642 1.272782 -1.914422 0.0610 R-squared 0.283184 Mean dependent var 0.038781 Adjusted R-squared 0.215560 S.D. dependent var 0.233516 S.E. of regression 0.206822 Akaike info criterion

-0.217776 Sum squared resid 2.267084 Schwarz criterion

-0.006501 Log likelihood 12.42440 F-statistic 4.187612 Durbin-Watson stat 1.893487 Prob(F-statistic) 0.002793

Dependent Variable: RDOID Method: Least Squares Date: 04/03/12 Time: 23:32

Variable

Coefficie

nt Std. Error t-Statistic Prob. C 0.031989 0.041788 0.765499 0.4474 PINFLASI

-0.170895 0.300391 -0.568909 0.5718

(19)

0.139848 PM2

-0.061690 1.752029 -0.035211 0.9720 PVPS

-0.059555 0.059258 -1.005011 0.3195 PSBI

-2.374028 1.471528 -1.613307 0.1126 R-squared 0.091798 Mean dependent var 0.041131 Adjusted R-squared 0.006119 S.D. dependent var 0.239852 S.E. of regression 0.239117 Akaike info criterion 0.072417 Sum squared resid 3.030378 Schwarz criterion 0.283692 Log likelihood 3.863707 F-statistic 1.071413 Durbin-Watson stat 1.725916 Prob(F-statistic) 0.386715

Dependent Variable: RPTBA Method: Least Squares Date: 04/03/12 Time: 23:34

Variable

Coefficie

-0.104416 0.187327 -0.557398 0.5796 PKURS

-1.370955 0.546264 -2.509694 0.0152 PM2 0.705997 1.092582 0.646173 0.5210 PVPS 0.045150 0.036954 1.221799 0.2272

PSBI

(20)

Dependent Variable: RPTRO Method: Least Squares Date: 04/03/12 Time: 23:37

Variable

Coefficie

nt Std. Error t-Statistic Prob. C 0.029783 0.044501 0.669269 0.5062 PINFLASI 0.061395 0.319892 0.191923 0.8485 PKURS 0.248403 0.932838 0.266288 0.7911

PM2

-0.123249 1.865770 -0.066058 0.9476 PVPS 0.066678 0.063105 1.056615 0.2955

PSBI

-2.150359 1.567059 -1.372226 0.1758 R-squared 0.060089 Mean dependent var 0.053322 Adjusted R-squared

-0.028581 S.D. dependent var 0.251078 S.E. of regression 0.254640 Akaike info criterion 0.198215 Sum squared resid 3.436611 Schwarz criterion 0.409490 Log likelihood 0.152653 F-statistic 0.677669 Durbin-Watson stat 1.870748 Prob(F-statistic) 0.642239

Dependent Variable: RMEDC Method: Least Squares

Date: 04/03/12 Time: 23:38

Variable

Coefficie

nt Std. Error t-Statistic Prob.

C

-0.012099 0.020318 -0.595459 0.5541 PINFLASI 0.081742 0.146056 0.559661 0.5781

PKURS

(21)

PSBI

Dependent Variable: RTINS Method: Least Squares Date: 04/03/12 Time: 23:40

Variable

Coefficie

nt Std. Error t-Statistic Prob.

C

-0.019262 0.031640 -0.608782 0.5453 PINFLASI 0.201932 0.227442 0.887838 0.3786

PKURS

-1.650004 0.663245 -2.487775 0.0160 PM2 0.506311 1.326557 0.381673 0.7042 PVPS 0.045521 0.044868 1.014563 0.3149

PSBI

(22)

Date: 04/03/12 Time: 23:41

Variable

Coefficie

-0.214410 0.171294 -1.251711 0.2162 PKURS

-0.625907 0.499510 -1.253042 0.2157 PM2

-0.096681 0.999069 -0.096771 0.9233 PVPS

-0.049349 0.033791 -1.460403 0.1501 PSBI 0.559453 0.839118 0.666715 0.5078 R-squared 0.087633 Mean dependent var 0.019038 Adjusted R-squared 0.001560 S.D. dependent var 0.136460 S.E. of regression 0.136353 Akaike info criterion

Dependent Variable: RMITI Method: Least Squares Date: 04/03/12 Time: 23:42

Variable

Coefficie

-0.038504 0.239416 -0.160823 0.8728 PKURS

-1.512024 0.698163 -2.165720 0.0349 PM2

-0.965315 1.396395 -0.691291 0.4924

(23)

0.097692 PSBI

Lampiran 8 Regres Panel

Dependent Variable: RETURN? Method: Pooled Least Squares Date: 06/09/12 Time: 08:52

Sample (adjusted): 2007M02 2011M12 Included observations: 59 after adjustments Cross-sections included: 8

Total pool (balanced) observations: 472

Variable

Coefficie

nt Std. Error t-Statistic Prob. C 0.016569 0.011729 1.412656 0.1584 PINFLASI?

-0.015961 0.084311 -0.189305 0.8499 PKURS?

-1.140362 0.245859 -4.638277 0.0000 PM2? 0.108360 0.491743 0.220360 0.8257 PVPS? 0.003251 0.016632 0.195472 0.8451

PSBI?

-1.520494 0.413015 -3.681453 0.0003 Fixed Effects (Cross)

_RBUMI--C 0.009653 _RDOID--C 0.012003 _RPTBA--C 0.012088 _RPTRO--C 0.024194 _RMEDC--C

(24)

_RTINS--C

-0.017249 _RCTTH--C

-0.010089 _RMITI--C

-0.004400

Effects Specification Cross-section fixed (dummy variables)

R-squared 0.092563 Mean dependent var 0.029128 Adjusted R-squared 0.068839 S.D. dependent var 0.196716 S.E. of regression 0.189824 Akaike info criterion

Substituted Coefficients: =====================

RETURN_RBUMI = 0.009653010593 + 0.01656869012 -

0.0159605059*PINFLASI_RBUMI - 1.140362347*PKURS_RBUMI + 0.1083603019*PM2_RBUMI + 0.003251102271*PVPS_RBUMI - 1.520493955*PSBI_RBUMI

RETURN_RDOID = 0.0120029089 + 0.01656869012 -

0.0159605059*PINFLASI_RDOID - 1.140362347*PKURS_RDOID + 0.1083603019*PM2_RDOID + 0.003251102271*PVPS_RDOID - 1.520493955*PSBI_RDOID

RETURN_RPTBA = 0.01208836653 + 0.01656869012 -

0.0159605059*PINFLASI_RPTBA - 1.140362347*PKURS_RPTBA + 0.1083603019*PM2_RPTBA + 0.003251102271*PVPS_RPTBA - 1.520493955*PSBI_RPTBA

RETURN_RPTRO = 0.02419443432 + 0.01656869012 -

(25)

RETURN_RMEDC = -0.02620048093 + 0.01656869012 -

0.0159605059*PINFLASI_RMEDC - 1.140362347*PKURS_RMEDC + 0.1083603019*PM2_RMEDC + 0.003251102271*PVPS_RMEDC - 1.520493955*PSBI_RMEDC

RETURN_RTINS = -0.0172491589 + 0.01656869012 -

0.0159605059*PINFLASI_RTINS - 1.140362347*PKURS_RTINS + 0.1083603019*PM2_RTINS + 0.003251102271*PVPS_RTINS - 1.520493955*PSBI_RTINS

RETURN_RCTTH = -0.01008937924 + 0.01656869012 -

0.0159605059*PINFLASI_RCTTH - 1.140362347*PKURS_RCTTH + 0.1083603019*PM2_RCTTH + 0.003251102271*PVPS_RCTTH - 1.520493955*PSBI_RCTTH

RETURN_RMITI = -0.004399701271 + 0.01656869012 -