Hasil Estimasi Fixed Effects Model dengan Ukuran Likuiditas Amihud Illiquidity

LAMPIRAN

Output Hasil Regresi dengan Software Eviews 7

Hasil Estimasi

Fixed Effects Model

dengan Ukuran Likuiditas

Amihud Illiquidity

Dependent Variable: RV? Method: Pooled Least Squares Date: 08/09/14 Time: 16:38 Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Variable Coefficient Std. Error t-Statistic Prob.

C 0.241964 0.020746 11.66303 0.0000

BM? -1073.047 1370.187 -0.783139 0.4337 LNSIZE? -1.23E-16 4.38E-15 -0.028142 0.9776 ILLIQ? 229.9003 104.9913 2.189708 0.0288 Fixed Effects (Cross)

_INPC--C -0.166108 _BBKP--C -0.210542 _BNBA--C -0.186169 _BACA--C -0.165246 _BBCA--C -0.223204 _BNGA--C -0.201982 _BDMN--C -0.208204 _BAEK--C -0.157069 _SDRA--C 1.063544 _BABP--C -0.000874 _BMRI--C 2.246464 _MAYA--C 0.017352 _MEGA--C -0.204270 _BBNI--C -0.205982 _NISP--C -0.153265 _BSWD--C -0.140439 _PNBN--C -0.184262 _BNLI--C -0.192758 _BKSW--C -0.207861 _BBRI--C -0.152885 _BBTN--C -0.183951 _BVIC--C -0.182289

Effects Specification Cross-section fixed (dummy variables)

Hasil Estimasi

Redundant

Fixed Effects Model

dengan Ukuran Likuiditas

Amihud Illiquidity

Redundant Fixed Effects Tests Pool: POOL1

Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 280.534142 (21,1031) 0.0000 Cross-section Chi-square 2010.842472 21 0.0000

Cross-section fixed effects test equation: Dependent Variable: RV?

Method: Panel Least Squares Date: 08/09/14 Time: 17:29 Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Variable Coefficient Std. Error t-Statistic Prob.

C 0.149570 0.033954 4.405072 0.0000 BM? -2564.703 2014.094 -1.273378 0.2032 LNSIZE? 4.11E-14 3.98E-15 10.34553 0.0000 ILLIQ? 200.5982 268.1755 0.748011 0.4546

Hasil Estimasi

Random Effects Model

dengan Ukuran Likuiditas

Amihud

Illiquidity

Dependent Variable: RV?

Method: Pooled EGLS (Cross-section random effects) Date: 08/09/14 Time: 17:30

Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.

C 0.240022 0.122719 1.955872 0.0507 BM? -1180.256 1364.637 -0.864886 0.3873 LNSIZE? 1.08E-15 4.32E-15 0.249282 0.8032 ILLIQ? 229.2905 104.9887 2.183954 0.0292 Random Effects (Cross)

_INPC--C -0.160456 _BBKP--C -0.206827 _BNBA--C -0.180941 _BACA--C -0.161157 _BBCA--C -0.239025 _BNGA--C -0.200745 _BDMN--C -0.209714 _BAEK--C -0.154560 _SDRA--C 1.063134 _BABP--C 0.003421 _BMRI--C 2.226263 _MAYA--C 0.019078 _MEGA--C -0.201752 _BBNI--C -0.209474 _NISP--C -0.150916 _BSWD--C -0.137370 _PNBN--C -0.182400 _BNLI--C -0.190360 _BKSW--C -0.204791 _BBRI--C -0.162899 _BBTN--C -0.181534 _BVIC--C -0.176976

Effects Specification

S.D. Rho

Cross-section random 0.567371 0.8697

Weighted Statistics

R-squared 0.005582 Mean dependent var 0.012766 Adjusted R-squared 0.002746 S.D. dependent var 0.219949 S.E. of regression 0.219647 Sum squared resid 50.75338 F-statistic 1.968438 Durbin-Watson stat 1.903671 Prob(F-statistic) 0.117005

Unweighted Statistics

R-squared 0.011976 Mean dependent var 0.228821 Sum squared resid 373.7379 Durbin-Watson stat 0.258517

Hasil Estimasi Uji

Hausman Test

dengan Ukuran Likuiditas

Amihud Illiquidity

Correlated Random Effects - Hausman Test Pool: POOL1

Test cross-section random effects

Test Summary

Chi-Sq.

Statistic Chi-Sq. d.f. Prob.

Cross-section random 2.983486 3 0.3942

Cross-section random effects test comparisons:

Variable Fixed Random Var(Diff.) Prob.

BM?

-1073.046725 -1180.255826 15178.078199 0.3842 LNSIZE? -0.000000 0.000000 0.000000 0.0852 ILLIQ? 229.900330 229.290452 0.552229 0.4118

Cross-section random effects test equation: Dependent Variable: RV?

Method: Panel Least Squares Date: 08/09/14 Time: 17:30 Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Variable Coefficient Std. Error t-Statistic Prob.

LNSIZE? -1.23E-16 4.38E-15 -0.028142 0.9776 ILLIQ? 229.9003 104.9913 2.189708 0.0288

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.868503 Mean dependent var 0.228821 Adjusted R-squared 0.865442 S.D. dependent var 0.598789 S.E. of regression 0.219648 Akaike info criterion -0.170188 Sum squared resid 49.74102 Schwarz criterion -0.052711 Log likelihood 114.8592 Hannan-Quinn criter. -0.125657 F-statistic 283.7291 Durbin-Watson stat 1.943767 Prob(F-statistic) 0.000000

Hasil Estimasi

Fixed Effects Model

dengan Ukuran Likuiditas

Amihud Risk

Dependent Variable: RV? Method: Pooled Least Squares Date: 08/09/14 Time: 16:55 Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Variable Coefficient Std. Error t-Statistic Prob.

C 0.244839 0.021480 11.39849 0.0000 LNSIZE? -1.20E-16 4.39E-15 -0.027344 0.9782 BM? -1300.675 1370.719 -0.948900 0.3429 RISK? -22.37783 247.6054 -0.090377 0.9280 Fixed Effects (Cross)

_PNBN--C -0.183945 _BNLI--C -0.192598 _BKSW--C -0.209634 _BBRI--C -0.154833 _BBTN--C -0.184363 _BVIC--C -0.178996

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.867893 Mean dependent var 0.228821 Adjusted R-squared 0.864818 S.D. dependent var 0.598789 S.E. of regression 0.220158 Akaike info criterion -0.165556 Sum squared resid 49.97196 Schwarz criterion -0.048079 Log likelihood 112.4135 Hannan-Quinn criter. -0.121025 F-statistic 282.2194 Durbin-Watson stat 1.941289 Prob(F-statistic) 0.000000

Hasil Estimasi

Redundant

Fixed Effects Model

dengan Ukuran Likuiditas

Amihud Risk

Redundant Fixed Effects Tests Pool: POOL2

Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 267.968777 (21,1031) 0.0000 Cross-section Chi-square 1969.800778 21 0.0000

Cross-section fixed effects test equation: Dependent Variable: RV?

Method: Panel Least Squares Date: 08/09/14 Time: 16:56 Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Variable Coefficient Std. Error t-Statistic Prob.

RISK? 1745.879 286.1867 6.100488 0.0000

R-squared 0.146833 Mean dependent var 0.228821 Adjusted R-squared 0.144400 S.D. dependent var 0.598789 S.E. of regression 0.553872 Akaike info criterion 1.660013 Sum squared resid 322.7260 Schwarz criterion 1.678809 Log likelihood -872.4868 Hannan-Quinn criter. 1.667138 F-statistic 60.35082 Durbin-Watson stat 0.296185 Prob(F-statistic) 0.000000

Hasil Estimasi

Random Effects Model

dengan Ukuran Likuiditas

Amihud Risk

Dependent Variable: RV?

Method: Pooled EGLS (Cross-section random effects) Date: 08/09/14 Time: 16:57

Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.

C 0.242254 0.119684 2.024123 0.0432 LNSIZE? 1.16E-15 4.33E-15 0.268527 0.7883 BM? -1417.937 1364.977 -1.038800 0.2991 RISK? 0.951151 246.0555 0.003866 0.9969 Random Effects (Cross)

_BBTN--C -0.181263 _BVIC--C -0.172813

Effects Specification

S.D. Rho

Cross-section random 0.552321 0.8629

Idiosyncratic random 0.220158 0.1371

Weighted Statistics

R-squared 0.001089 Mean dependent var 0.013143 Adjusted R-squared -0.001759 S.D. dependent var 0.220081 S.E. of regression 0.220274 Sum squared resid 51.04386 F-statistic 0.382415 Durbin-Watson stat 1.899132 Prob(F-statistic) 0.765702

Unweighted Statistics

R-squared 0.012772 Mean dependent var 0.228821 Sum squared resid 373.4367 Durbin-Watson stat 0.259586

Hasil Estimasi Uji

Hausman Test

dengan Ukuran Likuiditas

Amihud Risk

Correlated Random Effects - Hausman Test Pool: POOL2

Test cross-section random effects

Test Summary

Chi-Sq.

Statistic Chi-Sq. d.f. Prob.

Cross-section random 4.115057 3 0.2493

Cross-section random effects test comparisons:

Variable Fixed Random Var(Diff.) Prob.

LNSIZE? -0.000000 0.000000 0.000000 0.0737

BM?

-1300.675393 -1417.937319 15709.050213 0.3495 RISK? -22.377834 0.951151 765.138353 0.3990

Cross-section random effects test equation: Dependent Variable: RV?

Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Variable Coefficient Std. Error t-Statistic Prob.

C 0.244839 0.021480 11.39849 0.0000 LNSIZE? -1.20E-16 4.39E-15 -0.027344 0.9782 BM? -1300.675 1370.719 -0.948900 0.3429 RISK? -22.37783 247.6054 -0.090377 0.9280

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.867893 Mean dependent var 0.228821 Adjusted R-squared 0.864818 S.D. dependent var 0.598789 S.E. of regression 0.220158 Akaike info criterion -0.165556 Sum squared resid 49.97196 Schwarz criterion -0.048079 Log likelihood 112.4135 Hannan-Quinn criter. -0.121025 F-statistic 282.2194 Durbin-Watson stat 1.941289 Prob(F-statistic) 0.000000

Hasil Estimasi

Fixed Effects Model

dengan Ukuran Likuiditas

Amihud Share

Turnover

Dependent Variable: RV? Method: Pooled Least Squares Date: 08/09/14 Time: 17:01 Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Variable Coefficient Std. Error t-Statistic Prob.

C 0.230905 0.021229 10.87679 0.0000 LNSIZE? 6.34E-16 4.38E-15 0.144813 0.8849 BM? -1133.322 1365.349 -0.830060 0.4067 STO? 0.958463 0.340191 2.817431 0.0049 Fixed Effects (Cross)

_BACA--C -0.153620 _BBCA--C -0.229728 _BNGA--C -0.193962 _BDMN--C -0.207548 _BAEK--C -0.145954 _SDRA--C 1.026238 _BABP--C -0.009553 _BMRI--C 2.232340 _MAYA--C 0.029446 _MEGA--C -0.193402 _BBNI--C -0.214746 _NISP--C -0.142316 _BSWD--C -0.130287 _PNBN--C -0.177086 _BNLI--C -0.182519 _BKSW--C -0.197103 _BBRI--C -0.169702 _BBTN--C -0.197878 _BVIC--C -0.174510

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.868901 Mean dependent var 0.228821 Adjusted R-squared 0.865849 S.D. dependent var 0.598789 S.E. of regression 0.219316 Akaike info criterion -0.173218 Sum squared resid 49.59054 Schwarz criterion -0.055740 Log likelihood 116.4590 Hannan-Quinn criter. -0.128686 F-statistic 284.7204 Durbin-Watson stat 1.915603 Prob(F-statistic) 0.000000

Hasil Estimasi

Redundant

Fixed Effects Model

dengan Ukuran Likuiditas

Amihud Share Turnover

Redundant Fixed Effects Tests Pool: POOL3

Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 264.011952 (21,1031) 0.0000 Cross-section Chi-square 1956.539424 21 0.0000

Dependent Variable: RV? Method: Panel Least Squares Date: 08/09/14 Time: 17:01 Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Variable Coefficient Std. Error t-Statistic Prob.

C 0.095263 0.033787 2.819540 0.0049 LNSIZE? 4.03E-14 3.87E-15 10.40018 0.0000 BM? -2301.724 1956.507 -1.176445 0.2397 STO? 5.404495 0.700855 7.711290 0.0000

R-squared 0.163910 Mean dependent var 0.228821 Adjusted R-squared 0.161526 S.D. dependent var 0.598789 S.E. of regression 0.548300 Akaike info criterion 1.639793 Sum squared resid 316.2660 Schwarz criterion 1.658589 Log likelihood -861.8107 Hannan-Quinn criter. 1.646918 F-statistic 68.74616 Durbin-Watson stat 0.305971 Prob(F-statistic) 0.000000

Hasil Estimasi

Random Effects Model

dengan Ukuran Likuiditas

Share

Turnover

Dependent Variable: RV?

Method: Pooled EGLS (Cross-section random effects) Date: 08/09/14 Time: 17:02

Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.

C 0.228273 0.113839 2.005219 0.0452 LNSIZE? 2.02E-15 4.31E-15 0.467757 0.6401 BM? -1248.755 1358.965 -0.918902 0.3584 STO? 0.988907 0.339874 2.909626 0.0037 Random Effects (Cross)

_BBCA--C -0.247735 _BNGA--C -0.192310 _BDMN--C -0.209190 _BAEK--C -0.142753 _SDRA--C 1.024622 _BABP--C -0.004840 _BMRI--C 2.208890 _MAYA--C 0.031748 _MEGA--C -0.190193 _BBNI--C -0.218892 _NISP--C -0.139327 _BSWD--C -0.126445 _PNBN--C -0.174780 _BNLI--C -0.179512 _BKSW--C -0.193258 _BBRI--C -0.181444 _BBTN--C -0.195516 _BVIC--C -0.168388

Effects Specification

S.D. Rho

Cross-section random 0.524661 0.8513

Idiosyncratic random 0.219316 0.1487

Weighted Statistics

R-squared 0.009071 Mean dependent var 0.013781 Adjusted R-squared 0.006245 S.D. dependent var 0.220313 S.E. of regression 0.219624 Sum squared resid 50.74269 F-statistic 3.209874 Durbin-Watson stat 1.869647 Prob(F-statistic) 0.022389

Unweighted Statistics

R-squared 0.033066 Mean dependent var 0.228821 Sum squared resid 365.7603 Durbin-Watson stat 0.259380

Hasil Estimasi Uji

Hausman Test

dengan Ukuran Likuiditas

Share Turnover

Correlated Random Effects - Hausman Test Pool: POOL3

Test cross-section random effects

Test Summary

Chi-Sq.

Statistic Chi-Sq. d.f. Prob.

Cross-section random effects test comparisons:

Variable Fixed Random Var(Diff.) Prob.

LNSIZE? 0.000000 0.000000 0.000000 0.0663

BM?

-1133.322005 -1248.755114 17393.119459 0.3814 STO? 0.958463 0.988907 0.000215 0.0379

Cross-section random effects test equation: Dependent Variable: RV?

Method: Panel Least Squares Date: 08/09/14 Time: 17:02 Sample: 2010M01 2013M12 Included observations: 48 Cross-sections included: 22

Total pool (balanced) observations: 1056

Variable Coefficient Std. Error t-Statistic Prob.

C 0.230905 0.021229 10.87679 0.0000 LNSIZE? 6.34E-16 4.38E-15 0.144813 0.8849 BM? -1133.322 1365.349 -0.830060 0.4067 STO? 0.958463 0.340191 2.817431 0.0049

Effects Specification

Cross-section fixed (dummy variables)