Lampiran 1
Deskripsi Statistik
Descriptive Statistics
Lampiran 2
Distribusi Data
Frequencies
Statistics
RitIHSG
N Valid 491
Missing 0
Mean 6,5309572E-4
Median ,0011200
Std. Deviation ,01101955
Variance .000
Statistics
RitLQ45
N Valid 493
Missing 0
Mean 6,0710406E-4
Median ,0012144
Std. Deviation ,01263733
Variance .000
Statistics
RitKOMPAS100
N Valid 489
Missing 0
Mean 5,8415828E-4
Median ,0011066
Variance .000
Statistics
BAS
N Valid 12297
Missing 0
Mean ,0470178
Median ,0080300
Std. Deviation ,27147583
Variance .074
Statistics
TradingVolume LQ45
N Valid 12297
Missing 0
Mean 30,581,248.72
Median 10,355,000.00
Std. Deviation 71,800,731.675
Variance 5.155E15
Statistics
BidVolumeLQ452012
N Valid 12297
Missing 0
Mean 3,517,799.91
Median 636,000.00
Std. Deviation 14,924,302.645
Statistics
OfferVolumeLQ452012
N Valid 12297
Missing 0
Mean 16,678,308.04
Median 770,000.00
Std. Deviation 1.090E8
Lampiran 3
Output Hipotesis Day of the week effect (H1A)
IHSG
DescriptiveN Mean Std. Deviation Std. Error Minimum Maximum
Monday 96 -,0020410 ,01122967 ,00114612 -,05620 ,02366
Tuesday 99 ,0012483 ,01008255 ,00101333 -,02880 ,04741
Wednesday 101 ,0033262 ,00981279 9,76408704E-4 -,01960 ,03414
Thursday 98 -6,6051020E-4 ,01286105 ,00129916 -,08840 ,04542
Friday 97 ,0012558 ,01032141 ,00104798 -,04810 ,02082
Total 491 6,5309572E-4 ,01101955 4,97305304E-4 -,08840 ,04741
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitIHSG 491 6,5309572E-4 ,01101955 -,08840 ,04741
CriteriaH1a 491 3.00 1.406 1 5
Kruskal Wallis Test
CriteriaH1a N Mean Rank Asymp. Sig.
RitIHSG Monday 96 208.34 .004
Tuesday 99 252.94
Wednesday 101 278.05
Thursday 98 226.89
Friday 97 262.11
LQ45
Descriptive
RitLQ45
CriteriaH1a Mean N Std. Deviation
Monday -,0020486 98 ,01256128
Tuesday ,0011562 99 ,01138861
Wednesday ,0038288 101 ,01159831
Thursday -,0012208 99 ,01476213
Friday ,0012475 96 ,01196920
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitLQ45 493 6,0710406E-4 ,01263733 -,10078 ,05297
CriteriaH1a 493 2.99 1.407 1 5
Ranks
CriteriaH1a N Mean Rank
RitLQ45 Monday 98 213.08
Tuesday 99 251.06
Wednesday 101 282.38
Thursday 99 226.10
Friday 96 261.77
Total 493
Test Statisticsa,b
RitLQ45
Chi-Square 15.026
Asymp. Sig. .005
a. Kruskal Wallis Test
b. Grouping Variable: CriteriaH1a
KOMPAS100
Descriptive
RitKOMPAS100
CriteriaH1a Mean N Std. Deviation
Monday -,0021327 97 ,01218329
Tuesday ,0012144 97 ,01103553
Wednesday ,0036010 100 ,01108578
Thursday -,0010804 99 ,01409773
Friday ,0012665 96 ,01137044
Total 5,8415828E-4 489 ,01213401
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitKOMPAS100 489 5,8415828E-4 ,01213401 -,09610 ,05113
CriteriaH1a 489 3.00 1.408 1 5
Ranks
CriteriaH1a N Mean Rank
RitKOMPAS100 Monday 97 210.63
Tuesday 97 251.24
Wednesday 100 277.80
Thursday 99 224.38
Friday 96 260.52
Test Statisticsa,b
RitKOMPAS100
Chi-Square 14.581
df 4
Asymp. Sig. .006
a. Kruskal Wallis Test
Lampiran 4
Output Hipotesis 1B (Monday Effect)
IHSG
Group Statistics
CriteriaH1b N Mean Std. Deviation Std. Error Mean
RitIHSG Monday Only 96 -,0020410 ,01122967 ,00114612
Tuesday-Friday 395 ,0013079 ,01088178 5,47521700E-4
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitIHSG 491 6,5309572E-4 ,01101955 -,08840 ,04741
CriteriaH1b 491 .20 .397 0 1
Ranks
CriteriaH1b N Mean Rank Sum of Ranks
RitIHSG Tuesday-Friday 395 255.15 100785.00
Monday Only 96 208.34 20001.00
Total 491
Test Statisticsa
RitIHSG
Mann-Whitney U 1.534E4
Wilcoxon W 2.000E4
Z -2.899
Asymp. Sig. (2-tailed) .004
LQ45
Descriptive
RitLQ45
CriteriaH1b Mean N Std. Deviation
Tuesday-Friday ,0012660 395 ,01258531
Monday Only -,0020486 98 ,01256128
Total 6,0710406E-4 493 ,01263733
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitLQ45 493 6,0710406E-4 ,01263733 -,10078 ,05297
CriteriaH1b 493 .20 .399 0 1
Ranks
CriteriaH1b N Mean Rank Sum of Ranks
RitLQ45 Tuesday-Friday 395 255.42 100889.00
Monday Only 98 213.08 20882.00
Total 493
Test Statisticsa
RitLQ45
Mann-Whitney U 1.603E4
Wilcoxon W 2.088E4
Z -2.633
Asymp. Sig. (2-tailed) .008
KOMPAS100
Descriptive
RitKOMPAS100
CriteriaH1b Mean N Std. Deviation
Tuesday-Friday ,0012565 392 ,01204293
Monday Only -,0021327 97 ,01218329
Total 5,8415828E-4 489 ,01213401
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitKOMPAS100 489 5,8415828E-4 ,01213401 -,09610 ,05113
CriteriaH1b 489 .20 .399 0 1
Ranks
CriteriaH1b N Mean Rank Sum of Ranks
RitKOMPAS100 Tuesday-Friday 392 253.51 99374.00
Monday Only 97 210.63 20431.00
Total 489
Test Statisticsa
RitKOMPAS100
Mann-Whitney U 15678.000
Wilcoxon W 20431.000
Z -2.676
Asymp. Sig. (2-tailed) .007
Lampiran 5
Output Hipotesis 2A (Monday Effect in the last half of the month)
IHSG
Group Statistics
CriteriaH2a N Mean Std. Deviation Std. Error Mean
RitIHSG Mondays last two weeks 41 -,0033363 ,00975296 ,00152316
Mondays first three weeks 55 -,0010755 ,01221348 ,00164687
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitIHSG 491 6,5309572E-4 ,01101955 -,08840 ,04741
CriteriaH2a 96 .43 .497 0 1
Ranks
CriteriaH2a N Mean Rank Sum of Ranks
RitIHSG Mondays first three weeks 55 51.93 2856.00
Mondays last two weeks 41 43.90 1800.00
Total 96
Test Statisticsa
RitIHSG
Mann-Whitney U 939.000
Wilcoxon W 1.800E3
Z -1.396
Asymp. Sig. (2-tailed) .163
LQ45
Descriptive
RitLQ45
CriteriaH2a Mean N Std. Deviation
Mondays first three weeks -,0010333 56 ,01352533
Mondays last two weeks -,0034024 42 ,01116299
Total -,0020486 98 ,01256128
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitLQ45 493 6,0710406E-4 ,01263733 -,10078 ,05297
CriteriaH2a 98 .43 .497 0 1
Ranks
CriteriaH2a N Mean Rank Sum of Ranks
RitLQ45 Mondays first three weeks 56 52.48 2939.00
Mondays last two weeks 42 45.52 1912.00
Total 98
Test Statisticsa
RitLQ45
Mann-Whitney U 1.009E3
Wilcoxon W 1.912E3
Z -1.199
Asymp. Sig. (2-tailed) .231
KOMPAS100
Descriptive
RitKOMPAS100
CriteriaH2a Mean N Std. Deviation
Mondays first three weeks -0,00095707091 55 ,01317757
Mondays last two weeks -,0036723 42 ,01070326
Total -,0021327 97 ,01218329
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitKOMPAS100 489 5,8415828E-4 ,01213401 -,09610 ,05113
CriteriaH2a 97 .43 .498 0 1
Ranks
CriteriaH2a N Mean Rank Sum of Ranks
RitKOMPAS100 Mondays first three weeks 55 52.89 2909.00
Mondays last two weeks 42 43.90 1844.00
Total 97
Test Statisticsa
RitKOMPAS100
Mann-Whitney U 941.000
Wilcoxon W 1844.000
Z -1.558
Asymp. Sig. (2-tailed) .119
Lampiran 6
Output Hipotesis 2B Monthly Effect
IHSG
Group Statistics
CriteriaH2b N Mean
Std. Deviation
Std. Error Mean
RitIHSG Tuesday-Friday last half of the
month 180 ,0023256 ,01110067 8,27394946E-4
Tuesday-Friday first half of the
month 215
4,5581395E-4 ,01064618 7,26063139E-4
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitIHSG 491 6,5309572E-4 ,01101955 -,08840 ,04741
CriteriaH2b 395 .46 .499 0 1
Ranks
CriteriaH2b N Mean Rank Sum of Ranks
RitIHSG Tuesday-Friday first half of the month 215 184.40 39645.00
Tuesday-Friday last half of the month 180 214.25 38565.00
Total 395
Test Statisticsa
RitIHSG
Mann-Whitney U 1.642E4
Wilcoxon W 3.964E4
Z -2.588
Asymp. Sig. (2-tailed) .010
LQ45
Descriptive
RitLQ45
CriteriaH2b Mean N Std. Deviation
Tuesday-Friday first half of the month 0,00025991116 215 ,01226096
Tuesday-Friday last half of the month ,0024677 180 ,01289346
Total ,0012660 395 ,01258531
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitLQ45 493 6,0710406E-4 ,01263733 -,10078 ,05297
CriteriaH2b 395 .46 .499 0 1
Ranks
CriteriaH2b N Mean Rank Sum of Ranks
RitLQ45 Tuesday-Friday first half of the month 215 184.40 39647.00
Tuesday-Friday last half of the month 180 214.24 38563.00
Total 395
Test Statisticsa
RitLQ45
Mann-Whitney U 1.643E4
Wilcoxon W 3.965E4
Z -2.587
Asymp. Sig. (2-tailed) .010
KOMPAS100
Descriptive
RitKOMPAS100
CriteriaH2b Mean N Std. Deviation
Tuesday-Friday first half of the month 0,00033529811 212 ,01179350
Tuesday-Friday last half of the month ,0023414 180 ,01227446
Total ,0012565 392 ,01204293
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitKOMPAS100 489 5,8415828E-4 ,01213401 -,09610 ,05113
CriteriaH2b 392 .46 .499 0 1
Ranks
CriteriaH2b N Mean Rank Sum of Ranks
RitKOMPAS100 Tuesday-Friday first half of the month 212 183.22 38842.00
Tuesday-Friday last half of the month 180 212.14 38186.00
Total 392
Test Statisticsa
RitKOMPAS100
Mann-Whitney U 16264.000
Wilcoxon W 38842.000
Z -2.519
Asymp. Sig. (2-tailed) .012
Lampiran 7
Output Regresi
IHSG
Descriptive Statistics
Mean Std. Deviation N
RitIHSG 6,3381552E-4 ,01103328 491
AllMondaysIHSG .20 .397 491
LAst2MondaysIHSG .08 .277 491
Variables Entered/Removedb
Model Variables Entered Variables Removed Method
1 LAst2MondaysIHSG, AllMondaysIHSGa . Enter
a. All requested variables entered.
b. Dependent Variable: RitIHSG
Model Summaryb
Model R R
Square
Adjusted R
Square
Std. Error of the
Estimate
Change Statistics
R Square
a. Predictors: (Constant), LAst2MondaysIHSG, AllMondaysIHSG
b. Dependent Variable: RitIHSG
ANOVAb
Model Sum of Squares df Mean Square F Sig.
1 Regression .001 2 .000 4.126 .017a
Residual .059 488 .000
Total .060 490
a. Predictors: (Constant), LAst2MondaysIHSG, AllMondaysIHSG
Coefficientsa
a. Dependent Variable:
RitIHSG
LQ45
Descriptive Statistics
Mean Std. Deviation N
RitLQ45 6,0710406E-4 ,01263733 493
AllMondaysLQ45 .20 .399 493
Variables Entered/Removedb
Model Variables Entered Variables Removed Method
1 Last2MondaysLQ45, AllMondaysLQ45a . Enter
a. All requested variables entered.
b. Dependent Variable: RitLQ45
Model Summaryb
Model R R
Square
Adjusted R
Square
Std. Error of the
Estimate
Change Statistics
R Square
a. Predictors: (Constant), Last2MondaysLQ45, AllMondaysLQ45
b. Dependent Variable: RitLQ45
ANOVAb
Model Sum of Squares df Mean Square F Sig.
1 Regression .001 2 .000 3.150 .044a
Residual .078 490 .000
Total .079 492
a. Predictors: (Constant), Last2MondaysLQ45, AllMondaysLQ45
b. Dependent Variable: RitLQ45
AllMondaysLQ45
-.002 .002 -.073
-1.280 .201 -.105 -.058
-.057 .625 1.601
Last2MondaysLQ45
-.002 .003 -.052 -.922 .357 -.097 -.042
-.041 .625 1.601
a. Dependent Variable:
RitLQ45
KOMPAS100
Descriptive Statistics
Mean Std. Deviation N
RitKOMPAS100 5,8415828E-4 ,01213401 489
AllMondaysKOMPAS100 .20 .399 489
Last2MondaysKOMPAS100 .09 .280 489
Variables Entered/Removedb
Model Variables Entered Variables Removed Method
1 Last2MondaysKOMPAS100, AllMondaysKOMPAS100a . Enter
a. All requested variables entered.
b. Dependent Variable: RitKOMPAS100
Model R R
Square
Adjusted R
Square
Std. Error of the
Estimate
Change Statistics
R Square
a. Predictors: (Constant), Last2MondaysKOMPAS100,
AllMondaysKOMPAS100
b. Dependent Variable:
RitKOMPAS100
a. Predictors: (Constant), Last2MondaysKOMPAS100, AllMondaysKOMPAS100
b. Dependent Variable: RitKOMPAS100
Coefficientsa
Model
Unstandardize
d Coefficients
Standardize
1 (Constant)
Last2MondaysKOMPAS1
00 -.003 .002 -.063
-1.09
8 .27
3
-.108 -.050
-.04
9
.620 1.61
2
a. Dependent Variable:
Lampiran 8
Output Hipotesis 3 (Rogalski effect di bulan januari)
IHSG
Group Statistics
CriteriaH3 N Mean Std. Deviation Std. Error Mean
RitIHSG January 7 -,0026000 ,00993797 ,00375620
Non Janary 89 -,0019971 ,01137435 ,00120568
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitIHSG 491 6,5309572E-4 ,01101955 -,08840 ,04741
CriteriaH3 96 .07 .261 0 1
Ranks
CriteriaH3 N Mean Rank Sum of Ranks
RitIHSG Non January 89 49.02 4363.00
January 7 41.86 293.00
Total 96
Test Statisticsa
RitIHSG
Mann-Whitney U 265.000
Wilcoxon W 293.000
Z -.655
Asymp. Sig. (2-tailed) .512
NonMondays
Descriptive
RitIHSG
Criteria Mean N Std. Deviation
Tuesday-Friday non January ,0012066 358 ,01122480
Tuesday-Friday January ,0022881 37 ,00673905
Total ,0013079 395 ,01088178
Ranks
Criteria N Mean Rank Sum of Ranks
RitIHSG Tuesday-Friday non January 358 196.92 70498.00
Tuesday-Friday January 37 208.43 7712.00
Total 395
Test Statisticsa
RitIHSG
Mann-Whitney U 6.237E3
Wilcoxon W 7.050E4
Z -.584
Asymp. Sig. (2-tailed) .559
a. Grouping Variable: Criteria
LQ45
Descriptive
RitLQ45
CriteriaH3 Mean N Std. Deviation
Non January -,0019444 90 ,01267744
January -,0032215 8 ,01188862
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitLQ45 493 6,0710406E-4 ,01263733 -,10078 ,05297
CriteriaH3 98 .08 .275 0 1
Ranks
CriteriaH3 N Mean Rank Sum of Ranks
RitLQ45 Non January 90 50.10 4509.00
January 8 42.75 342.00
Total 98
Test Statisticsa
RitLQ45
Mann-Whitney U 306.000
Wilcoxon W 342.000
Z -.701
Asymp. Sig. (2-tailed) .484
a. Grouping Variable: CriteriaH3
Non Mondays
Descriptive
RitLQ45
CriteriaH3NonMondays Mean N Std. Deviation
Tuesday-Friday Non January ,0012278 363 ,01288889
Tuesday-Friday January ,0016996 32 ,00854282
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitLQ45 493 6,0710406E-4 ,01263733 -,10078 ,05297
CriteriaH3NonMondays 395 .08 .273 0 1
Ranks
CriteriaH3NonMondays N Mean Rank Sum of Ranks
RitLQ45 Tuesday-Friday Non January 363 197.71 71767.00
Tuesday-Friday January 32 201.34 6443.00
Total 395
Test Statisticsa
RitLQ45
Mann-Whitney U 5.701E3
Wilcoxon W 7.177E4
Z -.173
Asymp. Sig. (2-tailed) .863
a. Grouping Variable: CriteriaH3NonMondays
KOMPAS100
Descriptive
RitKOMPAS100
CriteriaH3 Mean N Std. Deviation
Non January -,0020467 89 ,01234612
January -,0030902 8 ,01087581
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitKOMPAS100 489 5,8415828E-4 ,01213401 -,09610 ,05113
CriteriaH3 97 .08 .277 0 1
Ranks
CriteriaH3 N Mean Rank Sum of Ranks
RitKOMPAS100 Non January 89 49.67 4421.00
January 8 41.50 332.00
Total 97
Test Statisticsa
RitKOMPAS100
Mann-Whitney U 296.000
Wilcoxon W 332.000
Z -.787
Asymp. Sig. (2-tailed) .431
a. Grouping Variable: CriteriaH3
NON MONDAYS
Descriptive
RitKOMPAS100
CriteriaH3NonMondays Mean N Std. Deviation
Tuesday-Friday Non January ,0011927 358 ,01237678
Tuesday-Friday January ,0019277 34 ,00779259
Descriptive Statistics
N Mean Std. Deviation Minimum Maximum
RitKOMPAS100 489 5,8415828E-4 ,01213401 -,09610 ,05113
CriteriaH3NonMondays 392 .09 .282 0 1
Ranks
CriteriaH3NonMondays N Mean Rank Sum of Ranks
RitKOMPAS100 Tuesday-Friday Non January 358 195.85 70115.00
Tuesday-Friday January 34 203.32 6913.00
Total 392
Test Statisticsa
RitKOMPAS100
Mann-Whitney U 5854.000
Wilcoxon W 70115.000
Z -.367
Asymp. Sig. (2-tailed) .713
Lampiran 9
Ouput Hipotesis 4 (Bid Ask Spread)
Descriptive
BAS
N Mean Std. Deviation Std. Error
Monday 2448 ,0466310 ,27042271 ,00546560
Tuesday 2500 ,0472446 ,27331721 ,00546634
Wednesday 2550 ,0474601 ,27340306 ,00541419
Thursday 2499 ,0468445 ,27051959 ,00541147
Friday 2300 ,0468808 ,26970855 ,00562381
Total 12297 ,0470178 ,27147583 ,00244811
Group Statistics
Criteria N Mean Std. Deviation Std. Error Mean
BAS Monday Only 2448 ,0466296 ,27042289 ,00546560
Tuesday-Friday 9849 ,0471143 ,27175051 ,00273826
Mannn-Whitney Test
Criteria N Mean Rank Sum of Ranks
BAS Tuesday-Friday 9849 6153.67 60607533.00
Monday Only 2448 6130.20 15006720.00
Test Statisticsa
BAS
Mann-Whitney U 1.201E7
Wilcoxon W 1.501E7
Z -.293
Asymp. Sig. (2-tailed) .770
a. Grouping Variable:
Lampiran 10
Output Hipotesis 5 (Volume Perdagangan)
Descriptive
Variable N
Trading Volume
Mean
Monday 2448 28,348,633.78
Tuesday 2500 31,414,786.00
Wednesday 2550 31,386,587.06
Thursday 2499 32,324,637.05
Friday 2300 29,264,404.35
Descriptive
CriteriaLQ45 N Mean Std. Deviation Std. Error Mean
TradingVolumeLQ45 Monday Only 2448 28,476,957.11 66,031,583.893 1,334,584.289
Tuesday-Friday 9849 31,104,277.03 73,157,889.769 737,165.669
Mann-Whitney Test
CriteriaLQ45 N Mean Rank Sum of Ranks Asymp. Sig. (2-tailed
TradingVolumeLQ45 Tuesday-friday 9849 6213.35 61195277.50 .000
Monday Only 2448 5890.10 14418975.50
Lampiran 11
Output Hipotesis 6 (Minat Jual dan Beli Investor)
Paired Samples Statistics
Mean N Std. Deviation Std. Error Mean Sig.
Pair 1 BidVolumeLQ45 3,351,207.92 2448 15,173,729.753 306,680.836 .000
OfferVolumeLQ45 15,985,799.63 2448 1.065E8 2,153,388.713
NPar Tests
Wilcoxon Signed Ranks Test
N
Mean
Rank
Sum of
Ranks
Asymp. Sig.
(2-tailed)
OfferVolumeLQ45 -
BidVolumeLQ45
Negative
Ranks 1076
a
1107.43 1191592.00
.035
Positive
Ranks 1165
b
1133.54 1320569.00
Ties 207c
Total 2448
a. OfferVolumeLQ45 < BidVolumeLQ45
b. OfferVolumeLQ45 > BidVolumeLQ45
c. OfferVolumeLQ45 = BidVolumeLQ45
BID Volume dan Offer Volume LQ45 2012
Descriptive
Days Bid Volume LQ45 2012 Offer Volume LQ45 2012
N Mean Mean
Monday 2448 3,351,207.92 15,985,799.63
Tuesday 2500 3,618,566.00 16,498,654.40
Wednesday 2550 3,575,411.37 16,839,876.08
Thursday 2499 3,490,474.19 17,261,542.62
Friday 2300 3,551,399.78 16,797,826.74
