PENGARUH CORPORATE SOCIAL RESPONSIBILITY TERHADAP STOCK RETURN PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA TAHUN 2012-2014 - UMBY repository

(1)

PENGARUH

CORPORATE SOCIAL RESPONSIBILITY

TERHADAP

STOCK

RETURN

PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA

EFEK INDONESIA TAHUN 2012-2014

SKRIPSI

Diajukan kepada;

Fakultas Ekonomi Universitas Mercu Buana Yogyakarta

Sebagai salah satu syarat untuk memenuhi derajat

Sarjana Strata Satu (S1)

Oleh :

Dhamayunita Andhany Puspitaningrum

12061129

PROGRAM STUDI AKUNTANSI

FAKULTAS EKONOMI

UNIVERSITAS MERCU BUANA

(2)

Lampiran 1: Data Penelitian

2011 2012 2013 2014 2012 2013 2014 2012 2013 2014 2012 2013 2014 2011 2012 2013 2014 2012 2013 2014 2012 2013 2014 1 BUMI Bumi Resources Tbk 2175 590 300 80 0 0 0 -0,7287 -0,4915 -0,7333 -0,7287 -0,4915 -0,7333 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,8811 -0,4817 -0,8783 2 PGAS Perusahaan Gas Negara (Persero) Tbk 3175 4.600 4.475 6.000 203 210 0 0,5127 0,0186 0,3408 0,4488 -0,0272 0,3408 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 0,2965 -0,0173 0,1958 3 MEDC Medco Energi Internasional Tbk 2425 1.630 2.100 3.800 0 0 0 -0,3278 0,2883 0,8095 -0,3278 0,2883 0,8095 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,4802 0,2982 0,6645 4 INCO Vale Indonesia/ International Nickel Indonesia (INCO) Tbk 3200 2.350 2.650 3.625 49 30 124 -0,2503 0,1405 0,4146 -0,2656 0,1277 0,3679 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,4179 0,1375 0,2229 5 BRAU Berau Coal Energy Tbk 415 195 186 63 0 0 0 -0,5301 -0,0462 -0,6613 -0,5301 -0,0462 -0,6613 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,6824 -0,0363 -0,8063 6 INDY Indika Energi Tbk 2175 1.420 590 510 35 0 0 -0,3309 -0,5845 -0,1356 -0,3471 -0,5845 -0,1356 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,4995 -0,5747 -0,2806 7 ENRG Energi Mega Persada Tbk 178 82 70 100 0 0 0 -0,5393 -0,1463 0,4286 -0,5393 -0,1463 0,4286 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,6917 -0,1365 0,2836 8 BORN Borneo Lumbung Energy & Metal Tbk 830 540 174 50 0 0 0 -0,3494 -0,6778 -0,7126 -0,3494 -0,6778 -0,7126 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,5017 -0,6679 -0,8576 9 ANTM Aneka Tambang (Persero) Tbk 1620 1.280 1.090 1.065 47 10 0 -0,1808 -0,1409 -0,0229 -0,2099 -0,1484 -0,0229 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,3622 -0,1386 -0,1679 10 BYAN Bayan Resources Tbk 18000 8.450 8.500 6.650 0 0 0 -0,5306 0,0059 -0,2176 -0,5306 0,0059 -0,2176 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,6829 0,0158 -0,3626 11 ITMG Indo Tambangraya Megah Tbk 38650 41.550 28.500 15.375 3.130 1.989 1.745 0,1560 -0,2662 -0,3993 0,0750 -0,3141 -0,4605 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,0773 -0,3042 -0,6055 12 PTBA Bukit Asam Tbk 17350 15.100 10.200 12.500 721 462 325 -0,0881 -0,2939 0,2573 -0,1297 -0,3245 0,2255 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,2820 -0,3147 0,0805 13 DOID Delta Dunia Makmur Tbk 670 153 92 193 0 0 0 -0,7716 -0,3987 1,0978 -0,7716 -0,3987 1,0978 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,9240 -0,3888 0,9528 14 TINS Timah (Persero) Tbk 1670 1.540 1.600 1.230 43 56 26 -0,0522 0,0755 -0,2152 -0,0778 0,0390 -0,2313 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,2302 0,0488 -0,3762 15 HRUM Harum Energy Tbk 6850 6.000 2.750 1.660 252 110 0 -0,0873 -0,5233 -0,3964 -0,1241 -0,5417 -0,3964 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,2764 -0,5318 -0,5414 16 ELSA Elnusa Tbk 230 173 330 685 2 16 40 -0,2402 1,0018 1,1956 -0,2478 0,9075 1,0758 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,4002 0,9174 0,9308 17 BIPI Benakat Petroleum Energy Tbk 205 196 111 121 0 2 0 -0,0439 -0,4235 0,0901 -0,0439 -0,4337 0,0901 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,1962 -0,4238 -0,0549 18 GEMS Golden Energy Mines Tbk 2725 2.375 2.175 2.000 49 0 3 -0,1105 -0,0842 -0,0789 -0,1284 -0,0842 -0,0805 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,2808 -0,0744 -0,2255 19 ARII Atlas Resources Tbk 1520 1.510 850 448 0 0 0 -0,0066 -0,4371 -0,4729 -0,0066 -0,4371 -0,4729 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,1589 -0,4272 -0,6179 20 CITA Cita Mineral Investindo/ Cipta Panelutama Tbk 315 315 390 940 0 0 0 0,0000 0,2381 1,4103 0,0000 0,2381 1,4103 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,1523 0,2479 1,2653 21 CNKO Exploitasi Energi Indonesia Tbk 123 360 315 155 0 0 0 1,9268 -0,1250 -0,5079 1,9268 -0,1250 -0,5079 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 1,7745 -0,1152 -0,6529 22 DKFT Central Omega Resources/ Duta Kirana Finance Tbk 1560 415 460 505 50 50 50 -0,7019 0,2289 0,2065 -0,7340 0,1084 0,0978 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,8863 0,1183 -0,0472 23 LAPD Leyand International/ Lapindo International Tbk 182 175 113 50 0 0 0 -0,0385 -0,3543 -0,5575 -0,0385 -0,3543 -0,5575 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,1908 -0,3444 -0,7025 24 ESSA Surya Eka Perkasa Tbk 3.100 3.100 2.375 2.995 0 0 0 0,0000 -0,2339 0,2611 0,0000 -0,2339 0,2611 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,1523 -0,2240 0,1161 25 PKPK Perdana Karya Perkasa Tbk 182 225 86 88 0 0 0 0,2363 -0,6178 0,0233 0,2363 -0,6178 0,0233 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 0,0839 -0,6079 -0,1217 26 GTBO Garda Tujuh Buana Tbk 580 3.900 1.550 363 0 0 0 5,7241 -0,6026 -0,7658 5,7241 -0,6026 -0,7658 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 5,5718 -0,5927 -0,9108 27 MYOH Samindo Resources Tbk 1390 840 800 800 0 0 0 -0,3957 -0,0476 0,0000 -0,3957 -0,0476 0,0000 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,5480 -0,0378 -0,1450 28 CTTH Citatah Industri Marmer Tbk 71 58 64 67 0 0 0 -0,1831 0,1034 0,0469 -0,1831 0,1034 0,0469 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,3354 0,1133 -0,0981 29 MITI Mitra Investindo/ Siwani Trimitra Tbk 51 83 75 185 2 0 0 0,6667 -0,0964 1,4667 0,6275 -0,0964 1,4667 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 0,4751 -0,0865 1,3217 30 ATPK ATPK Resources Tbk 166 129 270 209 0 0 0 -0,2229 1,0930 -0,2259 -0,2229 1,0930 -0,2259 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 -0,3752 1,1029 -0,3709 31 SUGI Sugih Energy Tbk 157 320 445 427 0 0 0 1,0382 0,3906 -0,0404 1,0382 0,3906 -0,0404 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 0,8859 0,4005 -0,1854 32 PSAB J Resources Asia Pasifik/ Pelita Sejahtera Abadi Tbk 450 5.000 4.400 4.400 0 0 0 10,111 -0,1200 0,0000 10,1111 -0,1200 0,0000 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 9,9588 -0,1102 -0,1450 33 SMMT Golden Eagle Energy Tbk 2175 3.625 3.975 3.975 0 0 0 0,6667 0,0966 0,0000 0,6667 0,0966 0,0000 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 0,5143 0,1064 -0,1450 34 SQMI Renuka Coalindo Tbk 465 800 640 1.490 0 0 0 0,7204 -0,2000 1,3281 0,7204 -0,2000 1,3281 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 0,5681 -0,1902 1,1831 35 ITMA Sumber Andalan Tbk 450 1.500 13.900 13.900 0 0 0 2,3333 8,2667 0,0000 2,3333 8,2667 0,0000 3.746.069 4.316.687 4.274.180 4.893.908 0,152 -0,010 0,145 2,1810 8,2765 -0,1450

IHSG

Nama

Dividen Closing Price

No.

SR

CODE

AR

(3)

Social 2012

IP 2012 so1 so2 so3 so4 so5 so6 so7 so8

75

0

1

75

1

0

13

0

1

0

75

25

0

75

0

1

0

75

0

1

0

63

1

1

63

1

0

63

1

0

38

1

0

63

0

1

50

0

1

50

0

1

38

0

1

13

0

1

0

38

0

19

19

1

0

1

0

1

0

1

0

14

26

1

0

1

0

36

40

0

1

0

1

0

1

0

1

0

29

1

0

1

24

0

1

0

1

0

26

Economic performance 2012

social 2013

IP 2012 ep1 ep2 ep3 ep4 ep5 ep6 ep7 ep8 ep9

89

1

0

1

67

1

0

1

44

0

1

0

1

1

67

0

1

0

1

22

0

1

22

0

1

67

1

0

1

22

0

1

1

1

63

1

0

1

0

1

0

25

0

1

75

0

1

0

75

0

1

0

0

1

75

1

0

63

1

0

38

1

0

63

0

1

50

0

1

50

0

1

38

0

1

13

0

1

0

38

0

1

60

0

40

0

1

0

1

0

1

0

1

0

29

1

0

1

24

0

1

24

0

1

0

1

0

26

1

0

1

67

1

0

1

67

0

1

0

1

0

1

0

1

0

1

22

0

1

22

0

1

67

1

0

1

22

0

1

1

0

44

1

56

0

0

1

75

1

0

25

0

1

0

75

25

0

75

0

1

0

75

0

1

13

0

1

75

0

1

1

25

0

1

50

1

0

63

1

0

38

0

1

50

0

1

0

1

0

25

0

1

0

1

0

1

0

1

0

64

36

24

10

1

0

1

0

10

0

1

0

1

0

1

0

1

0

36

40

0

1

0

1

0

1

0

1

0

29

1

0

1

0

1

24

0

1

0

1

0

33

19

(10)

Environment 2014

Economic Perfomance 2014

89

1

0

1

67

1

0

1

56

0

1

0

1

0

1

0

1

22

0

1

22

0

1

78

1

0

1

0

1

0

22

0

1

78

1

0

22

1

0

1

1

Lampiran 2 : Statistik Deskriptif

Descriptives

Descriptive Statistics

105

-,77160

10,11100

,2443019

1,49082214

105

10

64

31,67

12,533

105

13

88

50,18

22,241

105

22

89

47,97

21,926

105

Y SR)

X1 (CSRS)

X2 (CSRE)

X3 (CSREP)

Valid N (listwise)

(12)

Lampiran 3 : Hasil Uji Normalitas

NPar Tests

One-Sample Kolmogorov-Smirnov Test

105

-,1142857

,52474320

,104

,053

-,104

1,064

,207

N

Mean

Std. Deviation

Normal Parameters

a,b

Absolute

Positive

Negative

Most Extreme

Differences

Kolmogorov-Smirnov Z

Asymp. Sig. (2-tailed)

Unstandardiz

ed Residual

Test distribution is Normal.

a.

(13)

Lampiran 4 : Hasil Uji Heteroskedastisitas

Regression

Variables Entered/Removed

b

X3

(CSREP),

X2

(CSRE),

X1 (CSRS)

a

.

Enter

Model

1

Variables

Entered

Variables

Removed

Method

All requested variables entered.

a.

Dependent Variable: ABS_RES1

b.

Model Summary

,194

a

,037

,009

,31032240

Model

1

R

R Square

Adjusted

R Square

Std. Error of

the Estimate

Predictors: (Constant), X3 (CSREP), X2 (CSRE), X1

(CSRS)

a.

ANOVA

b

,379

3

,126

1,311

,275

a

9,726

101

,096

10,105

104

Regression

Residual

Total

Model

1

Sum of

Squares

df

Mean Square

F

Sig.

Predictors: (Constant), X3 (CSREP), X2 (CSRE), X1 (CSRS)

a.

Dependent Variable: ABS_RES1

b.

Coefficients

a

-,097

,346

-,279

,781

,009

,006

,357

1,578

,118

,003

,206

,911

,364

,001

,044

,442

,659

(Constant)

X1 (CSRS)

X2 (CSRE)

X3 (CSREP)

Model

1

B

Std. Error

Unstandardized

Coefficients

Beta

Standardized

Coefficients

t

Sig.

(14)

Lampiran 5 : Hasil Regresi Linier

Regression

Variables Entered/Removed

b

X3

(CSREP),

X2

(CSRE),

X1 (CSRS)

a

.

Enter

Model

1

Variables

Entered

Variables

Removed

Method

All requested variables entered.

a.

Dependent Variable: Y SR)

b.

Model Summary

b

,782

a

,611

,600

,94328326

2,134

Model

1

R

R Square

Adjusted

R Square

Std. Error of

the Estimate

Durbin-Watson

a.

Dependent Variable: Y SR)

b.

ANOVA

b

141,277

3

47,092

52,926

,000

a

89,868

101

,890

231,145

104

Regression

Residual

Total

Model

1

Sum of

Squares

df

Mean Square

F

Sig.

a.

(15)

Coefficients

a

-6,488

1,053

-6,164

,000

,141

,017

1,187

8,249

,000

,186

5,375

,033

,010

,488

3,399

,001

,187

5,352

,013

,004

,191

3,046

,003

,978

1,023

(Constant)

X1 (CSRS)

X2 (CSRE)

X3 (CSREP)

Model

1

B

Std. Error

Unstandardized

Coefficients

Beta

Standardized

Coefficients

t

Sig.

Tolerance

VIF

Collinearity Statistics

Dependent Variable: Y SR)

a.

Residuals Statistics

a

-2,05775

4,1155515

,2443019

1,16551884

105

-1,975

3,321

,000

1,000

105

,095

,356

,177

,050

105

-2,12904

3,5508959

,2341210

1,14083509

105

-1,78694

6,111228

,00000000

,92957866

105

-1,894

6,479

,000

,985

105

-1,999

6,932

,005

1,042

105

-1,98880

6,997369

,01018094

1,04066166

105

-2,029

9,528

,036

1,250

105

,067

13,843

2,971

2,415

105

,000

1,742

,032

,193

105

,001

,133

,029

,023

105

Predicted Value

Std. Predicted Value

Standard Error of

Predicted Value

Adjusted Predicted Value

Residual

Std. Residual

Stud. Residual

Deleted Residual

Stud. Deleted Residual

Mahal. Distance

Cook's Distance

Centered Leverage Value

Minimum

Maximum

Mean

Std. Deviation

N