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Website bei.
www.idx.co.id
diakses pada 2012.
Penentuan Portofolio
Winner
&
Losser
Data Periode Februari s/d Juli 2010
No Perusahaan CAR AAR Portofolio
1 AALI -0,2954 -0,0024 Losser
2 ADRO -0,0650 -0,0005 Losser
3 ANTM -0,1197 -0,0010 Losser
4 ASII 0,2260 0,0018 Winner
5 BBCA 0,0651 0,0005 Winner
6 BBNI 0,3330 0,0027 Winner
7 BBRI 0,1501 0,0012 Winner
8 BDMN -0,0017 0,0000 Losser
9 BMRI 0,1409 0,0011 Winner
10 BUMI -0,4253 -0,0034 Losser
11 ELTY -0,7148 -0,0057 Losser
12 ENRG -0,4779 -0,0038 Losser
13 GGRM 0,2718 0,0022 Winner
14 INCO 0,0672 0,0005 Winner
15 INDF 0,1299 0,0010 Winner
16 INDY 0,2244 0,0018 Winner
17 INTP 0,2919 0,0023 Winner
18 ITMG 0,1123 0,0009 Winner
19 JSMR 0,2995 0,0024 Winner
20 KLBF 0,3955 0,0032 Winner
21 LPKR -0,2110 -0,0017 Losser
22 LSIP 0,0233 0,0002 Winner
23 PGAS -0,0315 -0,0003 Losser
24 PTBA -0,1425 -0,0011 Losser
25 SMGR 0,0406 0,0003 Winner
26 TINS 0,0137 0,0001 Winner
27 TLKM -0,2161 -0,0017 Losser
28 UNSP -0,6957 -0,0056 Losser
29 UNTR 0,1445 0,0012 Winner
-0,0100
Penentuan Portofolio Winner dan Losser
Data Periode Februari - Juli 2010
Gambar 2
-0,0060 -0,0040 -0,0020 0,0000 0,0020 0,0040 0,0060 0,0080 0,0100 0,0120 0,0140
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
Bulan
Data CAR dan AAR Berdasar Portofolio Winner dan Losser
Data Periode Agustus 2010 s/d Juli 2012
No Perusahaan CAR AAR Portofolio
1 AALI 0,1153 0,0005 Losser
2 ADRO -0,3200 -0,0013 Losser
3 ANTM -0,5345 -0,0022 Losser
4 ASII 0,2247 0,0009 Winner
5 BBCA 0,1644 0,0007 Winner
6 BBNI 0,1879 0,0008 Winner
7 BBRI 1,3073 0,0053 Winner
8 BDMN 0,1094 0,0004 Losser
9 BMRI 0,2466 0,0010 Winner
10 BUMI -0,4530 -0,0018 Losser
11 ELTY -0,8022 -0,0033 Losser
12 ENRG 0,2693 0,0011 Losser
13 GGRM 0,3978 0,0016 Winner
14 INCO -0,5374 -0,0022 Winner
15 INDF 0,0707 0,0003 Winner
16 INDY -0,6779 -0,0028 Winner
17 INTP 0,1793 0,0007 Winner
18 ITMG -0,0509 -0,0002 Winner
19 JSMR 0,6353 0,0026 Winner
20 KLBF 0,5446 0,0022 Winner
21 LPKR 0,5328 0,0022 Losser
22 LSIP 4,4841 0,0182 Winner
23 PGAS -0,1173 -0,0005 Losser
24 PTBA -0,0983 -0,0004 Losser
25 SMGR 0,2599 0,0011 Winner
26 TINS -0,6408 -0,0026 Winner
27 TLKM -0,0156 -0,0001 Losser
28 UNSP -0,5493 -0,0022 Losser
29 UNTR -0,0223 -0,0001 Winner
AAR Berdasar pada Portofolio
Winner
dan
Losser
Periode Agustus 2010 s/d Juli 2012
Bulan
Ke Bulan
Portofolio
Winner Losser
1 Agustus 2010 0,0013 -0,0004
2 September 2010 0,0002 0,0015
3 Oktober 2010 0,0003 0,0021
4 November 2010 0,0009 0,0034
5 Desember 2010 0,0001 0,0005
6 Januari 2011 0,0027 -0,0005
7 Februari 2011 0,0129 -0,0005
8 Maret 2011 0,0002 -0,0011
9 April 2011 0,0001 0,0014
10 Mei 2011 -0,0002 0,0015
11 Juni 2011 0,0004 -0,0020
12 Juli 2011 -0,0002 0,0001
13 Agustus 2011 0,0013 -0,0033
14 September 2011 -0,0010 -0,0040
15 Oktober 2011 0,0010 0,0012
16 November 2011 -0,0007 -0,0013
17 Desember 2011 0,0005 0,0001
18 Januari 2012 0,0003 0,0022
19 Februari 2012 0,0008 0,0010
20 Maret 2012 0,0000 -0,0013
21 April 2012 -0,0002 0,0001
22 Mei 2012 -0,0006 -0,0028
23 Juni 2012 0,0007 -0,0033
Uji Normalitas
NPar Tests
One-Sample Kolmogorov-Smirnov Test
30
Std. Deviation Normal Parametersa,b
Absolute Positive Negative Most Extreme
Differences
Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed)
Average Abnormal Return (AAR)
Test distribution is Normal. a.
Calculated from data. b.
Average Abnormal Return (AAR)
14
3 Mean = 7.0000E-4
T-Test
Group Statistics
18 ,001589 ,0045599 ,0010748
12 -,000633 ,0015831 ,0004570 Portofolio
Winner Losser Average Abnormal
Return (AAR)
N Mean Std. Deviation
Std. Error Mean
Independent Samples Test
1,079 ,308 1,616 28 ,117 ,0022222 ,0013748 -,0005939 ,0050384
1,903 22,563 ,070 ,0022222 ,0011679 -,0001964 ,0046408 Equal variances
assumed Equal variances not assumed Average Abnorma
Return (AAR)
F Sig.
Levene's Test for Equality of Variances
t df Sig. (2-tailed) Mean Difference
Std. Error
Difference Lower Upper 95% Confidence Interval of the
NPar Tests
Mann-Whitney Test
Ranks
18 18,17 327,00
12 11,50 138,00
30 Portofolio
Winner Losser Total Average Abnormal Return (AAR)
N Mean Rank Sum of Ranks
Test Statisticsb
60,000 138,000 -2,034 ,042
,043a Mann-Whitney U
Wilcoxon W Z
Asymp. Sig. (2-tailed) Exact Sig. [2*(1-tailed Sig.)]
Average Abnormal Return (AAR)
Not corrected for ties. a.
Grouping Variable: Portofolio b.
Uji Normalitas
One-Sample Kolmogorov-Smirnov Test
29
Std. Deviation Normal Parametersa,b
Absolute Positive Negative Most Extreme
Differences
Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed)
Average Abnormal Return (AAR)
Test distribution is Normal. a.
Calculated from data. b.
Average Abnormal Return (AAR)
7
T-Test
Group Statistics
17 ,000612 ,0019576 ,0004748
12 -,000633 ,0015831 ,0004570 Portofolio
Winner Losser Average Abnormal
Return (AAR)
N Mean Std. Deviation
Std. Error Mean
Independent Samples Test
,014 ,907 1,820 27 ,080 ,0012451 ,0006841 -,0001585 ,0026487
1,889 26,409 ,070 ,0012451 ,0006590 -,0001085 ,0025987 Equal variances
assumed Equal variances not assumed Average Abnorma
Return (AAR)
F Sig.
Levene's Test for Equality of Variances
t df Sig. (2-tailed) Mean Difference
Std. Error
Difference Lower Upper 95% Confidence Interval of the
Difference t-test for Equality of Means
T-Test
Paired Samples Statistics
Mean N Std. Deviation
Std. Error Mean Pair 1 WINNER ,002800 6 ,0006899 ,0002817
WINNER ,001500 6 ,0007746 ,0003162 Pair 2 WINNER ,001350 6 ,0003564 ,0001455 WINNER ,000767 6 ,0026197 ,0010695 Pair 3 WINNER ,000417 6 ,0002858 ,0001167 WINNER ,002500 6 ,0078368 ,0031994 Pair 4 lOSSER -,000767 6 ,0006186 ,0002525 LOSSER -,000300 6 ,0015100 ,0006164 Pair 5 LOSSER -,003767 6 ,0016354 ,0006677 LOSSER -,000967 6 ,0017224 ,0007032
Paired Samples Correlations
N Correlation Sig.
Paired Samples Test
Paired Differences
t df
Sig. (2-tailed) Mean
Std. Deviation
Std. Error Mean
95% Confidence Interval of the
Difference
Lower Upper Pair 1 WINNER -
WINNER ,0013000 ,0010807 ,0004412 ,0001658 ,0024342 2,946 5 ,032 Pair 2 WINNER -
WINNER ,0005833 ,0027903 ,0011391
-,0023449 ,0035116 ,512 5 ,630 Pair 3 WINNER -
WINNER
-,0020833 ,0079300 ,0032374
-,0104054 ,0062387 -,644 5 ,548 Pair 4 lOSSER -
LOSSER
-,0004667 ,0018261 ,0007455
-,0023830 ,0014497 -,626 5 ,559 Pair 5 LOSSER -
LOSSER
-,0028000 ,0012506 ,0005106
-,0041124
