Lampiran 1
Data Keuangan Harga Saham (Stock Price), DER, CR, DPS, dan ROA Perusahaan Finansial di Indeks KOMPAS 100 Tahun 2007-2012.
69 SMMA 2009 345 4.48 118 1.00 3.96
70 SMMA 2010 1800 4.46 101 1.00 4.91
71 SMMA 2011 4275 2.08 102 1.00 4.57
Lampiran 2 Hasil Statistik Deskriptif
Lampiran 3
Uji Akar Unit Variabel Debt to Equity Ratio
Null Hypothesis: Unit root (individual unit root process)
Series: DER_BBCA, DER_BBKP, DER_BBNI, DER_BBRI, DER_BBTN, DER_BDMN, DER_BHIT, DER_BJBR, DER_BMRI, DER_PNBN, DER_PNLF, DER_SMMA
Date: 06/09/14 Time: 23:23 Sample: 2007 2012
Exogenous variables: Individual effects Automatic selection of maximum lags Automatic selection of lags based on AIC: 0 Total (balanced) observations: 48
Cross-sections included: 12
Method Statistic Prob.**
ADF - Fisher Chi-square 55.3371 0.0003
ADF - Choi Z-stat -3.32707 0.0004
** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution. All other tests assume asymptotic normality. Intermediate ADF test results D(DER?)
Lampiran 4
Uji Akar Unit Current Ratio
Null Hypothesis: Unit root (individual unit root process)
Series: CR_BBCA, CR_BBKP, CR_BBNI, CR_BBRI, CR_BBTN,
CR_BDMN, CR_BHIT, CR_BJBR, CR_BMRI, CR_PNBN, CR_PNLF, CR_SMMA
Date: 06/09/14 Time: 23:18 Sample: 2007 2012
Exogenous variables: Individual effects Automatic selection of maximum lags Automatic selection of lags based on AIC: 0 Total (balanced) observations: 48
Cross-sections included: 12
Method Statistic Prob.**
ADF - Fisher Chi-square 50.7583 0.0011
ADF - Choi Z-stat -3.08726 0.0010
** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution. All other tests assume asymptotic normality. Intermediate ADF test results D(CR?)
Lampiran 5
Uji Akar Unit Dividen Per Share
Null Hypothesis: Unit root (individual unit root process) Series: DPS_BBCA, DPS_BBKP, DPS_BBNI, DPS_BBRI, DPS_BBTN,
DPS_BDMN, DPS_BHIT, DPS_BJBR, DPS_BMRI, DPS_PNBN, DPS_PNLF, DPS_SMMA
Date: 06/12/14 Time: 00:40 Sample: 2007 2012
Exogenous variables: Individual effects Automatic selection of maximum lags Automatic selection of lags based on AIC: 0 Total (balanced) observations: 30
Cross-sections included: 10 (2 dropped)
Method Statistic Prob.**
ADF - Fisher Chi-square 39.9491 0.0051
ADF - Choi Z-stat -2.89197 0.0019
** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution. All other tests assume asymptotic normality.
Intermediate ADF test results D(DPS?,2)
Series Prob. Lag Max Lag Obs
D(DPS_PNBN,2) Dropped from Test
D(DPS_PNLF,2) Dropped from Test
Lampiran 6
Uji Akar Unit Return On Assets
Null Hypothesis: Unit root (individual unit root process)
Series: ROA_BBCA, ROA_BBKP, ROA_BBNI, ROA_BBRI, ROA_BBTN, ROA_BDMN, ROA_BHIT, ROA_BJBR, ROA_BMRI, ROA_PNBN, ROA_PNLF, ROA_SMMA
Date: 06/12/14 Time: 00:37 Sample: 2007 2012
Exogenous variables: Individual effects Automatic selection of maximum lags Automatic selection of lags based on AIC: 0 Total (balanced) observations: 48
Cross-sections included: 12
Method Statistic Prob.**
ADF - Fisher Chi-square 38.1574 0.0334
ADF - Choi Z-stat -2.28042 0.0113
** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution. All other tests assume asymptotic normality.
Intermediate ADF test results D(ROA?)
Lampiran 7
Uji Akar Unit Harga Saham (Stock Price)
Null Hypothesis: Unit root (individual unit root process)
Series: SP_BBCA, SP_BBKP, SP_BBNI, SP_BBRI, SP_BBTN, SP_BDMN, SP_BHIT, SP_BJBR, SP_BMRI, SP_PNBN, SP_PNLF, SP_SMMA Date: 06/09/14 Time: 23:41
Sample: 2007 2012
Exogenous variables: Individual effects Automatic selection of maximum lags Automatic selection of lags based on AIC: 0 Total (balanced) observations: 36
Cross-sections included: 12
Method Statistic Prob.**
ADF - Fisher Chi-square 36.8543 0.0452
ADF - Choi Z-stat 0.77786 0.7817
** Probabilities for Fisher tests are computed using an asymptotic Chi -square distribution. All other tests assume asymptotic normality.
Intermediate ADF test results D(SP?,2)
Lampiran 8
Hasil Uji Hausman (Hausman Test)
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 3.921700 4 0.4167
Cross-section random effects test comparisons:
Variable Fixed Random Var(Diff.) Prob.
DER? 20.028085 19.595966 11778.853096 0.9968
CR? -2.402180 -10.130719 76.465840 0.3768
DPS? 9.560509 22.664177 51.327462 0.0674
ROA? 130.232730 172.018982 3674.052361 0.4906
Cross-section random effects test equation: Dependent Variable: SP?
Method: Panel Least Squares Date: 06/12/14 Time: 01:14 Sample: 2007 2012
Included observations: 6 Cross-sections included: 12
Total pool (balanced) observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 1818.006 1864.618 0.975002 0.3338 Cross-section fixed (dummy variables)
R-squared 0.519503 Mean dependent var 2500.653
S.E. of regression 1989.563 Akaike info criterion 18.22235
Sum squared resid 2.22E+08 Schwarz criterion 18.72827
Log likelihood -640.0045 Hannan-Quinn criter. 18.42376
F-statistic 4.036392 Durbin-Watson stat 1.563881
Lampiran 9
Hasil Estimasi Random Effect Model (REM)
Dependent Variable: SP?
Method: Pooled EGLS (Cross-section random effects) Date: 06/12/14 Time: 00:00
Sample: 2007 2012 Included observations: 6 Cross-sections included: 12
Total pool (balanced) observations: 72
Swamy and Arora estimator of component variances
Variable Coefficient Std. Error t-Statistic Prob.
C 2135.675 1255.696 1.700790 0.0936
Cross-section random 585.8307 0.0798
Idiosyncratic random 1989.563 0.9202
Weighted Statistics
R-squared 0.305623 Mean dependent var 2028.156
Adjusted R-squared 0.264167 S.D. dependent var 2318.004
S.E. of regression 1988.400 Sum squared resid 2.65E+08
F-statistic 7.372337 Durbin-Watson stat 1.318392
Unweighted Statistics
R-squared 0.388319 Mean dependent var 2500.653
