DAFTAR ISI
Halaman
HALAMAN JIJDUL
KATA PENGANTAR ..
DAFTAR ISI
DAFTAR TABEL v i i
v i i i DAFTAR LAMPIRAN
BAB I PENDAHULUAN
l. Latar Belakang Masalah Penelitian 2. Rumusan Masalah Penelitian 3. Tuiuan Penelitian
4. Manfaat Penelitian
BAB II LANDASAN TEORI
A.Pasar Modal di lndonesia ... 7
1. Pengertian Pasar Modal 7
2. Jenis Pasar Modal. 9
3. Tuiuan dan ManfaatPasar Modal. 10
I
5 6
B.lnvestasi
l. Pengertian lnvestasi dalam Saham.
2. Manfaat dan Motif pembelian Saham bagi Investor
C.Jenis-Jenis Saham. 16
l l l l l 3 l. Saham Biasa.
2. Saham Preferen.
D.Pasar Modal yang Efisien.. . ...
E. The Day-of-The-Week Effect.
G.Kerangka Pemikiran... ...
H.Hipotesis Kerja.
l 6 1 7 l 9
2 1
23
23
BAB III METODOLOGI PENELITIAN
l. Jenis Penelitian dan Gambaran dari Populasi Penelitian 2. Teknik Penarikan Sampel
3. Definisi Operasional
4. Metode dan Pengumpulan Data
5. Teknik Analisa Data
B A B I V A N A L I S I S D A N P E M B A H A S A N
A . G a m b a r a n U m u m O b y e k y a n g D i t e l i t i . . . .
B. Proses Aplikasi Perhitungan untuk Penguj ian Day-of-The-week Effect. . I . Analisis Data Market Return...
2. Analisis Data Stock Return Individual.
C.Pengujian Day-of-The-Week Effect pada Tahun 1994 oleh Agung Hounggo Gunadi.
24 24 2 5 26
26 2 7
3 l 3 l 44 44
69 69 7 1
t )
L Analisis Data 2. Analisis Data 3. Kesimpulan..
Market Return
Stock Return Individual
4 5 5 6 5 6 5 7 6 7
BAB V KESIMPULAN DAN SARAN
L Kesimpulan 2. Saran
DAFTAR PUSTAKA LAMPIRAN-LAMPIRAN
vl
vu
DAFTAR TABEL
TABELTABEL DALAM PENGUJIAN PERIODE I JULI 1997 _ 3I JTILI 1998 Tabel :
L Rata-Rata dan Variance Market Return. ... 44 2. Rata-Rata dan Variance Stock Return. ....45 3. Hasil Perbandingan Rata-Rata Return Harian dengan Hipotesis. ...48 4 Perbandingan F Ratio dan F Tabel .. . . ..50 5. Hasil Pengujian dengan Metode Pairwise Comparisons Of Means... ...52 6. Perbedaan Rata-Rata Stock Return Harian PT. Argha Karya Prima. ... 52 7 . Saham-Saham Yang Signifikan Dengan a:l}o/o. ... ... ... .53 8. Hasil Pengujian dengan Metode Painvise Cornparisons Of Means... ... ...54 9. Perbedaan Rata-Rata Stock Return Harian PT. United Tractors. ... ... ..54
1 0 . H a s i l P e n g u j i a n d e n g a n M e t o d e P a i r w i s e C o m p a r i s o n s O f M e a n s . . . . 5 4 I l. Perbedaan Rata-Rata Stock Retum Harian PT. Pan Brother Te>tile. ...54
TABELTABEL DALAM PENGU.IIAN TAHTIN 1994 Tabel :
12. Rata-Rata dan Variance Market Return. ... 56
13. Rata-Rata dan Variance Stock Return. 57
14. Hasil Perbandingan Rata-Rata Return Harian dengan Hipotesis. ... 60 I 5. Perbandingan F Ratio dan F Tabel. ... ... ... .. 62 16. Saham-Saham Yang Signifikan Dengan a-I0%. ...64 17. Perbedaan Rata-Rata Stock Return Harian PT. Astra lnternational... .. . ... ... .64 18. Perbedaan Rata-Rata Stock Return Ilarian PT. Jaya Pari Steel.. ...65 19. Perbedaan Rata-Rata Stock Return Harian PT. Lippo Bank. ....65 20. Perbedaan Rata-Rata Stock Return Harian PT. Dharmala Sakti Sejahtera... 66
vn
DAFTAR LAMPIRAN Lampiran:
I Print Out Perhitungan Return Harian IHSG
2 Print Out Perhitungan Rata-Rata Return Harian dan Variance IHSG 3 Print Out Perhitungan ANOVA IHSG
4 Print Out Perhitungan Stock Return Harian PT. Sernen Gresik
5 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Semen Gresik 6 Print Out Perhitungan ANOVA PT. Sernen Gresik
7 Print Out Perhitungan Stock Return Harian PT. lndocement
8 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Indocement 9 Print Out Perhitungan ANOVA PT. Indocement
l0 Print Cut Perhitungan Stock Return Harian PT Indah Kiat Paper & Pulp
I I Print Out Perhitungan Rata-Rata Return Harian dan Variance Pl'.lndah Kiat Paper
& Pulp
l2 Print Out Perhitungan ANOVA PT. Indah Kiat Paper & Pulp l3 Print Out Perhitungan Stock Return Harian PT. lirvi Kirnia
14 Print Out Perhitungan Rata-Rata Retum Harian dan Variance PT. Tjirvi Kimia l5 Print Out Perhitungan ANOVA PT.liwi Kirnia
l6 Print Out Perhitungan Stock Return Harian PT. Gajah Tunggal
I7 Print Out Perhitungan Rata-Rata Retum Harian dan Varia.nce PT. Gaiah Tunggal l8 Print Out Perhitungan ANOVA PT. Gajah Tunggal
l9 Print Out Perhitungan Stock Return Harian PT. Astra lntemational
20 Print Out Perhittrngan Rata-Rata Return Harian dan Variance PT. Astra International
2l Print Out Perhitungan ANOVA P1'. Astra International
22 Print Out Perhitungan Stock Return Harian PT. United Tractors
23 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. United Tractors 24 Print Out Perhitungan ANOVA PT. United Tracrors
25 Print Out Perhitungan Pairwise Comparisons of Means PT. United Tractors 26 Print Out Perhitungan Stock Return Harian PT. Great River Industri
27 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Great River Industri
28 Print Out Perhitungan ANOVA PT. Great River Industri
29 Print Out Perhitungan Stock Return Harian PT. Pan Brother Textite
30 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Pan Brother Textile
3l Print Out Perhitungan ANOVA PT. Pan Brother Textile
32 Print Out Perhitungan Pairwise Comparisons of Means PT. Pan Brother Textile 33 Print Out Perhitungan Stock Return Harian PT. Jaya Pari Steel
34 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Jaya Pari Steel 35 Print Out Peihitungan ANOVA PT. Jaya Pari Steel
36 Print Out Perhitungan Stock Return Harian PT. Kabel Metal Indonesia
vlu
37 Print Out Perhitungan Rata-Rata Retum Harian dan Variance PT. Kabel Metal Indonesia
38 Print Out Perhitungan ANOVA PT. Kabel Metal Indonesia
39 Print Out Perhitungan Stock Return Harian PT. Intan Wijaya Chemical
40 Print Out Perhitungan Rata-Rata Retum Harian dan Variance PT. Intan Wijaya Chernical
41 Print Out Perhitungan ANOVA PT. Intan Wijaya Chemical
42 Print Out Perhitungan Stock Return Harian PT. Unggul Indah Corporation
43 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT.Unggul Indah Corporation
44 Print Out Perhitungan ANOVA PT. . Unggul lndah Corporation 45 Print Out Perhitungan Stock Return Harian PT. Gudang Gararn
46 Print Out Perhitungan Rata-Rata Retum Harian dan Variance PT. Gudang Garam 47 Print Out Perhitungan ANOVA PT. Gudang Garam
48 Print Out Perhitungan Stock Return Harian PT. HM. Sampoerna
49 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. HM.
Sampoerna
50 Print Out Perhitungan ANOVA PT. HM. Sampoerna
5l Print Out Perhitungan Stock Return Harian PT. Hero Supennarket
52 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Hero Supennarket
53 Print Out Perhitungan ANOVA PT. Hero Supermarket
54 Print Out Perhitungan Stock Return Harian PT. Matahari Putra Prirna
55 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Matahar'i Putra Prima
56 Print Out Perhitungan ANOVA PT. Matahari Putra Prima
57 Print Out Perhitungan Stock Return Harian PT. Bank Internasional Indonesia 58 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Bank
Internasional Indonesia
59 Print Out Perhitungan ANOVA PT. Bank Internasional Indonesia 60 Print Out Perhitungan Stock Return Harian PT. Lippo Bank
6l Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Lippo Bank 62 Print Out Perhitungan ANOVA PT. Lippo Bank
63 Print Out Ferhitungan Stock Return Harian PT. Dharmala intiland
64 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Dhannala lntiland
65 Print Out Perhitungan ANOVA PT. Dharmala lntiland 66 Print Out Perhitungan Stock Return Harian PT. Inco
67 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Inco 68 Print Out Perhitungan ANOVA PT. Inco
69 Print Out Perhitungan Stock Return Harian PT. CP. Prima
70 Print Out Perhitunsan Rata-Rata Return Harian dan Variance PT. CP. Prima 7l Print Out Pfrhitunlan ANOVA PT. CP. Prima
72 PrintOut Perhitungan Stock Return Harian PT. Japfa
73 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Japfa
lx
74 Print Out Perhitungan ANOVA PT. Japfa
75 Print Out Perhitungan Stock Return Harian PT. Argha Karya Prirna
76 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Argha Karya Prirna
77 Pint Out Perhitungan ANOVA PT. Argha Karya Prima
78 Print Out Perhitungan Painvise Comparisons of Means PT. Argha Karya Prirna 79 Print Out Perhitungan Stock Return Harian PT. Kedaung Indah
80 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Kedaung lndah 8l Print Out Perhitungan ANOVA PT. Kedaung Indah
82 Print Out Perhitungan Stock Return Harian PT. Dhannala Sakti Sejahtera
83 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Dharmala Sakti Sejahtera
84 Print Out Perhitungan ANOVA PT. Dharmala Sakti Sejahtera
E5 Print Out Perhitungan Stock Return Harian PT. Gajah Surya Multi Finance 86 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Gajah Surya
Multi Finance
87 Print Out Perhitungan ANOVA PT. Gajah Surya Multi Finance 88 Print Out Perhitungan Stock Return Harian PT. Barito Pacific Tirnber
89 Print Out Perhitungan Rata-Rata Return Harian dan Variance PT. Barito Pacific Tirnber
90 Print Out Perhitungan ANOVA PT. Barito Pacific Timber 9l Perhitungan ANOVA IHSG Pengujian tahun 1994
