Lampiran 3
Analisis Deskriptif Variabel Penelitian
HARGA_SAHAM DPR DER BETA
Mean 14457.48 49.16626 73.73099 0.943071
Median 11959.11 45.03154 55.17950 1.037500
Maximum 61710.41 100.0000 213.7303 1.733000
Minimum 1109.384 16.82243 15.36410 0.018000
Std. Dev. 12979.83 18.47068 53.68692 0.468792
Skewness 1.214810 1.167364 1.099724 -0.546935
Kurtosis 4.691767 4.687340 3.287935 2.394847
Jarque-Bera 20.45197 19.36216 11.48111 3.646450
Probability 0.000036 0.000062 0.003213 0.161504
Sum 809618.9 2753.311 4128.935 52.81200
Sum Sq. Dev. 9.27E+09 18764.13 158525.7 12.08712
Lampiran 4
Uji Asumsi Klasik
1. Uji Asumsi Klasik Regresi Linear Berganda Data Panel
b. Uji Heteroskedastisitas Pendekatan Glejser
Heteroskedasticity Test: Glejser
F-statistic 2.421017 Prob. F(2,53) 0.0986
Obs*R-squared 4.687835 Prob. Chi-Square(2) 0.0960 Scaled explained SS 3.847203 Prob. Chi-Square(2) 0.1461
Test Equation:
Dependent Variable: ARESID Method: Least Squares Date: 06/15/16 Time: 16:06 Sample: 1 56
Included observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
C 2.441938 0.785954 3.106974 0.0030
LOG(DPR) -0.303641 0.185658 -1.635486 0.1079 LOG(DER) -0.127215 0.093298 -1.363524 0.1785
R-squared 0.083711 Mean dependent var 0.764920 Adjusted R-squared 0.049134 S.D. dependent var 0.523525 S.E. of regression 0.510502 Akaike info criterion 1.545238 Sum squared resid 13.81245 Schwarz criterion 1.653739 Log likelihood -40.26667 Hannan-Quinn criter. 1.587304 F-statistic 2.421017 Durbin-Watson stat 1.649203 Prob(F-statistic) 0.098595
c. Uji Multikolonearitas
Variance Inflation Factors Date: 06/15/16 Time: 16:08 Sample: 1 56
Included observations: 56
Coefficient Uncentered Centered
Variable Variance VIF VIF
LOG(DPR) 0.119385 109.6043 1.004183 LOG(DER) 0.030149 31.57744 1.004183
d. Uji Autokorelasi
Dependent Variable: LOG(HARGA_SAHAM) Method: Least Squares
Date: 06/15/16 Time: 16:05 Sample: 1 56
Included observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
LOG(DPR) 1.611027 0.345521 4.662602 0.0000 LOG(DER) -0.038578 0.173634 -0.222181 0.8250
C 3.068599 1.462708 2.097889 0.0407
R-squared 0.290933 Mean dependent var 9.081527 Adjusted R-squared 0.264176 S.D. dependent var 1.107569 S.E. of regression 0.950075 Akaike info criterion 2.787532 Sum squared resid 47.84009 Schwarz criterion 2.896033 Log likelihood -75.05090 Hannan-Quinn criter. 2.829598 F-statistic 10.87304 Durbin-Watson stat 2.015195 Prob(F-statistic) 0.000110
2. Uji Asumsi Klasik Regresi Linear Sederhana Data Panel
a. Uji Normalitas
0 2 4 6 8 10
-1.0 -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8
Series: Residuals Sample 1 56 Observations 56
Mean -4.58e-17 Median 0.105128 Maximum 0.781982 Minimum -0.923835 Std. Dev. 0.464940 Skewness -0.533720 Kurtosis 2.393254
-1.2
b. Uji Heteroskedastisitas Pendekatan Glejser
Heteroskedasticity Test: Glejser
F-statistic 0.130560 Prob. F(1,54) 0.7193
Obs*R-squared 0.135069 Prob. Chi-Square(1) 0.7132
Scaled explained SS 0.129111 Prob. Chi-Square(1) 0.7194
Test Equation:
Variable Coefficient Std. Error t-Statistic Prob.
C 0.332223 0.107342 3.094986 0.0031
Y 0.000711 0.001966 0.361331 0.7193
R-squared 0.002412 Mean dependent var 0.368554
Adjusted R-squared -0.016062 S.D. dependent var 0.279048 S.E. of regression 0.281280 Akaike info criterion 0.336127
Sum squared resid 4.272390 Schwarz criterion 0.408461
Log likelihood -7.411567 Hannan-Quinn criter. 0.364171
F-statistic 0.130560 Durbin-Watson stat 1.787868
c. Uji Autokorelas
Dependent Variable: BETA Method: Least Squares Date: 06/24/16 Time: 15:40 Sample: 1 56
Included observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
Y -0.003109 0.003280 -0.947874 0.3474
C 1.102058 0.179066 6.154462 0.0000
R-squared 0.016366 Mean dependent var 0.943071
Adjusted R-squared -0.001850 S.D. dependent var 0.468792 S.E. of regression 0.469225 Akaike info criterion 1.359593
Sum squared resid 11.88931 Schwarz criterion 1.431927
Log likelihood -36.06861 Hannan-Quinn criter. 1.387637
F-statistic 0.898465 Durbin-Watson stat 1.545140
Lampiran 5
Analisis Regresi Linear Berganda Data Panel
1. Metode Analisis Regresi Linear Berganda Data Panel
a. Metode
Common Effect Model
(CEM)
Dependent Variable: LOG(HARGA_SAHAM?) Method: Pooled Least Squares
Date: 06/15/16 Time: 15:53 Sample: 2011 2014
Included observations: 4 Cross-sections included: 14
Total pool (balanced) observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
LOG(DPR?) 1.611027 0.345521 4.662602 0.0000 LOG(DER?) -0.038578 0.173634 -0.222181 0.8250
C 3.068599 1.462708 2.097889 0.0407
R-squared 0.290933 Mean dependent var 9.081527 Adjusted R-squared 0.264176 S.D. dependent var 1.107569 S.E. of regression 0.950075 Akaike info criterion 2.787532 Sum squared resid 47.84009 Schwarz criterion 2.896033 Log likelihood -75.05090 Hannan-Quinn criter. 2.829598 F-statistic 10.87304 Durbin-Watson stat 1.655054 Prob(F-statistic) 0.000110
b. Metode
Fixed Effect Model
(FEM)
Dependent Variable: LOG(HARGA_SAHAM?) Method: Pooled Least Squares
Date: 06/15/16 Time: 16:02 Sample: 2011 2014
Included observations: 4 Cross-sections included: 14
Total pool (balanced) observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
LOG(DPR?) 1.810965 0.385774 4.694363 0.0000 LOG(DER?) -0.335318 0.250452 -1.338851 0.1882
C 3.502711 1.620826 2.161065 0.0367
Fixed Effects (Cross)
_AALI--C 0.070460
_ADRO--C 0.210165
_AKRA--C -0.636792 _ASII--C 0.523879
_CPIN--C 0.165440
_INTP--C 0.313462 _ITMG--C -0.358790
_KLBF--C 0.257394
_LSIP--C -0.776199
_PTBA--C 0.381866
_SMGR--C 0.190107
_UNTR--C -1.019871
_UNVR--C 0.726441
Effects Specification
Cross-section fixed (dummy variables)
R-squared 0.450738 Mean dependent var 9.081527 Adjusted R-squared 0.244764 S.D. dependent var 1.107569 S.E. of regression 0.962525 Akaike info criterion 2.996444 Sum squared resid 37.05820 Schwarz criterion 3.575115 Log likelihood -67.90042 Hannan-Quinn criter. 3.220793 F-statistic 2.188331 Durbin-Watson stat 2.022482 Prob(F-statistic) 0.024570
2. Pemilihan Model Analisis Regresi Linear Berganda Data Panel
a. Uji
Chow
Redundant Fixed Effects Tests Pool: MAWAN
Test cross-section fixed effects
Effects Test Statistic d.f. Prob.
Cross-section F 0.895215 (13,40) 0.5648
Cross-section Chi-square 14.300968 13 0.3530
Cross-section fixed effects test equation: Dependent Variable: LOG(HARGA_SAHAM?) Method: Panel Least Squares
Date: 06/15/16 Time: 16:10 Sample: 2011 2014
Included observations: 4 Cross-sections included: 14
Total pool (balanced) observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
LOG(DPR?) 1.611027 0.345521 4.662602 0.0000 LOG(DER?) -0.038578 0.173634 -0.222181 0.8250
C 3.068599 1.462708 2.097889 0.0407
Log likelihood -75.05090 Hannan-Quinn criter. 2.829598 F-statistic 10.87304 Durbin-Watson stat 1.655054 Prob(F-statistic) 0.000110
3. Pengujian Hipotesis Regresi Linear Berganda Dengan Metode
Common Effect Model
Dependent Variable: LOG(HARGA_SAHAM?) Method: Pooled Least Squares
Date: 06/15/16 Time: 15:53 Sample: 2011 2014
Included observations: 4 Cross-sections included: 14
Total pool (balanced) observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
LOG(DPR?) 1.611027 0.345521 4.662602 0.0000 LOG(DER?) -0.038578 0.173634 -0.222181 0.8250
C 3.068599 1.462708 2.097889 0.0407
Lampiran 6
Analisis Regresi Linear Sederhana Data Panel
1. Metode Analisis Regresi Linear Sederhana Data Panel
a. Metode
Common Effect Model
(CEM)
Dependent Variable: BETA? Method: Pooled Least Squares Date: 06/30/16 Time: 22:21 Sample: 2011 2014
Included observations: 4 Cross-sections included: 14
Total pool (balanced) observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
Y? -0.003109 0.003280 -0.947874 0.3474
C 1.102058 0.179066 6.154462 0.0000
R-squared 0.016366 Mean dependent var 0.943071 Adjusted R-squared -0.001850 S.D. dependent var 0.468792 S.E. of regression 0.469225 Akaike info criterion 1.359593 Sum squared resid 11.88931 Schwarz criterion 1.431927 Log likelihood -36.06861 Hannan-Quinn criter. 1.387637 F-statistic 0.898465 Durbin-Watson stat 1.422297 Prob(F-statistic) 0.347416
b. Metode
Fixed Effect Model
(FEM)
Dependent Variable: BETA? Method: Pooled Least Squares Date: 06/30/16 Time: 22:21 Sample: 2011 2014
Included observations: 4 Cross-sections included: 14
Total pool (balanced) observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
Y? -0.007687 0.003359 -2.288274 0.0273
C 1.336131 0.180302 7.410518 0.0000
Fixed Effects (Cross)
_AALI--C -0.334478
_ADRO--C 0.405211
_AKRA--C -0.656518 _ASII--C -0.127111 _CPIN--C -0.006904
_INDF--C 0.120911
_ITMG--C -0.183047 Adjusted R-squared 0.234669 S.D. dependent var 0.468792 S.E. of regression 0.410114 Akaike info criterion 1.279173 Sum squared resid 6.895943 Schwarz criterion 1.821678 Log likelihood -20.81684 Hannan-Quinn criter. 1.489501 F-statistic 2.204592 Durbin-Watson stat 2.398051 Prob(F-statistic) 0.024964
c. Metode
Random Effect Model
(REM)
Dependent Variable: BETA?
Method: Pooled EGLS (Cross-section random effects) Date: 06/30/16 Time: 22:22
Sample: 2011 2014 Included observations: 4 Cross-sections included: 14
Total pool (balanced) observations: 56
Swamy and Arora estimator of component variances
Variable Coefficient Std. Error t-Statistic Prob.
Cross-section random 0.194995 0.1844
Idiosyncratic random 0.410114 0.8156
Weighted Statistics
R-squared 0.043094 Mean dependent var 0.683408 Adjusted R-squared 0.025374 S.D. dependent var 0.427258 S.E. of regression 0.421803 Sum squared resid 9.607551 F-statistic 2.431880 Durbin-Watson stat 1.728047 Prob(F-statistic) 0.124732
Unweighted Statistics
R-squared 0.010772 Mean dependent var 0.943071 Sum squared resid 11.95692 Durbin-Watson stat 1.388509
2. Pemilihan Model Analisis Regresi Linear Sederhana Data Panel
a. Uji Chow
Dependent Variable: BETA? Method: Pooled Least Squares Date: 06/30/16 Time: 22:23 Sample: 2011 2014
Included observations: 4 Cross-sections included: 14
Total pool (balanced) observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
Y? -0.007687 0.003359 -2.288274 0.0273
C 1.336131 0.180302 7.410518 0.0000
Fixed Effects (Cross)
_AALI--C -0.334478
_ADRO--C 0.405211
_AKRA--C -0.656518 _ASII--C -0.127111 _CPIN--C -0.006904
_INDF--C 0.120911
_INTP--C 0.556509
_ITMG--C -0.183047 _KLBF--C -0.273757
_LSIP--C 0.005168
_PTBA--C 0.040173
_SMGR--C -0.141664
_UNTR--C 0.282729
_UNVR--C 0.312779
Effects Specification
R-squared 0.429480 Mean dependent var 0.943071 Adjusted R-squared 0.234669 S.D. dependent var 0.468792 S.E. of regression 0.410114 Akaike info criterion 1.279173 Sum squared resid 6.895943 Schwarz criterion 1.821678 Log likelihood -20.81684 Hannan-Quinn criter. 1.489501 F-statistic 2.204592 Durbin-Watson stat 2.398051 Prob(F-statistic) 0.024964
b. Uji Hausman
Correlated Random Effects - Hausman Test Pool: TWOSTEP
Test cross-section random effects
Test Summary
Chi-Sq.
Statistic Chi-Sq. d.f. Prob.
Cross-section random 4.121932 1 0.0423
Cross-section random effects test comparisons:
Variable Fixed Random Var(Diff.) Prob.
Y? -0.007687 -0.004927 0.000002 0.0423
Cross-section random effects test equation: Dependent Variable: BETA?
Method: Panel Least Squares Date: 06/30/16 Time: 22:23 Sample: 2011 2014
Included observations: 4 Cross-sections included: 14
Total pool (balanced) observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
C 1.336131 0.180302 7.410518 0.0000
Y? -0.007687 0.003359 -2.288274 0.0273
Effects Specification
Cross-section fixed (dummy variables)
3. Pengujian Hipotesis Regresi Linear Sederhana Dengan Metode
Fixed Effect
Model
(FEM)
Dependent Variable: BETA? Method: Pooled Least Squares Date: 06/30/16 Time: 22:21 Sample: 2011 2014
Included observations: 4 Cross-sections included: 14
Total pool (balanced) observations: 56
Variable Coefficient Std. Error t-Statistic Prob.
Y? -0.007687 0.003359 -2.288274 0.0273
C 1.336131 0.180302 7.410518 0.0000
Fixed Effects (Cross)
_AALI--C -0.334478
_ADRO--C 0.405211
_AKRA--C -0.656518 _ASII--C -0.127111 _CPIN--C -0.006904
_INDF--C 0.120911
_INTP--C 0.556509
_ITMG--C -0.183047 _KLBF--C -0.273757
_LSIP--C 0.005168
_PTBA--C 0.040173
_SMGR--C -0.141664
_UNTR--C 0.282729
_UNVR--C 0.312779
Effects Specification
Cross-section fixed (dummy variables)
