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LAMPIRAN
Lampiran 1. Data Variabel Skripsi
Perusahaan Tahun
Holding Period
Bid-Ask
Spread Market Value
Variance Return
ADRO 2009 0.3338 0.4947 13.2335 0.0011
ADRO 2010 0.5604 0.4995 26.5205 0.0006
ADRO 2011 0.7873 0.4988 28.5509 0.0008
ANTM 2009 0.2296 0.4997 6.2868 0.0015
ANTM 2010 0.4446 0.5003 7.3922 0.0056
ANTM 2011 0.8681 0.5002 6.6408 0.0004
ATPK 2009 1.7743 0.5809 0.0557 0.0109
ATPK 2010 2.6278 0.7350 0.0372 0.0014
ATPK 2011 0.4613 0.7002 0.0309 0.0018
BUMI 2009 0.1680 0.4979 33.9097 0.0029
BUMI 2010 0.4120 0.5008 43.4966 0.0014
BUMI 2011 0.3822 0.4996 39.8663 0.0010
CNKO 2009 0.4096 0.4582 0.1365 0.0012
CNKO 2010 0.2016 0.6243 0.3243 0.0014
CNKO 2011 0.6022 0.7014 0.3376 0.0009
CTTH 2009 0.5444 0.3835 0.0263 0.0009
CTTH 2010 0.4355 0.6667 0.0283 0.0006
CTTH 2011 1.8127 0.6667 0.0377 0.0004
DEWA 2009 0.0861 0.4870 1.1700 0.0040
DEWA 2010 0.4212 0.7214 1.0127 0.0017
DEWA 2011 0.2694 0.7509 0.9517 0.0013
ELSA 2009 0.1368 0.5362 0.4214 0.0011
ELSA 2010 0.0995 0.4983 0.5535 0.0012
ELSA 2011 0.5805 0.5163 0.4994 0.0006
ENRG 2009 0.1488 0.5603 1.9448 0.0044
ENRG 2010 0.2771 0.6504 3.2248 0.0028
ENRG 2011 0.2521 0.6505 4.3567 0.0015
INCO 2009 0.4078 0.5000 7.0603 0.0018
INCO 2010 0.4366 0.4968 8.5992 0.0006
INCO 2011 0.9612 0.4865 8.4721 0.0006
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Lampiran 2. Uji Normalitas
HP? Spread? MV? VR?
Mean -0.895052 -0.590159 0.303379 -6.619241 Median -0.875641 -0.692057 0.411079 -6.671341 Maximum 0.966157 -0.286418 3.772683 -4.516885 Minimum -2.451780 -0.958347 -3.640089 -7.870813 Std. Dev. 0.807668 0.169388 2.421797 0.772259 Skewness 0.265483 0.300277 -0.264655 0.767035 Kurtosis 3.025761 2.225026 1.838500 3.437836
Jarque-Bera 0.353235 1.201563 2.036564 3.181335 Probability 0.838100 0.548383 0.361215 0.203790 Sum -26.851550 -17.704760 9.101381 -198.577200 Sum Sq. Dev. 18.917480 0.832074 170.088000 17.295130
Observations 30 30 30 30
Cross section 10 10 10 10
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Lampiran 3. Hasil Regresi
Dependent Variable: HP? Method: Pooled Least Squares Date: 12/26/12 Time: 12:34 Sample: 2009 2011
Included observations: 3 Cross-sections included: 10
Total pool (balanced) observations: 30
White cross-section standard errors & covariance (d.f. corrected)
Variable Coefficient Std. Error t-Statistic Prob.
C -3.490013 0.457275 -7.632200 0.0000
SPREAD? 0.223157 0.182500 1.222783 0.2381
MV? 0.633251 0.446744 1.417483 0.1744
VR? -0.382905 0.053069 -7.215280 0.0000
Fixed Effects (Cross)
_ADRO--C -1.668486
_ANTM--C -0.852525
_ATPK--C 3.649002
_BUMI--C -2.357405
_CNKO--C 0.901217
_CTTH--C 2.706604
_DEWA--C -0.344232
_ELSA--C -0.187844
_ENRG--C -0.896778
_INCO--C -0.949552
Effects Specification
Cross-section fixed (dummy variables)
R-squared 0.651493 Mean dependent var -0.895052 Adjusted R-squared 0.405488 S.D. dependent var 0.807668 S.E. of regression 0.622749 Akaike info criterion 2.189335 Sum squared resid 6.592871 Schwarz criterion 2.796521 Log likelihood -19.84003 F-statistic 2.648294 Durbin-Watson stat 2.920307 Prob(F-statistic) 0.032779
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