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Lampiran 3 Hasil Uji Signifikansi AR Tiga Hari Sesudah Event Seluruh Sampel

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(1)

Daftar Event Observasi Penelitian Seluruh Sampel

(2)

Lampiran 2

Daftar Event Observasi Industrial

Ekstraktif

Manufaktur

Jasa

tanggal

Stock

Price Declines

(%)

Tanggal

Stock

Price

Declines (%)

Tanggal

Stock

Price Declines

(%)

07/01/2014 LSIP

-6,722689076

30/09/2013 KLBF -9,230769231

26/11/2013 PGAS

-6,315789474

06/01/2014 INCO

-7,446808511

11/09/2013 SMG

R

-6,779661017

20/09/2013 BBNI

-6,486486486

16/12/2013 LSIP

-6,382978723

02/09/2013 INDF

-8,527131783

02/09/2013 BBNI

-6,578947368

12/12/2013 AALI

-6,163021869

27/08/2013 ASII

-7,826086957

02/09/2013 BDMN

-7,228915663

20/09/2013 AALI

-7,487922705

20/08/2013 GGR

M

-6,313131313

02/09/2013 BMRI

-6,944444444

10/09/2013 LSIP

-7,189542484

19/08/2013 GGR

M

-7,019562716

20/08/2013 UNTR

-7,096774194

19/08/2013 INCO

-7,469879518

INDF

-7,299270073

19/08/2013 BBCA

-8,212560386

LSIP

-9,009009009

SMG

R

-10,88435374

BBRI

-7,142857143

17/07/2013 LSIP

-6,060606061

08/07/2013 INDF

-6,382978723

BMRI

-6,134969325

12/07/2013 LSIP

-6,622516556

KLBF -6,993006993

UNTR

-7,096774194

03/07/2013 PTBA

-6,060606061

02/08/2013 BDMN

-6,666666667

-6,315789474

15/07/2013 PGAS

-6,722689076

08/07/2013 BMRI

-7,36196319

UNTR

-8,045977011

(3)

Hasil Uji Signifikansi AR Tiga Hari Sesudah Event

Seluruh Sampel

Hypothesis Testing for AR_PLUS1 Date: 03/11/15 Time: 20:50 Sample: 1 37

Included observations: 37

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.281984 Sample Std. Dev. = 3.873218

Method Value Probability

t-statistic 0.442846 0.6605

Hypothesis Testing for AR_PLUS2 Date: 03/11/15 Time: 20:52 Sample: 1 37

Included observations: 37

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.688103 Sample Std. Dev. = 3.190690

Method Value Probability

t-statistic 1.311807 0.1979

Hypothesis Testing for AR_PLUS3 Date: 03/11/15 Time: 20:53 Sample: 1 37

Included observations: 37

Test of Hypothesis: Mean = 0.000000

Sample Mean = 1.076702 Sample Std. Dev. = 4.904517

Method Value Probability

(4)

Lampiran 4

Hasil Uji Signifikansi AR Tiga Hari Sesudah Event

Subsampel Ekstraktif

Hypothesis Testing for AR_PLUS1 Date: 03/11/15 Time: 21:00 Sample: 1 11

Included observations: 11

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.473517 Sample Std. Dev. = 2.755100

Method Value Probability

t-statistic 0.570026 0.5812

Hypothesis Testing for AR_PLUS2 Date: 03/11/15 Time: 21:01 Sample: 1 11

Included observations: 11

Test of Hypothesis: Mean = 0.000000

Sample Mean = -0.242631 Sample Std. Dev. = 3.415639

Method Value Probability

t-statistic -0.235597 0.8185

Hypothesis Testing for AR_PLUS3 Date: 03/11/15 Time: 21:03 Sample: 1 11

Included observations: 11

Test of Hypothesis: Mean = 0.000000

Sample Mean = 1.947574 Sample Std. Dev. = 7.410153

Method Value Probability

(5)

Hasil Uji Signifikansi AR Tiga Hari Sesudah Event

Subsampel Manufaktur

Hypothesis Testing for AR_PLUS1 Date: 03/11/15 Time: 21:07 Sample: 1 10

Included observations: 10

Test of Hypothesis: Mean = 0.000000

Sample Mean = -0.520904 Sample Std. Dev. = 4.683014

Method Value Probability

t-statistic -0.351748 0.7331

Hypothesis Testing for AR_PLUS2 Date: 03/11/15 Time: 21:08 Sample: 1 10

Included observations: 10

Test of Hypothesis: Mean = 0.000000

Sample Mean = 2.220761 Sample Std. Dev. = 3.156584

Method Value Probability

t-statistic 2.224767 0.0531

Hypothesis Testing for AR_PLUS3 Date: 03/11/15 Time: 21:08 Sample: 1 10

Included observations: 10

Test of Hypothesis: Mean = 0.000000

Sample Mean = 1.220732 Sample Std. Dev. = 2.942011

Method Value Probability

(6)

Lampiran 6

Hasil Uji Signifikansi AR Tiga Hari Sesudah Event

Subsampel Jasa

Hypothesis Testing for AR_PLUS1 Date: 03/11/15 Time: 21:12 Sample: 1 16

Included observations: 16

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.561660 Sample Std. Dev. = 4.149114

Method Value Probability

t-statistic 0.541474 0.5961

Hypothesis Testing for AR_PLUS2 Date: 03/11/15 Time: 21:13 Sample: 1 16

Included observations: 16

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.370071 Sample Std. Dev. = 2.892729

Method Value Probability

t-statistic 0.511726 0.6163

Hypothesis Testing for AR_PLUS3 Date: 03/11/15 Time: 21:13 Sample: 1 16

Included observations: 16

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.387960 Sample Std. Dev. = 3.854106

Method Value Probability

(7)

Hasil Uji Signifikansi CAR Tiga Hari Sesudah Event

a. Seluruh Sampel

Hypothesis Testing for CAR1_3 Date: 03/11/15 Time: 21:18 Sample: 1 3

Included observations: 3

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.682263 Sample Std. Dev. = 0.397391

Method Value Probability

t-statistic 2.973680 0.0969

b. Subsampel Ekstrakif

Hypothesis Testing for CAR1_3 Date: 03/11/15 Time: 21:20 Sample: 1 3

Included observations: 3

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.726153 Sample Std. Dev. = 1.116744

Method Value Probability

t-statistic 1.126251 0.3770

c. Subsampel Manufaktur

Hypothesis Testing for CAR1_3 Date: 03/11/15 Time: 21:21 Sample: 1 3

Included observations: 3

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.973530 Sample Std. Dev. = 1.387448

Method Value Probability

(8)

Lanjutan

Lampiran 7

Hasil Uji Signifikansi CAR Tiga Hari Sesudah Event

d. Subsampel Jasa

Hypothesis Testing for CAR1_3 Date: 03/11/15 Time: 21:23 Sample: 1 3

Included observations: 3

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.439897 Sample Std. Dev. = 0.105828

Method Value Probability

(9)

Hasil Uji Signifikansi CAR T+4 Hingga T+20

a. Seluruh Sampel

Hypothesis Testing for CAR_4_20 Date: 03/11/15 Time: 21:26 Sample: 1 17

Included observations: 17

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.359487 Sample Std. Dev. = 0.609085

Method Value Probability

t-statistic 2.433491 0.0271

b. Subsampel Ekstraktif

Hypothesis Testing for CAR4_20 Date: 03/11/15 Time: 21:28 Sample: 1 17

Included observations: 17

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.203892 Sample Std. Dev. = 1.179885

Method Value Probability

t-statistic 0.712500 0.4864

c. Subsampel Manufaktur

Hypothesis Testing for CAR4_20 Date: 03/11/15 Time: 21:29 Sample: 1 17

Included observations: 17

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.300409 Sample Std. Dev. = 1.180252

Method Value Probability

(10)

Lanjutan Lampiran 8

Hasil Uji Signifikansi CAR T+4 Hingga T+20

d. Subsampel Jasa

Hypothesis Testing for CAR4_20 Date: 03/11/15 Time: 21:30 Sample: 1 17

Included observations: 17

Test of Hypothesis: Mean = 0.000000

Sample Mean = 0.516721 Sample Std. Dev. = 0.831898

Method Value Probability

(11)

Hasil Regresi untuk Menentukan Perbedaan Tingkat Pembalikan

Antar Industri

Dependent Variable: CAR1-3 Method: Least Squares Date: 03/10/15 Time: 11:43 Sample: 1 37

Included observations: 37

Variable Coefficient Std. Error t-Statistic Prob.

C 0.414762 1.705042 0.243256 0.8093

AR0 -0.003317 0.211174 -0.015708 0.9876

D1 0.533145 0.950038 0.561183 0.5785

D2 0.289283 0.942484 0.306936 0.7608

R-squared 0.009759 Mean dependent var 0.669225

Adjusted R-squared -0.080263 S.D. dependent var 2.266298

S.E. of regression 2.355492 Akaike info criterion 4.653182

Sum squared resid 183.0954 Schwarz criterion 4.827336

Log likelihood -82.08388 Hannan-Quinn criter. 4.714580

F-statistic 0.108410 Durbin-Watson stat 1.638484

Prob(F-statistic) 0.954587

Heteroskedasticity Test: ARCH

F-statistic 0.041113 Prob. F(1,34) 0.8405

Obs*R-squared 0.043479 Prob. Chi-Square(1) 0.8348

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 03/10/15 Time: 12:05 Sample (adjusted): 2 37

Included observations: 36 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 4.699589 1.491107 3.151745 0.0034

RESID^2(-1) 0.034923 0.172236 0.202763 0.8405

R-squared 0.001208 Mean dependent var 4.877112

Adjusted R-squared -0.028168 S.D. dependent var 7.142156

S.E. of regression 7.242049 Akaike info criterion 6.851638

Sum squared resid 1783.207 Schwarz criterion 6.939611

Log likelihood -121.3295 Hannan-Quinn criter. 6.882343

F-statistic 0.041113 Durbin-Watson stat 1.982202

(12)

Dependent Variable: CAR4_20 Method: Least Squares Date: 03/10/15 Time: 12:00 Sample: 1 37

Included observations: 37

Variable Coefficient Std. Error t-Statistic Prob.

C 0.567726 0.101805 5.576628 0.0000

AR0 -0.115949 0.029843 -3.885276 0.0005

D1 -0.154437 0.163562 -0.944216 0.3519

D2 -0.279638 0.158396 -1.765433 0.0867

R-squared 0.369756 Mean dependent var 0.365255

Adjusted R-squared 0.312461 S.D. dependent var 0.487010

S.E. of regression 0.403818 Akaike info criterion 1.126103

Sum squared resid 5.381289 Schwarz criterion 1.300257

Log likelihood -16.83291 Hannan-Quinn criter. 1.187500

F-statistic 6.453554 Durbin-Watson stat 1.910747

Prob(F-statistic) 0.001467

Heteroskedasticity Test: ARCH

F-statistic 2.489379 Prob. F(1,34) 0.1239

Obs*R-squared 2.455993 Prob. Chi-Square(1) 0.1171

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 03/10/15 Time: 12:02 Sample (adjusted): 2 37

Included observations: 36 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 0.181474 0.042171 4.303264 0.0001

RESID^2(-1) -0.260782 0.165284 -1.577777 0.1239

R-squared 0.068222 Mean dependent var 0.143309

Adjusted R-squared 0.040817 S.D. dependent var 0.211629

S.E. of regression 0.207265 Akaike info criterion -0.255688

Sum squared resid 1.460594 Schwarz criterion -0.167714

Log likelihood 6.602379 Hannan-Quinn criter. -0.224983

F-statistic 2.489379 Durbin-Watson stat 1.910763

Referensi

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