29. MAYA PT Bank Mayapada Internasional,
Tbk
√
30. MCOR
PT Bank Windu Kentjana
Internasional, Tbk
√
31. MEGA
PT Bank Mega, Tbk
√
32. NAGA
PT Bank Mitraniaga, Tbk
√
33. NISP
PT Bank OCBC NISP, Tbk
√
34. NOBU
PT Bank National Nobu, Tbk
√
35. PNBN
PT Bank PAN Indonesia, Tbk
√
36. SDRA
PT Bank Himpunan Saudara 1906,
LAMPIRAN 2.
Return, Expected Return, dan Varians Saham Perbankan
Lanjutan LAMPIRAN 2.
LAMPIRAN 3.
12/27/2011 -0.002 12/21/2012 -0.001 12/23/2013 -0.001 12/28/2011 -0.005 12/26/2012 0.006 12/24/2013 0.003 12/29/2011 0.010 12/27/2012 0.002 12/27/2013 0.002 12/30/2011 0.003 12/28/2012 0.008 12/30/2013 0.015 12/31/2012 0.000 12/31/2013 0.000
E(Rm) 0.000264
σm 2
LAMPIRAN 5.
Nilai Beta, Alpha, dan Varian ei Saham Perbankan Periode 2011-2013
No Kode Saham
Alpha (α)
Beta (β )
Varian (ei)
1
AGRO
-0.000341 0.650291
0.000666
2
BACA
0.000417 0.237822
0.001384
3
BABP
0.000691 0.374529
0.001571
4
BAEK
-0.000157 0.061485
0.000784
5
BBCA
0.000440 1.052146
0.000357
6
BBKP
-0.000072 1.109680
0.000574
7
BBNI
-0.000045 1.286383
0.000483
8
BBNP
0.000270 0.027640
0.000058
9
BBTN
-0.000903 1.257664
0.000627
10
BDMN
-0.000386 0.771269
0.000697
11
BEKS
-0.000637 0.355715
0.000727
12
BJBR
-0.000671 1.086943
0.000499
13
BKSW
-0.000533 0.079609
0.000780
14
BMRI
0.000168 1.428234
0.000557
15
BNBA
0.000161 0.348467
0.000632
16
BNGA
-0.000895 0.844312
0.000403
17
BNII
-0.001188 0.591065
0.000404
18
BNLI
-0.000443 0.428948
0.000279
19
BSIM
-0.000493 0.685176
0.000774
20
BSWD
-0.000327 0.777341
0.000861
21
BVIC
-0.000327 0.777341
0.000531
22
INPC
0.000076 0.526405
0.000820
23
MAYA
0.002270 0.462158
0.002836
24
MCOR
0.000359 0.078956
0.001260
25
MEGA
0.000031 0.154031
0.001158
26
NISP
-0.000120 0.338349
0.000671
27
PNBN
-0.000661 0.953317
0.000670
LAMPIRAN 6.
Nilai Excess return to Beta (ERB) & peringkat ERB saham dari yang
Terbesar Sampai yang Terkecil
Kode E(Ri) Rf E(Ri)-Rf βi ERB
MAYA 0.002392 0.000155 0.002237 0.462158 0.004841
BBNP 0.000277 0.000155 0.000122 0.027640 0.004426
MCOR 0.000380 0.000155 0.000225 0.078956 0.002853
SDRA 0.002027 0.000155 0.001872 0.730689 0.002562
BABP 0.000790 0.000155 0.000635 0.374529 0.001696
BACA 0.000480 0.000155 0.000325 0.237822 0.001369
BBCA 0.000719 0.000155 0.000564 1.052146 0.000536
BSWD 0.000534 0.000155 0.000379 0.777341 0.000488
BNBA 0.000253 0.000155 0.000098 0.348467 0.000281
BMRI 0.000545 0.000155 0.000390 1.428234 0.000273
INPC 0.000216 0.000155 0.000061 0.526405 0.000115
BBNI 0.000295 0.000155 0.000140 1.286383 0.000109
BBKP 0.000221 0.000155 0.000066 1.109680 0.000060
BVIC -0.00012 0.000155 -0.000277 0.777341 -0.000356
BDMN -0.000183 0.000155 -0.000338 0.771269 -0.000438
AGRO -0.000167 0.000155 -0.000322 0.650291 -0.000495
BJBR -0.000383 0.000155 -0.000538 1.086943 -0.000495
NISP -0.000030 0.000155 -0.000185 0.338349 -0.000547
MEGA 0.000070 0.000155 -0.000085 0.154031 -0.000551
BBTN -0.000571 0.000155 -0.000725 1.257664 -0.000577
PNBN -0.000410 0.000155 -0.000564 0.953317 -0.000592
BSIM -0.000312 0.000155 -0.000467 0.685176 -0.000681
BNGA -0.000671 0.000155 -0.000826 0.844312 -0.000979
BNLI -0.000330 0.000155 -0.000485 0.428948 -0.001130
BEKS -0.000543 0.000155 -0.000667 0.355715 -0.001961
BNII -0.001032 0.000155 -0.001187 0.591065 -0.002008
BAEK -0.000141 0.000155 -0.000295 0.061485 -0.004804
LAMPIRAN 7.
Perhitungan Nilai Ci dan Proporsi Dana
KODE E(Ri) E(Ri-Rf) βi ERB σei 2
Ai Bi Aj Bj Ci Zi Wi
MAYA 0.0024 0.0022 0.4622 0.0048 0.0028 0.3647 75.321 0.365 75.321 0.000056 0.729174 0.131775 BBNP 0.0003 0.0001 0.0276 0.0044 0.0001 0.0583 13.164 0.423 88.485 0.000065 1.932949 0.349319 MCOR 0.0004 0.0002 0.0790 0.0029 0.0013 0.0141 4.946 0.437 93.431 0.000067 0.155708 0.028139 SDRA 0.0020 0.0019 0.7307 0.0026 0.0010 1.3830 539.847 1.820 633.278 0.000258 1.621339 0.293005 BABP 0.0008 0.0006 0.3745 0.0017 0.0016 0.1514 89.299 1.971 722.577 0.000276 0.31668 0.05723 BACA 0.0005 0.0003 0.2378 0.0014 0.0014 0.0559 40.874 2.027 763.451 0.000283 0.172078 0.031098 BBCA 0.0007 0.0006 1.0521 0.0005 0.0004 1.6619 3102.171 3.689 3865.622 0.000359 0.496578 0.089741 BSWD 0.0005 0.0004 0.7773 0.0005 0.0009 0.3426 702.042 4.032 4567.664 0.000367(*) 0.108973 0.019693 BNBA 0.0003 0.0001 0.3485 0.0003 0.0006 0.0540 192.139 4.086 4759.804 0.000366
BMRI 0.0005 0.0004 1.4282 0.0003 0.0006 1.0006 3661.152 5.086 8420.956 0.000343 INPC 0.0002 0.0001 0.5264 0.0001 0.0008 0.0389 337.797 5.125 8758.753 0.000338 BBNI 0.0003 0.0001 1.2864 0.0001 0.0005 0.3731 3424.771 5.498 12183.524 0.000296 BBKP 0.0002 0.0001 1.1097 0.0001 0.0006 0.1280 2143.925 5.626 14327.449 0.000271
LAMPIRAN 8
Uji Statistik Independent Sample T Test
Independent Samples Test
Levene's Test for Equality of
Variances t-test for Equality of Means
F Sig. t df
Sig.
(2-tailed)
Mean
Difference
Return Equal variances
assumed
7.174 .021 1.753 11 .107 .000643875
Equal variances not
assumed
2.222 7.644 .059 .000643875
Group Statistics
Keterangan N Mean Std. Deviation Std. Error Mean
Risiko Kandidat 8 .00116450 .000846486 .000299278
Non Kandidat 5 .00061320 .000127247 .000056906
Group Statistics
Keterangan N Mean Std. Deviation Std. Error Mean
Return Kandidat 8 .00094988 .000800896 .000283159
Independent Samples Test
Levene's Test for Equality
of Variances t-test for Equality of Means
F Sig. t df
Sig.
(2-tailed)
Mean
Difference
Risiko Equal variances
assumed
4.013 .070 1.423 11 .182 .000551300
Equal variances not
assumed
1.810 7.498 .110
