Lampiran 1
Daftar frekwensi perdagangan saham
No. Kode Tanggal
t-2
t-1
t+1
t+2
1 IGAR 16-Aug-1999 62 378 23897 2525
2 EKAD 6-Sep-1999 10 73 6342 2571
3 KLBF 17-Sep-1999 1464 10495 25048 12927
4 FASW 20-Sep-1999 66 2195 14450 22504
5 DNKS 20-Sep-1999 548 10370 16561 6390
6 SSTM 27-Sep-1999 174 2495 4628 5499
7 BUDI 28-Sep-1999 233 163 10334 16175
8 KKGI 29-Sep-1999 29 396 10334 895
9 SUDI 10-Oct-1999 12640 6244 2057 776
10 DSUC 21-Oct-1999 24 73 6210 1537
11 MTDL 9-Dec-1999 1649 8951 53801 3328
12 FAST 5-Mar-2000 61 29 5 12
13 TIRT 15-May-2000 1079 557 1109 1109
14 UNTR 5-Sep-2000 8691 3367 8124 16373
15 INDF 8-Oct-2000 41787 38942 27649 18661
16 TRST 9-Oct-2000 4952 12954 1071 1554
17 INTP 6-Nov-2000 567 260 1071 308
18 UNVR 6-Nov-2000 327 387 4832 2169
19 ESTI 11-Dec-2000 1740 890 717 1603
20 SUBA 8-Jan-2001 38844 4254 6581 3722
21 TURI 6-Jul-2001 454 5091 635 9476
22 SMPL 31-Jul-2001 6286 3779 1075 232
23 SRSN 6-Aug-2001 23 3795 4923 3100
24 ULTJ 29-Aug-2001 5569 13661 260 766
25 SIMM 30-Aug-2001 310 267 673 456
26 SDPC 3-Sep-2001 5 13 7 357
27 GGRM 24-Sep-2001 28050 37272 22709 41897
28 HMSP 24-Sep-2001 28592 25272 19407 29188
29 ASGR 26-Oct-2001 19275 33065 7102 14376
30 TBLA 29-Oct-2001 305 2847 1043 1298
31 STTP 12-Nov-2001 45 323 1043 956
32 ACAP 7-Jan-2002 79 34 116 3428
33 VOKS 19-Mar-2002 25 173 84 18
34 FMII 2-Jul-2002 171 924 1987 149
35 HEXA 29-Jul-2002 2042 2514 562 107
37 CPIN 15-Jan-2003 502 625 1789 2844
38 HMSP 8-Jul-2003 11 28 361 237
39 MRAT 2-Sep-2003 557 956 1605 3667
40 BLTA 20-Oct-2003 1575 738 2599 1613
Sumber :data yang diolah 2006
Lampiran 2
Daftar perubahan
Earning
yang diproksikan dengan
operating income
t-1
t0
Perubahan to
No. Kode
Tanggal
(dalam milliyar rupiah)
1 IGAR 16-Aug-1999 30 42 0.285714
2 EKAD 6-Sep-1999 7 10 0.3
3 KLBF 17-Sep-1999 172 228 0.245614
4 FASW 20-Sep-1999 72 89 0.191011
5 DNKS 20-Sep-1999 65 65 0.015152
6 SSTM 27-Sep-1999 40 59 0.322034
7 BUDI 28-Sep-1999 94 135 0.303704
8 KKGI 29-Sep-1999 25 30 0.166667
9 SUDI 10-Oct-1999 62 74 0.162162
10 DSUC 21-Oct-1999 135 150 0.1
11 MTDL 9-Dec-1999 51 68 0.25
12 FAST 5-Mar-2000 35 6 -4.83333
13 TIRT 15-May-2000 9 22 0.590909
14 UNTR 5-Sep-2000 490 793 0.382093
15 INDF 8-Oct-2000 1898 1898 0
16 TRST 9-Oct-2000 119 156 0.237179
17 INTP 6-Nov-2000 42 73 0.424658
18 UNVR 6-Nov-2000 835 1019 0.180569
19 ESTI 11-Dec-2000 86 116 0.258621
20 SUBA 8-Jan-2001 2.9 -1.4 3.071429
21 TURI 6-Jul-2001 257 71 -2.61972
22 SMPL 31-Jul-2001 10 13 0.230769
23 SRSN 6-Aug-2001 19 20 0.05
24 ULTJ 29-Aug-2001 28 38 0.263158
25 SIMM 30-Aug-2001 11 13 0.153846
26 SDPC 3-Sep-2001 5 -4 2.25
27 GGRM 24-Sep-2001 1720 2442 0.295659
28 HMSP 24-Sep-2001 1371 2130 0.356338
29 ASGR 26-Oct-2001 66 55 -0.2
31 STTP 12-Nov-2001 35 41 0.146341
32 ACAP 7-Jan-2002 20 4 -4
33 VOKS 19-Mar-2002 -8 3 3.666667
34 FMII 2-Jul-2002 6 -3 3
35 HEXA 29-Jul-2002 16 26 0.384615
36 PBRX 10-Jan-2003 26 2 -12
37 CPIN 15-Jan-2003 239 3 -78.6667
38 HMSP 8-Jul-2003 26 44 0.409091
39 MRAT 2-Sep-2003 27 2 -12.5
40 BLTA 20-Oct-2003 144 203 0.29064
Sumber :data yang diolah 2006
Lampiran 3
Daftar operating income t-2,t-1,t1 dan t2
Operating income
t-2 t-1 t+1 t+2
No Kode
Nama Emiten
Tanggal
(dalam milliyar rupiah)
1 IGAR Kageo Igar Jaya 16-Aug-1999 14 30 47 12
2 EKAD Ekadharma Tape Industry 6-Sep-1999 7 7 12 3
3 KLBF Kalbe Farma 17-Sep-1999 153 172 262 91
4 FASW Fajar Surya Wisesa 20-Sep-1999 56 72 92 15
5 DNKS Dankos Laboratoris 20-Sep-1999 45 65 82 39
6 SSTM Sunson Textile Manufacture 27-Sep-1999 40 40 69 81
7 BUDI Budi Acid Jaya 28-Sep-1999 94 94 142 12
8 KKGI Kurnia Kapuas Utama Glue Industri 29-Sep-1999 25 25 40 52
9 SUDI Daya Sakti Unggul Corporation 10-Oct-1999 40 62 8 8
10 DSUC Surya Dumai Industry 21-Oct-1999 88 135 26 53
11 MTDL Metrodata Electronics 9-Dec-1999 34 51 17 23
12 FAST Fast Food Indonesia 5-Mar-2000 24 35 16 28
13 TIRT Tirta Mahakam Polywood Industry 15-May-2000 28 9 28 38
14 UNTR United Tractor 5-Sep-2000 183 490 940 553
15 UNDF Indofood Sukses Makmur 8-Oct-2000 1240 1898 566 1034
16 TRST Trias Santosa 9-Oct-2000 59 119 40 101
17 INTP Intraco Penta 6-Nov-2000 29 42 35 62
18 UNVR Unilever Indonesia 6-Nov-2000 536 835 361 706
19 ESTI Evershine Textile Industry 11-Dec-2000 51 86 25 86
20 SUBA Suba Indah 8-Jan-2001 -4 2.9 -4 1
21 TURI Tunas Ridean 6-Jul-2001 24 257 54 20
22 SMPL Sumitplast Interbenua 31-Jul-2001 4 10 18
23 SRSN Surasa Nugraha 6-Aug-2001 9 19 22 43
24 ULTJ Ultrajaya Milk Industri 29-Aug-2001 11 28 56 13
25 SIMM Surya Intrindo Makmur 30-Aug-2001 5 11 4 5
26 SDPC Millenium PharmacOn International 3-Sep-2001 1 5 -8 -7
27 GGRM Gudang Garam 24-Sep-2001 722 1720 3390 836
29 ASGR Astra Graphia 26-Oct-2001 40 66 13 13
30 TBLA Tunas Baru Lampung 29-Oct-2001 34 40 11 24
31 STTP Siantar Top 12-Nov-2001 21 35 8 24
32 ACAP Andhi Candra Automotive Product 7-Jan-2002 17 20 8 13
33 VOKS Voksel Electronics 19-Mar-2002 -5 -8 -1 -4
34 FMII Fortune Mate Indonesia 2-Jul-2002 5 6 -41 -12
35 HEXA Hexindo Adiperkasa 29-Jul-2002 8 16 33 50
36 PBRX Pan Brothers 10-Jan-2003 18 26 8 8
37 CPIN Chareon Pokhpit Indonesia 15-Jan-2003 223 239 94 94
38 HMSP Selamat Samporna 8-Jul-2003 26 26 42 90
39 MRAT Mustika Ratu 2-Sep-2003 27 27 6 9
40 BLTA Berlian Laju Tanker 20-Oct-2003 49 144 75 136
Sumber :data yang diolah 2006
Lampiran 4
Daftar Closing price dan IHSG
No. Kode Tanggal
t-1
t-0
Return
saham
IHSG
T-1
IHSG
T0
Return
market
SREET
1. IGAR 16-Aug-1999 3500 225 -0.9357 557709 560481 0.0050 -0.9407 2. EKAD 6-Sep-1999 1400 875 -0.3750 565196 540420 -0.0438 -0.3312 3. KLBF 17-Sep-1999 3000 575 -0.8083 517542 515067 -0.0048 -0.8036 4. FASW 20-Sep-1999 1875 625 -0.6667 547017 543333 -0.0067 -0.6599 5. DNKS 20-Sep-1999 2600 525 -0.7981 547017 543333 -0.0067 -0.7913 6. SSTM 27-Sep-1999 575 115 -0.8000 517542 515067 -0.0048 -0.7952 7. BUDI 28-Sep-1999 2800 750 -0.7321 515067 579222 0.1246 -0.8567 8. KKGI 29-Sep-1999 1225 600 -0.5102 529222 526469 -0.0052 -0.5050 9. DSUC 10-Oct-1999 1525 700 -0.5410 567918 553213 -0.0259 -0.5151 10. SUDI 21-Oct-1999 2800 600 -0.7857 584425 616490 0.0549 -0.8406 11. MTDL 9-Dec-1999 7550 825 -0.8907 620977 631553 0.0170 -0.9078 12. FAST 5-Mar-2000 9500 950 -0.9000 429904 431435 0.0036 -0.9036 13. TIRT 15-May-2000 2000 450 -0.7750 526877 516430 -0.0198 -0.7552 14. UNTR 5-Sep-2000 1970 490 -0.7513 475356 476422 0.0022 -0.7535 15. INDF 8-Oct-2000 4025 850 -0.7888 415523 421336 0.0140 -0.8028 16. TRST 9-Oct-2000 535 105 -0.8037 421996 415364 -0.0157 -0.7880
17. INTP 6-Nov-2000 1550 1575 0.0161 409834 415267 0.0133 0.0029
18. UNVR 6-Nov-2000 148000 14000 -0.9054 409834 415267 0.0133 -0.9187 19. ESTI 11-Dec-2000 1150 250 -0.7826 431808 421473 -0.0239 -0.7587
20. SUBA 8-Jan-2001 200 90 -0.5500 418820 415726 -0.0074 -0.5426
26. SDPC 3-Sep-2001 750 750 0.0000 435552 43772 -0.8995 0.8995
27. GGRM 24-Sep-2001 10650 10500 -0.0141 414427 410394 -0.0097 -0.0044 28. HMSP 24-Sep-2001 17300 3300 -0.8092 414427 410394 -0.0097 -0.7995 29. ASGR 26-Oct-2001 4100 410 -0.9000 482653 486907 0.0088 -0.9088 30. TBLA 29-Oct-2001 1175 295 -0.7489 387822 384328 -0.0090 -0.7399 31. STTP 12-Nov-2001 1450 270 -0.8138 375074 377828 0.0073 -0.8211 32. ACAP 7-Jan-2002 1875 345 -0.8160 385201 388724 0.0091 -0.8251 33. VOKS 19-Mar-2002 390 195 -0.5000 469676 471643 0.0042 -0.5042 34. FMII 2-Jul-2002 1050 200 -0.8095 492266 483780 -0.0172 -0.7923 35. HEXA 29-Jul-2002 1150 625 -0.4565 441875 455086 0.0299 -0.4864 36. PBRX 10-Jan-2003 1825 365 -0.8000 406392 420326 0.0343 -0.8343 37. CPIN 15-Jan-2003 370 340 -0.0811 453674 453634 -0.0001 -0.0810 38. SMSM 8-Jul-2003 1750 325 -0.8143 511378 518530 0.0140 -0.8283
39. MRAT 2-Sep-2003 500 445 -0.1100 534337 538939 0.0086 -0.1186
40 BLTA 20-Oct-2003 650 700 0.0769 649646 652759 0.0048 0.0721
Output SPSS
NPar Tests
Descriptive Statistics
N Mean Std.
Deviation
Minimum Maximum Percentiles
25th 50th
(Median)
75th
OP_2 40 116.7500 249.41580 -5.00 1240.00 11.7500 28.5000 58.2500 OP_1 40 203.9475 450.21739 -8.00 1898.00 19.2500 42.0000 113.2500 OP1 40 231.4750 676.82399 -31.00 3390.00 8.7500 30.5000 80.2500 OP2 40 126.7500 253.35753 -12.00 1034.00 12.0000 26.0000 89.0000
One-Sample Kolmogorov-Smirnov Test
OP_2 OP_1 OP1 OP2
N 40 40 40 40
Normal Parameters
Mean 116.7500 203.9475 231.4750 126.7500
Std. Deviation 249.41580 450.21738 676.82397 253.35753
Most Extreme Differences
Absolute .367 .386 .405 .390
Positive .367 .386 .405 .390
Negative -.313 -.319 -.349 -.292
Kolmogorov-Smirnov Z
2.318 2.440 2.564 2.470
Asymp. Sig. (2-tailed)
.000 .000 .000 .000
a Test distribution is Normal. b Calculated from data.
NPar Tests
Descriptive Statistics
N Mean Std.
Deviation
Minimum Maximum
OP_2 40 116.7500 249.41580 -5.00 1240.00
OP_1 40 203.9475 450.21739 -8.00 1898.00
OP1 40 231.4750 676.82399 -31.00 3390.00
Wilcoxon Signed Ranks Test
Ranks
N Mean
Rank
Sum of Ranks OP1 -
OP_2
Negative Ranks
18 17.92 322.50
Positive Ranks
20 20.92 418.50
Ties 2
Total 40
OP2 - OP_2
Negative Ranks
19 18.84 358.00
Positive Ranks
20 21.10 422.00
Ties 1
Total 40
OP1 - OP_1
Negative Ranks
22 22.32 491.00
Positive Ranks
18 18.28 329.00
Ties 0
Total 40
OP2 - OP_1
Negative Ranks
28 20.64 578.00
Positive Ranks
11 18.36 202.00
Ties 1
Total 40
a OP1 < OP_2 b OP1 > OP_2 c OP_2 = OP1 d OP2 < OP_2 e OP2 > OP_2 f OP_2 = OP2 g OP1 < OP_1 h OP1 > OP_1 i OP_1 = OP1 j OP2 < OP_1 k OP2 > OP_1 l OP_1 = OP2
Test Statistics OP1 - OP_2
OP2 - OP_2
OP1 - OP_1
OP2 - OP_1
Z -.696 -.447 -1.089 -2.624
Asymp. Sig.
(2-tailed)
.486 .655 .276 .009
NPar Tests
Descriptive Statistics
N Mean Std.
Deviation
Minimum Maximum Percentiles
25th 50th
(Median)
75th
FREKW_2 40 5224.8250 10725.954 67
5.00 41787.00 63.0000 478.0000 4224.5000
FREKW_1 40 5871.7500 10207.892 95
13.00 38942.00 261.7500 940.0000 5955.7500
FREKW1 40 7330.3750 10900.796 79
5.00 53801.00 684.0000 2022.0000 9781.5000
FREKW2 40 6188.4500 9140.5967 1
12.00 41897.00 768.5000 2347.0000 8704.5000
One-Sample Kolmogorov-Smirnov Test
FREKW_2 FREKW_1 FREKW1 FREKW2
N 40 40 40 40
Normal Parameter
s
Mean 5224.8252 5871.7500 7330.3750 6188.4502
Std. Deviation
10725.955 08
10207.892 58
10900.796 88
9140.5966 8 Most
Extreme Difference
s
Absolute .367 .288 .251 .306
Positive .367 .288 .233 .306
Negative -.313 -.283 -.251 -.250
Kolmogoro v-Smirnov
Z
2.319 1.821 1.586 1.938
Asymp. Sig.
(2-tailed)
.000 .003 .013 .001
a Test distribution is Normal. b Calculated from data.
NPar Tests
Descriptive Statistics
N Mean Std.
Deviation
Minimum Maximum
FREKW_2 40 5224.8250 10725.954
67
5.00 41787.00
FREKW_1 40 5871.7500 10207.892
95
13.00 38942.00
FREKW1 40 7330.3750 10900.796
79
5.00 53801.00
FREKW2 40 6188.4500 9140.5967
1
Wilcoxon Signed Ranks Test
Ranks
N Mean
Rank
Sum of Ranks FREKW1 -
FREKW_2
Negative Ranks
13 23.77 309.00
Positive Ranks
27 18.93 511.00
Ties 0
Total 40
FREKW2 - FREKW_2
Negative Ranks
13 20.15 262.00
Positive Ranks
27 20.67 558.00
Ties 0
Total 40
FREKW1 - FREKW_1
Negative Ranks
15 21.00 315.00
Positive Ranks
25 20.20 505.00
Ties 0
Total 40
FREKW2 - FREKW_1
Negative Ranks
15 22.27 334.00
Positive Ranks
25 19.44 486.00
Ties 0
Total 40
a FREKW1 < FREKW_2 b FREKW1 > FREKW_2 c FREKW_2 = FREKW1 d FREKW2 < FREKW_2 e FREKW2 > FREKW_2 f FREKW_2 = FREKW2 g FREKW1 < FREKW_1 h FREKW1 > FREKW_1 i FREKW_1 = FREKW1 j FREKW2 < FREKW_1 k FREKW2 > FREKW_1 l FREKW_1 = FREKW2 Test Statistics
FREKW1 - FREKW_2
FREKW2 - FREKW_2
FREKW1 - FREKW_1
FREKW2 - FREKW_1
Z -1.358 -1.989 -1.277 -1.022
Asymp. Sig.
(2-tailed)
.175 .047 .202 .307
Regression
Descriptives
Descriptive Statistics
N Minimum Maximum Mean Std.
Deviation
DOP0 31 -78.67 3.07 -2.8676 14.31650
SREET 31 -.94 -.56 -.8031 .08258
Valid N (listwise)
31
Explore
Case Processing Summary Cases
Valid Missing Total
N Percent N Percent N Percent
Unstandar dized Residual
31 77.5% 9 22.5% 40 100.0%
Descriptives
Statistic Std. Error Unstandardize
d Residual
Mean -.0821740 .0141314
9 95% Confidence Interval
for Mean
Lower Bound -.1110344
Upper Bound -.0533137
5% Trimmed Mean -.0867843
Median -.0790425
Variance .006
Std. Deviation .07868078
Minimum -.21666
Maximum .16244
Range .37909
Interquartile Range .0791558
Skewness .838 .421
Kurtosis 2.114 .821
Extreme Values
Case Number Value
Unstandardized Residual
Highest 1 20 .16244
2 4 .06405
3 37 .02343
4 30 -.01601
5 14 -.02936
Lowest 1 1 -.21666
2 18 -.19476
3 29 -.18524
4 12 -.18469
Tests of Normality Kolmogoro
v-Smirnov
Shapiro-Wilk
Statistic df Sig. Statistic df Sig.
Unstandar dized Residual
.151 31 .071 .930 31 .043
a Lilliefors Significance Correction
Unstandardized Residual
Unstandardized Residual
.150 .125 .100 .075 .050 .025 .000 -.025 -.050 -.075 -.100 -.125 -.150 -.175 -.200 -.225
Histogram
F
requen
cy
10
8
6
4
2
0
Std. Dev = .08 Mean = -.082 N = 31.00
Unstandardized Residual Stem-and-Leaf Plot
Frequency Stem & Leaf
1.00 -2 . 1 5.00 -1 . 78889 5.00 -1 . 00123
12.00 -0 . 666677777899 5.00 -0 . 12334
1.00 0 . 2
2.00 Extremes (>=.06)
Normal Q-Q Plot of Unstandardized Residual
Observed Value
.2 .1
-.0 -.1
-.2 -.3
E
x
pec
ted N
or
m
al
2
1
0
-1
-2
Detrended Normal Q-Q Plot of Unstandardized R
Observed Value
.2 .1
0.0 -.1
-.2
D
e
v f
ro
m N
o
rma
l
1.5
1.0
.5
0.0
31 N =
Unstandardized Resid .2
.1
-.0
-.1
-.2
-.3
4 20
Regression
Variables Entered/Removed Model Variables
Entered
Variables Removed
Method
1 DOP0 . Enter
a All requested variables entered. b Dependent Variable: SREET
Model Summary
Model R R Square Adjusted R
Square
Std. Error of the Estimate
1 .352 .124 .094 .07861
a Predictors: (Constant), DOP0 b Dependent Variable: SREET
ANOVA
Model Sum of
Squares
df Mean
Square
F Sig.
1 Regressio n
.025 1 .025 4.113 .052
Residual .179 29 .006
Total .205 30
a Predictors: (Constant), DOP0
Coefficients
Unstandar dized Coefficient
s
Standardiz ed Coefficient
s
t Sig.
Model B Std. Error Beta
1 (Constant) -.809 .014 -56.143 .000
DOP0 -2.033E-03 .001 -.352 -2.028 .052
a Dependent Variable: SREET
Casewise Diagnostics Case
Number
Std. Residual
SREET
20 3.190 -.56
a Dependent Variable: SREET
Residuals Statistics
Minimum Maximum Mean Std.
Deviation
N
Predicted Value
-.8151 -.6490 -.8031 .02911 31
Std. Predicted Value
-.415 5.295 .000 1.000 31
Standard Error of Predicted Value
.01412 .07728 .01660 .01127 31
Adjusted Predicted Value
-1.4450 -.7821 -.8287 .11459 31
Residual -.1312 .2507 .0000 .07728 31
Std. Residual
-1.669 3.190 .000 .983 31
Stud. Residual
-1.699 3.252 .050 1.057 31
Deleted Residual
-.1358 .8235 .0257 .16827 31
Stud. Deleted Residual
-1.759 4.009 .076 1.156 31
Mahal. Distance
.000 28.032 .968 5.023 31
Cook's Distance
.000 53.047 1.729 9.524 31
Centered Leverage Value
.000 .934 .032 .167 31
Charts
Normal P-P Plot of Regression Standa
Dependent Variable: SREET
Observed Cum Prob
1.00 .75
.50 .25
0.00
E
x
pec
ted C
u
m P
rob
1.00
.75
.50
.25
0.00
Scatterplot
Dependent Variable: SREET
Regression Standardized Predicted Value
6 5
4 3
2 1
0 -1
R
egr
e
ssi
on S
tudent
iz
ed R
es
idual
4
3
2
1
0