DAFTAR LAMPIRAN
Lampiran 1: Daftar Emiten yang Terpilih Sebagai Sampel
No. Kode Saham
Nama Emiten
1
AALI Astra Agro Lestari Tbk.2
ACES Ace Hardware Indonesia Tbk.3
ADES Akasha Wira International Tbk.4
ADHI Adhi Karya (Persero) Tbk.5
ADRO Adaro Energy Tbk.6
AISA Tiga Pilar Sejahtera Food Tbk.7
AKRA AKR Corporindo Tbk.8
ALDO Alkindo Naratama Tbk.9
ALTO Tri Banyan Tirta Tbk.10
AMRT Sumber Alfaria Trijaya Tbk.11
ANTM Aneka Tambang (Persero) Tbk.12
APEX Apexindo Pratama Duta Tbk.13
APIC Pacific Strategic Financial Tbk.14
APLN Agung Podomoro Land Tbk.15
ARII Atlas Resources Tbk.16
ARNA Arwana Citramulia Tbk.17
ASGR Astra Graphia Tbk.18
ASII Astra International Tbk.19
ASRI Alam Sutera Realty Tbk.20
ASSA Adi Sarana Armada Tbk.21
AUTO Astra Otoparts Tbk.22
BAJA Saranacentral Bajatama Tbk.23
BBCA Bank Central Asia Tbk.24
BBKP Bank Bukopin Tbk.25
BBMD Bank Mestika Dharma Tbk.26
BBNI Bank Negara Indonesia (Persero) Tbk.27
BBRI Bank Rakyat Indonesia (Persero) Tbk.28
BBTN Bank Tabungan Negara (Persero) Tbk.29
BCIP Bumi Citra Permai Tbk.30
BDMN Bank Danamon Indonesia Tbk.31
BEST Bekasi Fajar Industrial Estate Tbk.32
BHIT MNC Investama Tbk.33
BISI BISI International Tbk.34
BJBR Bank Pembangunan Daerah Jawa Barat dan35
BJTM Bank Pembangunan Daerah Jawa Timur36
BMRI Bank Mandiri (Persero) Tbk.38
BNGA Bank CIMB Niaga Tbk.39
BRPT Barito Pacific Tbk.40
BSDE Bumi Serpong Damai Tbk.41
BWPT BW Plantation Tbk.42
CFIN Clipan Finance Indonesia Tbk.43
CLPI Colorpak Indonesia Tbk.44
CMNP Citra Marga Nusaphala Persada Tbk.45
CNKO Exploitasi Energi Indonesia Tbk.46
COWL Cowell Development Tbk.47
CPGT Cipaganti Citra Graha Tbk.48
CPIN Charoen Pokphand Indonesia Tbk49
CTRA Ciputra Development Tbk.50
CTRP Ciputra Property Tbk.51
CTRS Ciputra Surya Tbk.52
DILD Intiland Development Tbk.53
DNET Indoritel Makmur Internasional Tbk.54
DSNG Dharma Satya Nusantara Tbk.55
DYAN Dyandra Media International Tbk.56
EKAD Ekadharma International Tbk.57
ELSA Elnusa Tbk.58
ERAA Erajaya Swasembada Tbk.59
EXCL XL Axiata Tbk.60
FASW Fajar Surya Wisesa Tbk.61
GGRM Gudang Garam Tbk.62
GIAA Garuda Indonesia (Persero) Tbk.63
GJTL Gajah Tunggal Tbk.64
HEXA Hexindo Adiperkasa Tbk.65
HRUM Harum Energy Tbk.66
ICBP Indofood CBP Sukses Makmur Tbk.67
IMAS Indomobil Sukses Internasional Tbk.68
INCO Vale Indonesia Tbk.69
INDF Indofood Sukses Makmur Tbk.70
INDY Indika Energy Tbk.71
INTA Intraco Penta Tbk.72
INTP Indocement Tunggal Prakasa Tbk.73
ISAT Indosat Tbk.74
ITMG Indo Tambangraya Megah Tbk.75
JPFA Japfa Comfeed Indonesia Tbk.76
JSMR Jasa Marga (Persero) Tbk.77
JTPE Jasuindo Tiga Perkasa Tbk.78
KAEF Kimia Farma Tbk.79
KKGI Resource Alam Indonesia Tbk.80
KLBF Kalbe Farma Tbk.82
KRAS Krakatau Steel (Persero) Tbk.83
KREN Kresna Graha Sekurindo Tbk.84
LPCK Lippo Cikarang Tbk85
LPKR Lippo Karawaci Tbk.86
LPLI Star Pacific Tbk87
LPPF Matahari Department Store Tbk.88
LSIP PP London Sumatra Indonesia Tbk.89
MAIN Malindo Feedmill Tbk.90
MAPI Mitra Adiperkasa Tbk.91
MBSS Mitrabahtera Segara Sejati Tbk.92
MDLN Modernland Realty Ltd. Tbk93
MEDC Medco Energi International Tbk94
META Nusantara Infrastructure Tbk.95
MICE Multi Indocitra Tbk.96
MLPL Multipolar Tbk.97
MNCN Media Nusantara Citra Tbk.98
MPMX Mitra Pinasthika Mustika Tbk.99
MPPA Matahari Putra Prima Tbk.100
MSKY MNC Sky Vision Tbk.101
MTLA Metropolitan Land Tbk.102
MYRX Hanson International Tbk.103
NIRO Nirvana Development Tbk.104
NOBU Bank Nationalnobu Tbk.105
NRCA Nusa Raya Cipta Tbk.106
PADI Minna Padi Investama Tbk.107
PANR Panorama Sentrawisata Tbk.108
PBRX Pan Brothers Tbk.109
PGAS Perusahaan Gas Negara (Persero) Tbk.110
PNBN Bank Pan Indonesia Tbk111
PTBA Tambang Batubara Bukit Asam (Persero)112
PTPP PP (Persero) Tbk.113
PTRO Petrosea Tbk.114
PWON Pakuwon Jati Tbk.115
RALS Ramayana Lestari Sentosa Tbk.116
ROTI Nippon Indosari Corpindo Tbk.117
SAME Sarana Meditama Metropolitan Tbk.118
SCMA Surya Citra Media Tbk.119
SDMU Sidomulyo Selaras Tbk.120
SGRO Sampoerna Agro Tbk.121
SIMP Salim Ivomas Pratama Tbk.122
SMBR Semen Baturaja (Persero) Tbk.123
SMCB Holcim Indonesia Tbk.126
SMRA Summarecon Agung Tbk.127
SMSM Selamat Sempurna Tbk.128
SSIA Surya Semesta Internusa Tbk.129
SUGI Sugih Energy Tbk.130
TAXI Express Transindo Utama Tbk.131
TBIG Tower Bersama Infrastructure Tbk.132
TBLA Tunas Baru Lampung Tbk.133
TELE Tiphone Mobile Indonesia Tbk.134
TINS Timah (Persero) Tbk.135
TLKM Telekomunikasi Indonesia (Persero)136
TMPI Sigmagold Inti Perkasa Tbk.137
TOTL Total Bangun Persada Tbk.138
TRAM Trada Maritime Tbk.139
TRIS Trisula International Tbk.140
TURI Tunas Ridean Tbk.141
ULTJ Ultra Jaya Milk Industry & Trading142
UNTR United Tractors Tbk.143
UNVR Unilever Indonesia Tbk.144
WIIM Wismilak Inti Makmur Tbk.145
WIKA Wijaya Karya (Persero) Tbk.146
WSKT Waskita Karya (Persero) Tbk.147
YPAS Yanaprima Hastapersada TbkLampiran 2: Output Regresi Sebelum Transformasi Data
Model Summaryb
a. Predictors: (Constant), FREQUENCY, VOLATILITY, PRICE b. Dependent Variable: SPREAD
Model Summaryb
Model R R Square
Adjusted R Square
Std. Error of the Estimate 1 .433a .188 .179 1166641.93963 a. Predictors: (Constant), FREQUENCY, VOLATILITY, PRICE
b. Dependent Variable: DEPTH
Coefficientsa
Model
Unstandardized Coefficients
Standardized Coefficients
t Sig. B Std. Error Beta
1 (Constant) 434041.575 116195.219 3.735 .000
Lampiran 3: Output Skewness dan Kurtosis
Descriptive Statistics
N Skewness Kurtosis
Statistic Statistic Std. Error Statistic Std. Error Unstandardized Residual 294 .546 .142 -.216 .283 Valid N (listwise) 294
Descriptive Statistics
N Skewness Kurtosis
Statistic Statistic Std. Error Statistic Std. Error Unstandardized Residual 294 3.773 .142 17.987 .283 Valid N (listwise) 294
Lampiran 4: Analisis Deskriptif
Descriptive Statistics
N Minimum Maximum Mean Std. Deviation PRICE 294 231.00 45290.00 3076.2211 5691.35972 VOLATILITY 294 .00 .33 .0233 .02270 FREQUENCY 294 5.00 5144.00 882.8741 948.53863
SPREAD 294 .00 .02 .0091 .00512
Lampiran 5: Uji Peringkat Bertanda Wilcoxon
Spread
Test Statisticsb
SPREAD_AFTER - SPREAD_BEFORE
Z -10.309a
Asymp. Sig. (2-tailed) .000 a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
Test Statisticsb a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
Lampiran 6: Uji Peringkat Bertanda Wilcoxon
Depth
Test Statisticsb
DEPTH_AFTER - DEPTH_BEFORE
Z -8.967a
Asymp. Sig. (2-tailed) .000 a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
Test Statisticsb a. Based on positive ranks.
b. Wilcoxon Signed Ranks Test
Lampiran 7: Uji Peringkat Bertanda Wilcoxon
Depth to Spread
Test Statisticsb
DRS_AFTER - DRS_BEFORE
Z -6.706a
Asymp. Sig. (2-tailed) .000 a. Based on negative ranks.
Test Statisticsb a. Based on negative ranks.
b. Wilcoxon Signed Ranks Test
Lampiran 8: Output Regresi
Spread
Model Summaryb
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE,
Ln_VOLATILITY, Ln_FREQUENCY, DLn_VOLATILITY, DLn_PRICE b. Dependent Variable: Ln_SPREAD
ANOVAb
Model Sum of Squares df Mean Square F Sig. 1 Regression 75.565 6 12.594 139.937 .000a
Residual 25.830 287 .090
Total 101.395 293
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE, Ln_VOLATILITY, Ln_FREQUENCY, DLn_VOLATILITY, DLn_PRICE
b. Dependent Variable: Ln_SPREAD
Lampiran 9: Output Regresi
Depth
Model Summaryb
Model R R Square
Adjusted R Square
Std. Error of the Estimate
1 .859a .738 .732 .71749
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE,
Ln_VOLATILITY, Ln_FREQUENCY, DLn_VOLATILITY, DLn_PRICE b. Dependent Variable: Ln_DEPTH
ANOVAb
Model Sum of Squares df Mean Square F Sig. 1 Regression 415.753 6 69.292 134.603 .000a
Residual 147.745 287 .515
Total 563.498 293
a. Predictors: (Constant), DLn_FREQUENCY, Ln_PRICE, Ln_VOLATILITY, Ln_FREQUENCY, DLn_VOLATILITY, DLn_PRICE
