PENGARUH VOLUME DAN FREKUENSI PERDAGANGAN TERHADAP VOLATILITAS RETURN SAHAM ( STUDI KASUS PADA SAHAM LQ45 DI BURSA EFEK INDONESIA TAHUN 2009 ) - Unika Repository

(1)

LAMPIRAN DATA VOLUME (TVA), FEKUENSI (FREQ), DAN

VOLATILITAS RETURN (VAR) SAHAM PERUSAHAAN YANG

(2)

No

Nama

Perusahaan bulan TVA FREQ VAR

1 _AALI feb 0.019117 9386 0.001105

2 _AALI mar 0.025131 11890 0.001037

3 _AALI apr 0.02595 15141 0.000878

4 _AALI mei 0.028541 15386 0.00158

5 _AALI jun 0.030051 18774 0.000596

6 _AALI jul 0.035893 18717 0.000892

7 _AALI agust 0.027219 16105 0.001085

8 _AALI sep 0.017688 9937 0.000327

9 _AALI okt 0.022551 12493 0.000329

10 _AALI nop 0.013882 8748 0.000329

11 _AALI des 0.012534 6593 0.000307

12 _AALI jan 0.012125 7916 0.000269

13 _ADRO feb 0.011539 10870 0.000899

14 _ADRO mar 0.01924 12670 0.001279

15 _ADRO apr 0.038543 34216 0.00044

16 _ADRO mei 0.048686 46156 0.001811

17 _ADRO jun 0.114136 57577 0.00158

18 _ADRO jul 0.470667 29339 0.000733

19 _ADRO agust 0.072429 58823 0.00113

20 _ADRO sep 0.032729 30056 0.000144

21 _ADRO okt 0.064279 51434 0.000571

22 _ADRO nop 0.09322 52740 0.000746

23 _ADRO des 0.046661 25903 0.000167

24 _ADRO jan 0.087527 61583 0.000544

25 _ANTM feb 0.068906 26456 0.000911

26 _ANTM mar 0.055968 22417 0.000435

27 _ANTM apr 0.234293 63596 0.001505

28 _ANTM mei 0.226804 64597 0.002825

29 _ANTM jun 0.191191 70652 0.003198

30 _ANTM jul 0.114157 49793 0.001165

31 _ANTM agust 0.213575 80613 0.002166

32 _ANTM sep 0.105458 49924 0.000935

33 _ANTM okt 0.098221 44090 0.000532

34 _ANTM nop 0.06711 37960 0.00083

35 _ANTM des 0.042241 27104 0.000862

(3)

37 _ASII feb 0.024015 19624 0.000674

38 _ASII mar 0.029888 15798 0.002015

39 _ASII apr 0.039535 18983 0.001516

40 _ASII mei 0.044385 19964 0.002413

41 _ASII jun 0.044856 16270 0.001181

42 _ASII jul 0.039139 21642 0.000895

43 _ASII agust 0.029476 22416 0.000469

44 _ASII sep 0.019965 16178 0.000972

45 _ASII okt 0.028388 27390 0.000581

46 _ASII nop 0.025483 30398 0.000472

47 _ASII des 0.015831 18623 0.000186

48 _ASII jan 0.021188 22945 0.000384

49 _BBCA feb 0.012459 20677 0.000637

50 _BBCA mar 0.015543 21306 0.000687

51 _BBCA apr 0.015166 11163 0.000876

52 _BBCA mei 0.012557 14114 0.000536

53 _BBCA jun 0.024238 21528 0.000969

54 _BBCA jul 0.062836 22832 0.000475

55 _BBCA agust 0.030195 13588 0.00042

56 _BBCA sep 0.01021 11902 0.000685

57 _BBCA okt 0.019448 28357 0.000593

58 _BBCA nop 0.008043 11571 0.000145

59 _BBCA des 0.007207 10931 0.000338

60 _BBCA jan 0.008351 13903 0.000568

61 _BBNI feb 0.014426 5986 0.000438

62 _BBNI mar 0.022785 9999 0.000853

63 _BBNI apr 0.079387 23047 0.002416

64 _BBNI mei 0.080586 28011 0.00133

65 _BBNI jun 0.055445 23069 0.001021

66 _BBNI jul 0.045851 20313 0.000468

67 _BBNI agust 0.064957 27579 0.000349

68 _BBNI sep 0.038293 16195 0.000338

69 _BBNI okt 0.034059 17868 0.000252

70 _BBNI nop 0.038646 19767 0.000447

71 _BBNI des 0.027826 11296 0.000161

72 _BBNI jan 0.015224 10453 8.08E‐05

73 _BBNI feb 0.020137 21113 0.001008

(4)

75 _BBNI apr 0.040982 29557 0.001985

76 _BBNI mei 0.02743 20134 0.00169

77 _BBNI jun 0.037878 23796 0.00148

78 _BBNI jul 0.034929 52170 0.001543

79 _BBNI agust 0.025247 24663 0.000695

80 _BBNI sep 0.025942 19841 0.000454

81 _BBNI okt 0.042566 35491 0.000697

82 _BBNI nop 0.043741 29171 0.000354

83 _BBNI des 0.020587 16819 0.000306

84 _BBNI jan 0.024126 18811 0.00024

85 _BDMN feb 0.017936 10776 0.001306

86 _BDMN mar 0.013782 7103 0.001432

87 _BDMN apr 0.077533 23206 0.005267

88 _BDMN mei 0.0613 19701 0.003168

89 _BDMN jun 0.041985 24015 0.001328

90 _BDMN jul 0.030258 22412 0.000839

91 _BDMN agust 0.027342 19956 0.000507

92 _BDMN sep 0.023361 14990 0.000607

93 _BDMN okt 0.027062 15159 0.00039

94 _BDMN nop 0.014927 11912 0.000285

95 _BDMN des 0.019765 9260 0.000181

96 _BDMN jan 0.021388 11971 0.000698

97 _BISI feb 0.010915 2303 0.001628

98 _BISI mar 0.055234 21011 0.004132

99 _BISI apr 0.066567 23876 0.001833

100 _BISI mei 0.056745 15284 0.000878

101 _BISI jun 0.036937 13331 0.001432

102 _BISI jul 0.030853 10584 0.000566

103 _BISI agust 0.022964 5937 0.000785

104 _BISI sep 0.004926 2380 0.000463

105 _BISI okt 0.017716 5929 0.000223

106 _BISI nop 0.019282 7533 0.000663

107 _BISI des 0.018973 6803 0.000123

108 _BISI jan 0.063809 17137 0.000821

109 _BLTA feb 0.091936 16582 0.003189

110 _BLTA mar 0.089694 18934 0.00088

111 _BLTA apr 0.106167 16037 0.001637

(5)

113 _BLTA jun 0.091782 18242 0.001478

114 _BLTA jul 0.129813 22164 0.001678

115 _BLTA agust 0.128949 18914 0.000339

116 _BLTA sep 0.090069 15387 0.000381

117 _BLTA okt 0.126075 18086 0.000634

118 _BLTA nop 0.02623 6126 0.000504

119 _BLTA des 0.024533 3752 0.000299

120 _BLTA jan 0.032418 7635 0.000481

121 _BMRI feb 0.019381 21122 0.000358

122 _BMRI mar 0.022081 22419 0.001041

123 _BMRI apr 0.030362 24070 0.001589

124 _BMRI mei 0.050477 32666 0.001076

125 _BMRI jun 0.03786 27987 0.001481

126 _BMRI jul 0.050535 32870 0.000514

127 _BMRI agust 0.026313 28890 0.000619

128 _BMRI sep 0.020092 21965 0.000693

129 _BMRI okt 0.025408 33583 0.000481

130 _BMRI nop 0.01951 29095 0.000365

131 _BMRI des 0.015652 21346 0.000167

132 _BMRI jan 0.016957 22719 0.000288

133 _BRPT feb 0.04138 14831 0.004137

134 _BRPT mar 0.024805 7860 0.001287

135 _BRPT apr 0.082559 16337 0.000886

136 _BRPT mei 0.136532 28364 0.009096

137 _BRPT jun 0.063415 14961 0.001183

138 _BRPT jul 0.019856 6884 0.000702

139 _BRPT agust 0.020246 36025 0.002256

140 _BRPT sep 0.075575 16766 0.000709

141 _BRPT okt 0.081777 19884 0.000594

142 _BRPT nop 0.027787 8630 0.000637

143 _BRPT des 0.022649 7256 0.000433

144 _BRPT jan 0.025318 7794 0.000317

145 _ELSA feb 0.069259 13201 0.000995

146 _ELSA mar 0.113432 13224 0.000694

147 _ELSA apr 0.275454 36556 0.003046

148 _ELSA mei 0.484685 49716 0.001873

149 _ELSA jun 0.215714 35638 0.001488

(6)

151 _ELSA agust 0.071666 11301 0.000703

152 _ELSA sep 0.027318 5045 0.00045

153 _ELSA okt 0.033859 7598 0.000329

154 _ELSA nop 0.021645 4495 0.000519

155 _ELSA des 0.047255 9344 0.000352

156 _ELSA jan 0.03414 6059 0.000467

157 _INCO feb 0.01969 17160 0.000789

158 _INCO mar 0.025495 17235 0.001557

159 _INCO apr 0.059006 37536 0.003184

160 _INCO mei 0.010636 32471 0.001648

161 _INCO jun 0.05704 36523 0.002975

162 _INCO jul 0.045228 32775 0.001169

163 _INCO agust 0.072151 39272 0.001604

164 _INCO sep 0.036924 27997 0.000251

165 _INCO okt 0.054166 35367 0.000588

166 _INCO nop 0.027856 21338 0.000396

167 _INCO des 0.023993 17701 0.000746

168 _INCO jan 0.036956 23015 0.00043

169 _INDF feb 0.06699 21979 0.000404

170 _INDF mar 0.069135 22837 0.000534

171 _INDF apr 0.248726 49778 0.00136

172 _INDF mei 0.121168 33717 0.002006

173 _INDF jun 0.115905 43502 0.001339

174 _INDF jul 0.109282 37559 0.00088

175 _INDF agust 0.118056 50780 0.00169

176 _INDF sep 0.09729 32194 0.00109

177 _INDF okt 0.056628 21560 0.000897

178 _INDF nop 0.033555 12704 0.000175

179 _INDF des 0.059139 16435 0.000539

180 _INDF jan 0.047491 19155 0.000514

181 _INDY feb 0.011055 6310 0.000707

182 _INDY mar 0.014817 8511 0.000513

183 _INDY apr 0.034968 14017 0.002158

184 _INDY mei 0.040484 14145 0.001082

185 _INDY jun 0.086905 19740 0.002671

186 _INDY jul 0.100354 16876 0.001265

187 _INDY agust 0.074293 27936 0.001013

(7)

189 _INDY okt 0.016962 6656 0.000622

190 _INDY nop 0.01526 4324 0.000582

191 _INDY des 0.005729 1914 0.000281

192 _INDY jan 0.05765 11502 0.000455

193 _INKP feb 0.022561 5547 0.000658

194 _INKP mar 0.014243 4612 0.000214

195 _INKP apr 0.046939 11299 0.000564

196 _INKP mei 0.079911 20033 0.005447

197 _INKP jun 0.077782 22362 0.001886

198 _INKP jul 0.032981 11787 0.000691

199 _INKP agust 0.037275 15525 0.000987

200 _INKP sep 0.012547 4754 0.000316

201 _INKP okt 0.015676 5564 0.000212

202 _INKP nop 0.014586 6006 0.000254

203 _INKP des 0.005555 1566 0.000142

204 _INKP jan 0.032399 6008 0.000618

205 _INTP feb 0.005529 1670 0.00031

206 _INTP mar 0.012678 3704 0.000628

207 _INTP apr 0.012277 3680 0.001388

208 _INTP mei 0.014742 4142 0.001316

209 _INTP jun 0.169224 4858 0.001108

210 _INTP jul 0.019467 5891 0.001083

211 _INTP agust 0.035121 11263 0.00113

212 _INTP sep 0.019852 6463 0.000918

213 _INTP okt 0.023084 10643 0.001091

214 _INTP nop 0.01739 9814 0.000583

215 _INTP des 0.020898 8535 0.000918

216 _INTP jan 0.031123 15445 0.000513

217 _ISAT feb 0.045844 22420 0.001891

218 _ISAT mar 0.199226 13429 0.000121

219 _ISAT apr 0.046208 13277 0.001538

220 _ISAT mei 0.00234 10668 0.000578

221 _ISAT jun 0.425631 8070 0.00026

222 _ISAT jul 0.026761 11583 0.000619

223 _ISAT agust 0.02933 9579 0.00076

224 _ISAT sep 0.01193 5958 0.000238

225 _ISAT okt 0.013962 5754 0.000287

(8)

227 _ISAT des 0.009946 5809 0.000192

228 _ISAT jan 0.040855 12000 0.001223

229 _ITMG feb 0.064576 5749 0.000237

230 _ITMG mar 0.029953 6482 0.000367

231 _ITMG apr 0.138705 34022 0.003105

232 _ITMG mei 0.047639 19066 0.001692

233 _ITMG jun 0.039742 17186 0.001907

234 _ITMG jul 0.053436 18939 0.001418

235 _ITMG agust 0.062476 25820 0.000906

236 _ITMG sep 0.025891 13297 0.000352

237 _ITMG okt 0.064348 21648 0.000785

238 _ITMG nop 0.066981 21618 0.00077

239 _ITMG des 0.027163 8766 0.000585

240 _ITMG jan 0.045176 17037 0.000612

241 _JSMR feb 0.014754 3893 0.000104

242 _JSMR mar 0.082702 18350 0.000543

243 _JSMR apr 0.069805 16014 0.000471

244 _JSMR mei 0.046595 12422 0.000933

245 _JSMR jun 0.032664 11235 0.000659

246 _JSMR jul 0.024885 10587 0.000254

247 _JSMR agust 0.077029 26133 0.000566

248 _JSMR sep 0.025547 11269 8.63E‐05

249 _JSMR okt 0.025214 10669 0.000127

250 _JSMR nop 0.023898 8283 0.000113

251 _JSMR des 0.01672 5358 0.000195

252 _JSMR jan 0.022231 7773 8.61E‐05

253 _KLBF feb 0.060193 12269 0.003073

254 _KLBF mar 0.012806 4586 0.000976

255 _KLBF apr 0.04252 11694 0.001247

256 _KLBF mei 0.033084 5660 0.000279

257 _KLBF jun 0.043551 10599 0.001101

258 _KLBF jul 0.036131 8537 0.000653

259 _KLBF agust 0.031341 6538 0.000191

260 _KLBF sep 0.018975 7004 0.000674

261 _KLBF okt 0.021008 8266 0.000287

262 _KLBF nop 0.056842 10181 0.000338

263 _KLBF des 0.031132 5819 0.000136

(9)

265 _LPKR feb 0.026394 12932 0.000334

266 _LPKR mar 0.047476 21690 0.000105

267 _LPKR apr 0.089299 22535 8.41E‐05

268 _LPKR mei 0.065102 21699 0.000109

269 _LPKR jun 0.104216 44737 0.000256

270 _LPKR jul 0.12621 55969 0.000201

271 _LPKR agust 0.125897 51524 0.001003

272 _LPKR sep 0.104575 38514 0.000332

273 _LPKR okt 0.13195 48859 0.00036

274 _LPKR nop 0.096656 32781 0.000417

275 _LPKR des 0.078372 27423 0.000193

276 _LPKR jan 0.071067 23664 0.000323

277 _LSIP feb 0.09122 10652 0.001563

278 _LSIP mar 0.093256 9891 0.001058

279 _LSIP apr 0.168877 15201 0.001603

280 _LSIP mei 0.122436 15559 0.002302

281 _LSIP jun 0.146676 18919 0.001348

282 _LSIP jul 0.124647 15693 0.001106

283 _LSIP agust 0.109169 12071 0.00098

284 _LSIP sep 0.070264 9148 0.000314

285 _LSIP okt 0.085185 10364 0.000614

286 _LSIP nop 0.063372 9023 0.000255

287 _LSIP des 0.049402 6107 0.000298

288 _LSIP jan 0.069962 7841 0.000435

289 _MEDC feb 0.059901 13618 0.001441

290 _MEDC mar 0.1186 23267 0.001305

291 _MEDC apr 0.047028 10243 0.00149

292 _MEDC mei 0.129399 21870 0.001523

293 _MEDC jun 0.088308 19521 0.002147

294 _MEDC jul 0.06388 25050 0.000611

295 _MEDC agust 0.052902 15764 0.000585

296 _MEDC sep 0.06324 14861 0.000537

297 _MEDC okt 0.276647 50013 0.000834

298 _MEDC nop 0.056624 16407 0.000567

299 _MEDC des 0.062258 11004 0.00032

300 _MEDC jan 0.066321 13437 0.000428

301 _MIRA feb 0.003157 10888 0.001043

(10)

303 _MIRA apr 0.017519 29111 0.000431

304 _MIRA mei 0.029589 32105 0.004142

305 _MIRA jun 0.026662 32646 0.001297

306 _MIRA jul 0.017335 28677 0.000963

307 _MIRA agust 0.002084 33974 0.000271

308 _MIRA sep 0.005129 13452 0.000373

309 _MIRA okt 0.006635 19838 0.000435

310 _MIRA nop 0.004774 13195 0.000375

311 _MIRA des 0.003293 8867 0.001124

312 _MIRA jan 0.002285 8136 0.00019

313 _PGAS feb 0.022943 22617 0.0003

314 _PGAS mar 0.055663 46164 0.000632

315 _PGAS apr 0.04329 36633 0.000996

316 _PGAS mei 0.054289 41081 0.001381

317 _PGAS jun 0.05709 48891 0.001585

318 _PGAS jul 0.007127 27225 0.000411

319 _PGAS agust 0.005707 15841 0.000431

320 _PGAS sep 0.005518 16113 0.000379

321 _PGAS okt 0.005789 19299 0.000176

322 _PGAS nop 0.004073 16940 0.000321

323 _PGAS des 0.002023 9841 0.000526

324 _PGAS jan 0.002545 13807 0.000245

325 _PNBN feb 0.005995 2863 0.000783

326 _PNBN mar 0.016563 4728 0.001065

327 _PNBN apr 0.021601 5753 0.001871

328 _PNBN mei 0.011043 2914 0.000382

329 _PNBN jun 0.012234 2844 0.000842

330 _PNBN jul 0.008658 2038 0.00094

331 _PNBN agust 0.004447 970 0.000516

332 _PNBN sep 0.00545 1357 0.000648

333 _PNBN okt 0.003067 1223 0.000243

334 _PNBN nop 0.002648 720 0.000346

335 _PNBN des 0.026706 868 0.000352

336 _PNBN jan 0.005207 1108 0.000405

337 _PTBA feb 0.022116 7591 0.000434

338 _PTBA mar 0.089992 29938 0.000695

339 _PTBA apr 0.143962 35950 0.001014

(11)

341 _PTBA jun 0.067748 26059 0.002042

342 _PTBA jul 0.071698 27225 0.000765

343 _PTBA agust 0.05769 15841 0.0004

344 _PTBA sep 0.055511 16113 0.000605

345 _PTBA okt 0.058238 19299 0.000283

346 _PTBA nop 0.040973 16940 0.000511

347 _PTBA des 0.020356 9841 0.000243

348 _PTBA jan 0.025607 13807 0.000359

349 _SGRO feb 0.031147 5633 0.000337

350 _SGRO mar 0.076054 10573 0.000743

351 _SGRO apr 0.255696 20790 0.001879

352 _SGRO mei 0.144893 15044 0.000536

353 _SGRO jun 0.111679 13335 0.000465

354 _SGRO jul 0.122702 16325 0.000995

355 _SGRO agust 0.114945 12862 0.001344

356 _SGRO sep 0.048353 7015 0.00042

357 _SGRO okt 0.079834 8417 0.001114

358 _SGRO nop 0.032449 4248 0.000208

359 _SGRO des 0.041352 5669 0.000854

360 _SGRO jan 0.04036 5526 0.000332

361 _SMCB feb 0.03267 11918 0.002395

362 _SMCB mar 0.031488 9643 0.001311

363 _SMCB apr 0.066078 17415 0.000697

364 _SMCB mei 0.067834 14030 0.002717

365 _SMCB jun 0.059802 17248 0.00146

366 _SMCB jul 0.044887 12007 0.000734

367 _SMCB agust 0.031085 11220 0.000309

368 _SMCB sep 0.058816 14583 0.00029

369 _SMCB okt 0.082337 25597 0.001142

370 _SMCB nop 0.035432 15119 0.000576

371 _SMCB des 0.019784 8003 0.000248

372 _SMCB jan 0.048239 15593 0.00055

373 _SMCB feb 0.006758 3423 0.000218

374 _SMCB mar 0.00858 4667 0.000483

375 _SMCB apr 0.007903 5066 0.000979

376 _SMCB mei 0.016827 5150 0.000451

377 _SMCB jun 0.030294 6756 0.00119

(12)

379 _SMCB agust 0.016124 6090 0.000504

380 _SMCB sep 0.016664 6215 0.000543

381 _SMCB okt 0.049178 12359 0.000572

382 _SMCB nop 0.037753 14253 0.000451

383 _SMCB des 0.025388 13353 0.000216

384 _SMCB jan 0.018767 10064 0.000218

385 _TINS feb 0.057561 15428 0.000237

386 _TINS mar 0.053757 12774 0.000358

387 _TINS apr 0.280441 47013 0.00123

388 _TINS mei 0.363383 64789 0.002771

389 _TINS jun 0.334992 68290 0.003391

390 _TINS jul 0.233189 59150 0.00106

391 _TINS agust 0.205468 46358 0.001446

392 _TINS sep 0.057996 19258 0.000575

393 _TINS okt 0.11338 24185 0.000445

394 _TINS nop 0.044478 15216 0.000304

395 _TINS des 0.039317 11930 0.00053

396 _TINS jan 0.088094 19652 0.000427

397 _TLKM feb 0.026769 15355 0.00052

398 _TLKM mar 0.031224 14268 0.000632

399 _TLKM apr 0.069799 31720 0.000921

400 _TLKM mei 0.053532 25920 0.00039

401 _TLKM jun 0.063802 18453 0.000295

402 _TLKM jul 0.068161 27935 0.000968

403 _TLKM agust 0.051374 25116 0.000331

404 _TLKM sep 0.032669 19182 0.000232

405 _TLKM okt 0.047446 18307 0.00011

406 _TLKM nop 0.034483 12783 0.000199

407 _TLKM des 0.038966 15094 0.000556

408 _TLKM jan 0.034103 20466 0.000117

409 _UNSP feb 0.65468 32598 0.004154

410 _UNSP mar 0.268236 15426 0.001042

411 _UNSP apr 1.287922 66044 0.005591

412 _UNSP mei 1.439617 87849 0.005238

413 _UNSP jun 0.459441 37237 0.001303

414 _UNSP jul 0.443024 33312 0.002149

415 _UNSP agust 1.081111 68254 0.002468

(13)

417 _UNSP okt 0.270479 25024 0.00097

418 _UNSP nop 0.248875 21975 0.001632

419 _UNSP des 0.199871 19522 0.003094

420 _UNSP jan 0.187365 17702 0.000871

421 _UNTR feb 0.040129 15235 0.001024

422 _UNTR mar 0.039677 13609 0.001419

423 _UNTR apr 0.051788 17430 0.002962

424 _UNTR mei 0.056778 20815 0.000905

425 _UNTR jun 0.053652 17585 0.000515

426 _UNTR jul 0.043757 18928 0.000247

427 _UNTR agust 0.036024 15414 0.000923

428 _UNTR sep 0.024424 13377 0.000764

429 _UNTR okt 0.032623 17584 0.000594

430 _UNTR nop 0.02958 17502 0.000494

431 _UNTR des 0.024962 16285 0.000316

432 _UNTR jan 0.04146 25109 0.000631

433 _UNVR feb 0.003546 2255 0.000132

434 _UNVR mar 0.00458 3617 0.00013

435 _UNVR apr 0.00923 11331 0.000164

436 _UNVR mei 0.010744 6561 0.000173

437 _UNVR jun 0.007606 5788 0.000378

438 _UNVR jul 0.004158 6085 0.0009

439 _UNVR agust 0.006642 11843 0.000176

440 _UNVR sep 0.00513 9245 0.000376

441 _UNVR okt 0.00517 7026 0.000184

442 _UNVR nop 0.004071 6165 0.000407

443 _UNVR des 0.002971 5570 0.000746

444 _UNVR jan 0.004044 5909 0.000184

(14)

LAMPIRAN PENGOLAHAN DATA

(15)

Median 0.00063 0.037869 15819.5

Maximum 0.009096 1.439617 87849

Minimum 8.08E-05 0.002023 720

Std. Dev. 0.000937 0.124954 13907.85 Skewness 3.299937 7.012398 1.687077 Kurtosis 20.3274 65.62265 6.546042

Jarque-Bera 6360.247 76188.4 443.2476

Probability 0 0 0

Sum 0.411205 30.26825 8428313

Sum Sq. Dev. 0.000389 6.916727 8.57E+10

Observations 444 444 444

Gambar 4.1. Hasil Pengujian Normalitas Data

0.0000 0.0025 0.0050 0.0075

Series: Standardized Residuals Sample 2009M02 2010M01 Observations 444

Mean 3.29e-19 Median -0.000201 Maximum 0.007861 Minimum -0.001753 Std. Dev. 0.000817 Skewness 3.542591 Kurtosis 26.34342

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Date: 07/02/11 Time: 14:28 Sample: 2009M02 2010M01 Periods included: 12 Cross-sections included: 37

Total panel (balanced) observations: 444

Coefficient Std. Error t-Statistic Prob.

TVA 0.000841 0.000488 1.722644 0.0857

FREQ 3.02E-08 4.82E-09 6.260417 0.0000

C 0.000296 8.34E-05 3.544860 0.0004

Effects Specification

Cross-section fixed (dummy variables) Period fixed (dummy variables)

R-squared 0.539282 Mean dependent var 0.000926

Adjusted R-squared 0.481984 S.D. dependent var 0.000937

S.E. of regression 0.000674 Akaike info criterion -11.65986

Sum squared resid 0.000179 Schwarz criterion -11.19862

Log likelihood 2638.489 Hannan-Quinn criter. -11.47797

F-statistic 9.411960 Durbin-Watson stat 2.149996

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Periods included: 12 Cross-sections included: 37

FREQ 5.77E-06 4.04E-07 14.29765 0.0000

C -0.041400 0.008344 -4.961712 0.0000

Prob(F-statistic) 0.000000

FREQ =f(TVA)

Dependent Variable: FREQ Method: Panel Least Squares Date: 07/02/11 Time: 14:33 Sample: 2009M02 2010M01 Periods included: 12 Cross-sections included: 37

TVA 59081.89 4132.278 14.29765 0.0000

C 14954.97 436.8348 34.23485 0.0000

S.E. of regression 7035.014 Akaike info criterion 20.65897

Sum squared resid 1.95E+10 Schwarz criterion 21.11099

Log likelihood -4537.291 Hannan-Quinn criter. 20.83722

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Sample: 2009M02 2010M01 Periods included: 12 Cross-sections included: 37

TVA 0.000841 0.000488 1.722644 0.0857

FREQ 3.02E-08 4.82E-09 6.260417 0.0000

C 0.000296 8.34E-05 3.544860 0.0004

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Dependent Variable: VAR Method: Panel Least Squares Date: 07/02/11 Time: 14:28 Sample: 2009M02 2010M01 Periods included: 12 Cross-sections included: 37

TVA 0.000841 0.000488 1.722644 0.0857 FREQ 3.02E-08 4.82E-09 6.260417 0.0000

C 0.000296 8.34E-05 3.544860 0.0004

R-squared 0.539282 Mean dependent var 0.000926 Adjusted R-squared 0.481984 S.D. dependent var 0.000937 S.E. of regression 0.000674 Akaike info criterion -11.65986 Sum squared resid 0.000179 Schwarz criterion -11.19862 Log likelihood 2638.489 Hannan-Quinn criter. -11.47797 F-statistic 9.411960 Durbin-Watson stat 2.149996

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Sample: 2009M02 2010M01 Periods included: 12 Cross-sections included: 37

TVA 0.000841 0.000488 1.722644 0.0857 FREQ 3.02E-08 4.82E-09 6.260417 0.0000 C 0.000296 8.34E-05 3.544860 0.0004

R-squared 0.539282 Mean dependent var 0.000926 Adjusted R-squared 0.481984 S.D. dependent var 0.000937 S.E. of regression 0.000674 Akaike info criterion -11.65986 Sum squared resid 0.000179 Schwarz criterion -11.19862 Log likelihood 2638.489 Hannan-Quinn criter. -11.47797 F-statistic 9.411960 Durbin-Watson stat 2.149996

Prob(F-statistic) 0.000000

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Substituted Coefficients:

=========================

VAR = 0.000840583420953*TVA + 3.01948157405e-08*FREQ + 0.000295653757241 + [CX=F, PER=F]

TVA 0.000841 0.000488 1.722644 0.0857 FREQ 3.02E-08 4.82E-09 6.260417 0.0000

C 0.000296 8.34E-05 3.544860 0.0004

R-squared 0.539282 Mean dependent var 0.000926 Adjusted R-squared 0.481984 S.D. dependent var 0.000937 S.E. of regression 0.000674 Akaike info criterion -11.65986 Sum squared resid 0.000179 Schwarz criterion -11.19862 Log likelihood 2638.489 Hannan-Quinn criter. -11.47797 F-statistic 9.411960 Durbin-Watson stat 2.149996

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Period effect

DATEID Effect 1 2/1/2009 0.000368 2 3/1/2009 0.000179 3 4/1/2009 0.000514 4 5/1/2009 0.000756 5 6/1/2009 0.000246 6 7/1/2009 -0.000185 7 8/1/2009 -0.000253 8 9/1/2009 -0.000294 9 10/1/2009 -0.000439 10 11/1/2009 -0.000339 11 12/1/2009 -0.000196 12 1/1/2010 -0.000357

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mlticoliniearitas

Tva=f(freq)

Dependent Variable: TVA Method: Panel Least Squares Date: 07/02/11 Time: 14:31 Sample: 2009M02 2010M01 Periods included: 12 Cross-sections included: 37

FREQ 5.77E-06 4.04E-07 14.29765 0.0000

C -0.041400 0.008344 -4.961712 0.0000

R-squared 0.723870 Mean dependent var 0.068172 Adjusted R-squared 0.690315 S.D. dependent var 0.124954 S.E. of regression 0.069536 Akaike info criterion -2.390167 Sum squared resid 1.909918 Schwarz criterion -1.938150 Log likelihood 579.6170 Hannan-Quinn criter. -2.211912 F-statistic 21.57259 Durbin-Watson stat 1.821983 Prob(F-statistic) 0.000000

FREQ =f(TVA)

Dependent Variable: FREQ Method: Panel Least Squares Date: 07/02/11 Time: 14:33 Sample: 2009M02 2010M01 Periods included: 12 Cross-sections included: 37

TVA 59081.89 4132.278 14.29765 0.0000

C 14954.97 436.8348 34.23485 0.0000

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R-squared 0.771859 Mean dependent var 18982.69 Adjusted R-squared 0.744136 S.D. dependent var 13907.85 S.E. of regression 7035.014 Akaike info criterion 20.65897 Sum squared resid 1.95E+10 Schwarz criterion 21.11099 Log likelihood -4537.291 Hannan-Quinn criter. 20.83722 F-statistic 27.84136 Durbin-Watson stat 1.530971 Prob(F-statistic) 0.000000

Uji t statistik

TVA 0.000841 0.000488 1.722644 0.0857

FREQ 3.02E-08 4.82E-09 6.260417 0.0000 C 0.000296 8.34E-05 3.544860 0.0004

R-squared 0.539282 Mean dependent var 0.000926 Adjusted R-squared 0.481984 S.D. dependent var 0.000937 S.E. of regression 0.000674 Akaike info criterion -11.65986 Sum squared resid 0.000179 Schwarz criterion -11.19862 Log likelihood 2638.489 Hannan-Quinn criter. -11.47797 F-statistic 9.411960 Durbin-Watson stat 2.149996 Prob(F-statistic) 0.000000

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DAFTAR SAHAM LQ 45 TAHUN 2009

PERIODE FEBRUARI 2009‐ AGUSTUS 2009 DAN PERIODE

SEPTEMBER 2009‐ JANUARI 2010

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terlampir dalam file PDF 1 dan 2)

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