BAB IV ANALISIS DAN PEMBAHASAN
4.3 Implikasi Manajerial
Pada hasil penelitian persamaan likuiditas di atas dengan menggunakan Amihud Illiquidity (2002), variabel GSV perusahaan secara parsial signifikan pada 2 kasus perusahaan yaitu, perusahaan Jasa Marga dan Media Nusantara Citra. Sedangkan variabel GSV indeks saham secara parsial signifikan pada 11 perusahaan yaitu, Bank Mandiri, Bumi Serpong Damai, Vale Indonesia, Jasa Marga, Lippo Karawaci, Perusahaan Gas Negara, Tambang Batubara Bukit Asam, Pakuwon Jati, Summarecon Agung, Sri Rejeki Isman dan Telekomunikasi Indonesia.
Selain itu pada persamaan likuiditas ini secara simultan berpengaruh pada 26 kasus yaitu pada perusahaan Astra Agro Lestari, Astra Internasional, Bank Negara Indonesia, Bank Tabungan Negara, Bank Mandiri, Global Mediacom, Bumi Serpong Damai, Elnusa, Gudang Garam, Indofood CBP
Tunggal Prakarsa, Jasa Marga, Lippo Karawaci, Media Nusantara Citra, Matahari Putra Prima, Perusahaan Gas Negara, Tambang Batubara Bukit Asam, PP (Persero), Pakuwon Jati, Semen Indonesia, Summarecon Agung, Sri Rejeki Isman, Telekomunikasi Indonesia dan Wijaya Karya. Sehingga dapat disimpulkan variabel GSV sebagai proksi dari investor attention berpengaruh terhadap likuiditas.
Pada hasil dari adjusted R squared yang dihasilkan dari masing-masing kasus perusahaan LQ-45 nilai yang paling tinggi adalah nilai adjusted R squared dari perusahaan Vale Indonesia sebesar 49,44%. Sedangkan nilai adjusted R squared terendah ada pada perusahaan Aneka Tambang sebesar - 3,68. Pada model persamaan likuiditas terdapat beberapa perusahaan yang menghasilkan nilai adjusted R squared yang negatif untuk menggambarkan pengaruh variabel independen terhadap variabel dependennya. Diantaranya adalah perusahaan Adhi Karya, Aneka Tambang, Alam Sutera Realty, Bank Central Asia, Charoen Pokphand dan Sawit Sumbermas Sarana. Hal ini diduga karena data perusahaan dari keenam perusahaan tersebut menghasilkan koefisien yang negatif. Sehingga adjusted R squared yang dihasilkan negatif.
Pada hasil penelitian persamaan volatilitas dengan menggunakan standar deviasi pengembalian saham, variabel GSV perusahaan secara parsial signifikan pada 2 kasus perusahaan yaitu, Adhi Karya dan Tambang Batubara
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signifikan pada 4 perusahaan yaitu, Aneka Tambang, Charoen Pokphand Indonesia, Media Nusantara Citra dan Telekomunikasi Indonesia.
Selain itu pada persamaan volatilitas ini secara simultan berpengaruh pada pada 18 perusahaan yaitu, Astra Agro Lestari, Alam Sutera Realty, Bank Negara Indonesia, Bank Mandiri, Global Mediacom, Bumi Serpong Damai, Charoen Pokphand Indonesia, Elnusa, Gudang Garam, Vale Indonesia, Indocement Tunggal Prakarsa, Lippo Karawaci, Media Nusantara Citra, Matahari Putra Prima, Perusahaan Gas Negara, Tambang Batubara Bukit Asam, Sri Rejeki Isman, Telekomunikasi Indonesia dan Wijaya Karya.
Sehingga dapat disimpulkan variabel GSV sebagai proksi dari investor attention berpengaruh terhadap volatilitas.
Pada hasil dari adjusted R squared yang dihasilkan dari masing-masing kasus perusahaan LQ-45 nilai yang paling tinggi adalah nilai adjusted R squared dari perusahaan Bumi Serpong Damai sebesar 11,04%. Sedangkan nilai adjusted R squared terendah ada pada perusahaan sebesar -4,03%.
Dalam persamaan ini terdapat beberapa perusahaan yang nilai adjusted R squared menghasilkan output yang negatif yaitu, Indofood CBP Sukses Makmur, Jasa Marga, Matahari Putra Prima, PP (Persero). Hal ini diduga karena data perusahaan dari keempat perusahaan tersebut menghasilkan koefisien yang negatif. Sehingga adjusted R squared yang dihasilkan negatif.
Pada umumnya dalam penelitian ini, model persamaan volatilitas menghasilkan pengaruh variabel independen terhadap variabel dependennya.
Sementara sisanya dijelaskan oleh variabel atau variansi lain.
Pada hasil uji hubungan kausalitas Granger investor attention dan proksi likuiditas, didapat hasil bahwa investor attention menyebabkan likuiditas.
Selain itu hasil juga menunjukkan bahwa hubungan itu tidak terbukti untuk sebaliknya. Sehingga dengan hasil tersebut dapat diperkuat bahwa investor attention dengan volume pencarian yang tinggi pada Google akan menyebabkan likuiditas pasar. Sehingga hipotesis kedua dapat didukung dengan hasil penelitian uji Granger ini.
Pada hasil uji hubungan kausalitas Granger investor attention dan proksi volatilitas, didapat hasil bahwa investor attention menyebabkan volatilitas.
Selain itu hasil juga membuktikan bahwa hubungan tersebut tidak berlaku untuk sebaliknya. Sehingga dengan hasil tersebut dapat diperkuat bahwa investor attention dengan volume pencarian yang tinggi pada Google akan menyebabkan volatilitas pasar. Sehingga hipotesis kedua dapat didukung dengan hasil penelitian uji Granger ini.
Dari seluruh hasil uji hipotesis, dapat ditarik implikasinya bahwa variabel independen yang diproksikan dengan Google Search Volume (GSV) berpengaruh terhadap likuiditas dan volatilitas pasar saham. Hasil ini disertai
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attention menyebabkan volatilitas dan tidak berlaku sebaliknya. Sehingga dapat ditarik solusi dari permasalahan ini adalah, semakin perusahaan menyediakan informasi yang memancing sinyal bagi investor, maka investor yang memperhatikan informasi yang dikeluarkan oleh perusahaan tersebut akan melakukan tindakan dalam pasar saham sehingga menyebabkan pengaruh terhadap aktivitas pasar saham atau secara spesifik akan mempengaruhi likuiditas dan volatilitas pasar saham.
5.1 Kesimpulan
Dari hasil penelitian pada bab sebelumnya, maka dapat ditarik kesimpulan bahwa:
a. Aktivitas pasar saham memiliki korelasi dengan investor attention dengan menggunakan pengukuran volume perdagangan dari perusahaan LQ-45 dan Google Search Volume (GSV).
b. Investor attention dengan menggunakan Google Search Volume (GSV) sebagai proksinya mempunyai perngaruh terhadap likuiditas pasar yang diproksikan dengan Amihud Illiquidity (2002).
c. Investor attention dengan menggunakan Google Search Volume (GSV) sebagai proksinya mempunyai perngaruh terhadap volatilitas pasar yang diproksikan dengan standar deviasi pengembalian saham.
d. Investor attention dengan menggunakan Google Search Volume (GSV) sebagai proksinya terbukti menyebabkan likuiditas. Sedangkan likuiditas tidak terbukti menyebabkan investor attention.
e. Investor attention dengan menggunakan Google Search Volume (GSV)
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5.2 Saran
a. Untuk penelitian selanjutnya, pada penelitian ini periode penelitian masih tergolong sangat sedikit yaitu, mulai Januari 2015 hingga Juni 2017. Sehingga variansi data dalam penelitian ini masih kurang menggambarkan dengan jelas dan kurang lengkap. Maka akan lebih terlihat lebih jelas lagi bagaimana pengaruh investor attention terhadap likuiditas dan volatilitas pasar saham.
b. Sampel penelitian merupakan perusahaan yang terdaftar pada indeks saham LQ-45 per Agustus 2016. Disarankan untuk penelitian selanjutnya memakai objek yang sama dengan periode terbaru sehingga dapat menggambarkan keadaan pada saat ini. Atau disarankan pula dengan memakai objek dari indeks saham lain yang ada di Indonesia seperti Jakarta Islamic Index (JII), Kompas 100 dan lainnya.
c. Pada proksi Google Search Volume dalam penelitian ini hanya menggunakan nama perusahaan. Untuk itu disarankan untuk penelitian selanjutnya untuk menguji investor attention di Indonesia dengan kode saham perusahaannya. Sehingga dapat diketahui apakah investor di Indonesia lebih tertarik mencari informasi saham perusahaan dengan kode sahamnya atau dengan nama perusahaan tersebut.
d. Model yang digunakan sebagai pengujian hipotesis masih belum sempurna untuk membuktikan hipotesis. Hal ini terbukti dari nilai
likuiditas dan volatilitas dalam penelitian ini yang rendah. Untuk itu disarankan pada penelitian selanjutnya untuk memakai persamaan atau model lain yang dengan variabel independen lainnya sehingga akan didapat hasil yang akurat.
5.3 Keterbatasan Penelitian
a. Penelitian ini hanya mencakup pada perusahaan yang terdaftar dalam indeks LQ-45. Sehingga penelitian ini hanya menggambarkan situasi pada perusahaan-perusahaan yang terdaftar dalam LQ-45 per Agustus 2016.
b. Periode penelitian yang digunakan merupakan tiga tahun yaitu, 2015- 2017 dan dengan data mingguan dengan jumlah 127 minggu. Sehingga kurang tergambar dengan jelas pengaruhnya.
c. Hasil Adjusted R Square dari masing-masing perusahaan di kedua persamaan dalam penelitian ini menghasilkan nilai yang relatif rendah.
Untuk itu model persamaan penelitian ini kurang mampu untuk menggambarkan pengaruh variabel independen terhadap variabel dependennya.
d. Didukung dari pernyataan Riga (2016) karena jumlah investor individu di Indonesia masih terbilang sedikit dari pada investor negara maju pada penelitian-penelitian sebelumnya, maka keakuratan hasil akan
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LAMPIRAN 1 Hasil Uji Multikolinieritas Persamaan Likuiditas dan Volatilitas
1. Astra Agro Lestari a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.190722 0.202672 -0.075041 0.256219 0.029110 0.181965 -0.598110 LNGSVMIT_1 0.190722 1.000000 0.146880 0.032283 0.044551 0.051638 0.149628 -0.156283 STDEVIT_1 0.202672 0.146880 1.000000 -0.118300 -0.159860 0.034961 0.791017 -0.298638 RETIT_1 -0.075041 0.032283 -0.118300 1.000000 0.197286 0.375771 -0.050911 0.024501 LNMVIT_1 0.256219 0.044551 -0.159860 0.197286 1.000000 0.129713 -0.154494 -0.325793 TVIT_1 0.029110 0.051638 0.034961 0.375771 0.129713 1.000000 0.096424 -0.101728 ILLIQIT_1 0.181965 0.149628 0.791017 -0.050911 -0.154494 0.096424 1.000000 -0.332444 T_1 -0.598110 -0.156283 -0.298638 0.024501 -0.325793 -0.101728 -0.332444 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.206766 0.038849 0.297853 -0.604115 0.210239 LNGSVMIT 0.206766 1.000000 0.052036 0.063141 -0.160983 0.181105 LNTVIT 0.038849 0.052036 1.000000 0.227089 -0.101022 0.005704 LNRETIT 0.297853 0.063141 0.227089 1.000000 -0.254109 -0.002763 T -0.604115 -0.160983 -0.101022 -0.254109 1.000000 -0.297882 STDEVIT_1 0.210239 0.181105 0.005704 -0.002763 -0.297882 1.000000
2. Adhi Karya a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.365250 0.217687 -0.061709 -0.217839 -0.006518 -0.101469 0.007023 LNGSVMIT_1 0.365250 1.000000 0.139210 -0.000640 -0.166392 0.030676 0.033928 -0.156283 STDEVIT_1 0.217687 0.139210 1.000000 0.114686 -0.323681 0.017856 -0.021234 -0.073360 RETIT_1 -0.061709 -0.000640 0.114686 1.000000 0.117263 0.397479 -0.243146 0.042704 LNMVIT_1 -0.217839 -0.166392 -0.323681 0.117263 1.000000 0.034826 -0.211685 0.642243 TVIT_1 -0.006518 0.030676 0.017856 0.397479 0.034826 1.000000 -0.016622 -0.263030 ILLIQIT_1 -0.101469 0.033928 -0.021234 -0.243146 -0.211685 -0.016622 1.000000 -0.109262 T_1 0.007023 -0.156283 -0.073360 0.042704 0.642243 -0.263030 -0.109262 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.358960 0.005774 0.088268 0.007308 0.135215 LNGSVMIT 0.358960 1.000000 0.041115 0.092435 -0.162525 0.062453 LNTVIT 0.005774 0.041115 1.000000 0.241756 -0.246121 -0.041286 LNRETIT 0.088268 0.092435 0.241756 1.000000 -0.211968 -0.114170 T 0.007308 -0.162525 -0.246121 -0.211968 1.000000 -0.066310 STDEVIT_1 0.135215 0.062453 -0.041286 -0.114170 -0.066310 1.000000
3. Aneka Tambang a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.279991 0.028542 0.082177 -0.540100 -0.289741 0.030847 -0.564871 LNGSVMIT_1 0.279991 1.000000 -0.122183 0.112866 -0.202588 -0.062939 0.024368 -0.156283 STDEVIT_1 0.028542 -0.122183 1.000000 -0.088683 -0.054113 0.175811 0.016814 0.019036 RETIT_1 0.082177 0.112866 -0.088683 1.000000 0.185178 0.382925 -0.028016 0.098053 LNMVIT_1 -0.540100 -0.202588 -0.054113 0.185178 1.000000 0.598353 -0.100458 0.707727 TVIT_1 -0.289741 -0.062939 0.175811 0.382925 0.598353 1.000000 -0.129498 0.538462 ILLIQIT_1 0.030847 0.024368 0.016814 -0.028016 -0.100458 -0.129498 1.000000 -0.101657 T_1 -0.564871 -0.156283 0.019036 0.098053 0.707727 0.538462 -0.101657 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.290935 -0.287167 -0.033450 -0.564847 0.077683 LNGSVMIT 0.290935 1.000000 -0.053180 -0.015645 -0.188004 0.064370 LNTVIT -0.287167 -0.053180 1.000000 0.306437 0.540395 0.161553 LNRETIT -0.033450 -0.015645 0.306437 1.000000 0.125415 -0.049848 T -0.564847 -0.188004 0.540395 0.125415 1.000000 0.020247 STDEVIT_1 0.077683 0.064370 0.161553 -0.049848 0.020247 1.000000
4. Astra Internasional a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.299774 0.083890 -0.122661 -0.188986 -0.076728 0.131934 -0.453152 LNGSVMIT_1 0.299774 1.000000 0.032013 -0.016627 -0.077954 -0.082291 0.099372 -0.156283 STDEVIT_1 0.083890 0.032013 1.000000 0.064503 -0.291153 0.010891 0.790171 -0.116649 RETIT_1 -0.122661 -0.016627 0.064503 1.000000 0.186926 0.231760 0.089597 0.041336 LNMVIT_1 -0.188986 -0.077954 -0.291153 0.186926 1.000000 0.292200 -0.309650 0.611142
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b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.326163 -0.102117 -0.020091 -0.462575 0.031470 LNGSVMIT 0.326163 1.000000 -0.073440 -0.045574 -0.175827 0.048744 LNTVIT -0.102117 -0.073440 1.000000 0.217341 0.178945 -0.011365 LNRETIT -0.020091 -0.045574 0.217341 1.000000 -0.211395 0.122027 T -0.462575 -0.175827 0.178945 -0.211395 1.000000 -0.107810 STDEVIT_1 0.031470 0.048744 -0.011365 0.122027 -0.107810 1.000000
5. Alam Sutera Realty a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.069469 0.021867 0.137505 0.084786 0.222844 -0.049531 -0.345473 LNGSVMIT_1 0.069469 1.000000 0.060931 -0.008526 -0.052667 0.013844 0.034046 -0.156283 STDEVIT_1 0.021867 0.060931 1.000000 0.049317 0.075194 0.255136 -0.023546 -0.191941 RETIT_1 0.137505 -0.008526 0.049317 1.000000 0.031055 0.080536 0.011150 0.023084 LNMVIT_1 0.084786 -0.052667 0.075194 0.031055 1.000000 0.687704 0.087642 -0.598525 TVIT_1 0.222844 0.013844 0.255136 0.080536 0.687704 1.000000 0.058471 -0.658371 ILLIQIT_1 -0.049531 0.034046 -0.023546 0.011150 0.087642 0.058471 1.000000 -0.112744 T_1 -0.345473 -0.156283 -0.191941 0.023084 -0.598525 -0.658371 -0.112744 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.062376 0.208128 -0.111086 -0.326837 0.080693 LNGSVMIT 0.062376 1.000000 0.044577 -0.045574 -0.175827 -0.066008 LNTVIT 0.208128 0.044577 1.000000 0.160009 -0.678900 0.303310 LNRETIT -0.111086 -0.045574 0.160009 1.000000 -0.211395 0.049274 T -0.326837 -0.175827 -0.678900 -0.211395 1.000000 -0.228194 STDEVIT_1 0.080693 -0.066008 0.303310 0.049274 -0.228194 1.000000
6. Bank Central Asia a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.242517 0.005302 -0.054482 -0.467990 -0.258508 0.045924 -0.710166 LNGSVMIT_1 0.242517 1.000000 0.121090 -0.039819 -0.085656 -0.159280 -0.015523 -0.156283 STDEVIT_1 0.005302 0.121090 1.000000 0.026898 -0.020809 -0.119387 0.002637 0.013686 RETIT_1 -0.054482 -0.039819 0.026898 1.000000 0.202902 0.134902 0.088347 0.071738 LNMVIT_1 -0.467990 -0.085656 -0.020809 0.202902 1.000000 0.475133 -0.039501 0.717243 TVIT_1 -0.258508 -0.159280 -0.119387 0.134902 0.475133 1.000000 -0.059997 0.433354 ILLIQIT_1 0.045924 -0.015523 0.002637 0.088347 -0.039501 -0.059997 1.000000 -0.099772 T_1 -0.710166 -0.156283 0.013686 0.071738 0.717243 0.433354 -0.099772 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.280100 -0.253163 0.256061 -0.718335 0.134779 LNGSVMIT 0.280100 1.000000 -0.159904 0.035312 -0.192322 0.117315 LNTVIT -0.253163 -0.159904 1.000000 0.149829 0.428478 -0.039344 LNRETIT 0.256061 0.035312 0.149829 1.000000 -0.254787 -0.127797 T -0.718335 -0.192322 0.428478 -0.254787 1.000000 0.002498 STDEVIT_1 0.134779 0.117315 -0.039344 -0.127797 0.002498 1.000000
7. Bank Negara Indonesia a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.405755 -0.037646 0.103226 -0.122440 0.032645 0.083076 -0.026576 LNGSVMIT_1 0.405755 1.000000 -0.016293 0.047086 0.057738 -0.016422 -0.034869 -0.156283 STDEVIT_1 -0.037646 -0.016293 1.000000 -0.066249 -0.318027 0.218060 0.303886 -0.142366 RETIT_1 0.103226 0.047086 -0.066249 1.000000 0.168836 0.083026 -0.071174 0.082249 LNMVIT_1 -0.122440 0.057738 -0.318027 0.168836 1.000000 0.100953 -0.409308 0.178311 TVIT_1 0.032645 -0.016422 0.218060 0.083026 0.100953 1.000000 0.048849 -0.080519 ILLIQIT_1 0.083076 -0.034869 0.303886 -0.071174 -0.409308 0.048849 1.000000 -0.169443 T_1 -0.026576 -0.156283 -0.142366 0.082249 0.178311 -0.080519 -0.169443 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.443718 0.031443 -0.031197 -0.097544 0.133807 LNGSVMIT 0.443718 1.000000 -0.020152 -0.013590 -0.169321 -0.045247 LNTVIT 0.031443 -0.020152 1.000000 0.301249 -0.085656 0.125397 LNRETIT -0.031197 -0.013590 0.301249 1.000000 -0.124110 0.251409 T -0.097544 -0.169321 -0.085656 -0.124110 1.000000 -0.150525 STDEVIT_1 0.133807 -0.045247 0.125397 0.251409 -0.150525 1.000000
8. Bank Tabungan Negara a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 0.166522 0.133427 0.024839 -0.635932 0.138312 0.122320 -0.644065 LNGSVMIT_1 0.166522 1.000000 0.131035 0.008977 -0.191436 -0.091709 0.195061 -0.156283 STDEVIT_1 0.133427 0.131035 1.000000 -0.092878 -0.164144 0.077269 0.254715 -0.108135 RETIT_1 0.024839 0.008977 -0.092878 1.000000 0.160943 0.268112 0.009556 0.111842 LNMVIT_1 -0.635932 -0.191436 -0.164144 0.160943 1.000000 0.157597 -0.177756 0.943180 TVIT_1 0.138312 -0.091709 0.077269 0.268112 0.157597 1.000000 -0.065492 0.054023
124
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.202431 0.127485 0.095021 -0.657739 0.064130 LNGSVMIT 0.202431 1.000000 -0.104939 -0.044578 -0.171832 0.212128 LNTVIT 0.127485 -0.104939 1.000000 0.304888 0.032628 -0.016768 LNRETIT 0.095021 -0.044578 0.304888 1.000000 -0.134328 0.069829 T -0.657739 -0.171832 0.032628 -0.134328 1.000000 -0.104274 STDEVIT_1 0.064130 0.212128 -0.016768 0.069829 -0.104274 1.000000
9. Bank Mandiri a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.116829 0.054072 -0.029677 -0.236825 0.104901 0.097363 -0.695896 LNGSVMIT_1 0.116829 1.000000 -0.009946 0.035192 -0.070176 -0.170024 -0.039513 -0.156283 STDEVIT_1 0.054072 -0.009946 1.000000 -0.082984 -0.131212 0.007215 0.930084 -0.104609 RETIT_1 -0.029677 0.035192 -0.082984 1.000000 0.003608 0.091742 -0.087275 0.072416 LNMVIT_1 -0.236825 -0.070176 -0.131212 0.003608 1.000000 0.066824 -0.155695 0.337908 TVIT_1 0.104901 -0.170024 0.007215 0.091742 0.066824 1.000000 0.026577 -0.104055 ILLIQIT_1 0.097363 -0.039513 0.930084 -0.087275 -0.155695 0.026577 1.000000 -0.114974 T_1 -0.695896 -0.156283 -0.104609 0.072416 0.337908 -0.104055 -0.114974 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.072965 0.138113 0.079990 -0.671372 0.101683 LNGSVMIT 0.072965 1.000000 -0.167849 -0.026374 -0.173348 -0.125345 LNTVIT 0.138113 -0.167849 1.000000 0.279554 -0.131783 0.017987 LNRETIT 0.079990 -0.026374 0.279554 1.000000 -0.139813 0.162108 T -0.671372 -0.173348 -0.131783 -0.139813 1.000000 -0.106532 STDEVIT_1 0.101683 -0.125345 0.017987 0.162108 -0.106532 1.000000
10. Global Mediacom a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.181474 -0.018537 -0.000135 0.120560 0.098781 0.192130 -0.243637 LNGSVMIT_1 0.181474 1.000000 -0.046796 -0.086234 0.071708 0.006341 0.023648 -0.197251 STDEVIT_1 -0.018537 -0.046796 1.000000 0.227667 0.145864 0.040703 0.000730 -0.112434 RETIT_1 -0.000135 -0.086234 0.227667 1.000000 0.113438 0.303039 -0.093780 -0.010295 LNMVIT_1 0.120560 0.071708 0.145864 0.113438 1.000000 -0.041543 0.045985 -0.782291 TVIT_1 0.098781 0.006341 0.040703 0.303039 -0.041543 1.000000 0.110139 0.211071 ILLIQIT_1 0.192130 0.023648 0.000730 -0.093780 0.045985 0.110139 1.000000 -0.116127 T_1 -0.243637 -0.197251 -0.112434 -0.010295 -0.782291 0.211071 -0.116127 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.220513 0.106632 0.101470 -0.288620 0.008122 LNGSVMIT 0.220513 1.000000 0.022631 0.028235 -0.192809 -0.076586 LNTVIT 0.106632 0.022631 1.000000 0.082198 0.222136 -0.198606 LNRETIT 0.101470 0.028235 0.082198 1.000000 -0.152248 -0.048731 T -0.288620 -0.192809 0.222136 -0.152248 1.000000 -0.078429 STDEVIT_1 0.008122 -0.076586 -0.198606 -0.048731 -0.078429 1.000000
11. Bumi Serpong Damai a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 0.072342 0.169057 -0.131350 -0.146005 -0.020769 0.250958 -0.516541 LNGSVMIT_1 0.072342 1.000000 0.021945 0.102442 -0.171124 -0.130520 0.093056 -0.156283 STDEVIT_1 0.169057 0.021945 1.000000 0.066450 -0.155158 -0.101284 0.714289 -0.216654 RETIT_1 -0.131350 0.102442 0.066450 1.000000 0.232439 0.227877 0.022509 -0.017614 LNMVIT_1 -0.146005 -0.171124 -0.155158 0.232439 1.000000 0.593209 -0.271255 0.104107 TVIT_1 -0.020769 -0.130520 -0.101284 0.227877 0.593209 1.000000 -0.160830 -0.057835 ILLIQIT_1 0.250958 0.093056 0.714289 0.022509 -0.271255 -0.160830 1.000000 -0.269014 T_1 -0.516541 -0.156283 -0.216654 -0.017614 0.104107 -0.057835 -0.269014 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.107410 0.011460 0.048703 -0.532641 0.201621 LNGSVMIT 0.107410 1.000000 -0.122829 -0.031333 -0.157290 -0.006482 LNTVIT 0.011460 -0.122829 1.000000 0.018484 -0.065213 -0.158369 LNRETIT 0.048703 -0.031333 0.018484 1.000000 -0.151550 0.118980 T -0.532641 -0.157290 -0.065213 -0.151550 1.000000 -0.209480 STDEVIT_1 0.201621 -0.006482 -0.158369 0.118980 -0.209480 1.000000
12. Charoen Pokphand Indonesia a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 0.178767 -0.028928 -0.101062 -0.048597 0.182807 0.004498 -0.313908 LNGSVMIT_1 0.178767 1.000000 0.199522 0.099693 -0.123731 0.020631 0.038625 -0.156283 STDEVIT_1 -0.028928 0.199522 1.000000 0.212841 -0.432402 -0.014600 0.039089 -0.075654 RETIT_1 -0.101062 0.099693 0.212841 1.000000 0.133191 0.126313 -0.002168 0.031863 LNMVIT_1 -0.048597 -0.123731 -0.432402 0.133191 1.000000 0.301996 -0.070635 0.200308 TVIT_1 0.182807 0.020631 -0.014600 0.126313 0.301996 1.000000 -0.029010 -0.066894 ILLIQIT_1 0.004498 0.038625 0.039089 -0.002168 -0.070635 -0.029010 1.000000 -0.107911 T_1 -0.313908 -0.156283 -0.075654 0.031863 0.200308 -0.066894 -0.107911 1.000000
126
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.191202 0.170449 0.029079 -0.295983 0.011537 LNGSVMIT 0.191202 1.000000 0.044399 -0.047370 -0.192342 0.220675 LNTVIT 0.170449 0.044399 1.000000 0.131544 -0.047389 -0.119326 LNRETIT 0.029079 -0.047370 0.131544 1.000000 -0.166370 0.135238 T -0.295983 -0.192342 -0.047389 -0.166370 1.000000 -0.107109 STDEVIT_1 0.011537 0.220675 -0.119326 0.135238 -0.107109 1.000000
13. Elnusa a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.111608 -0.091288 0.077417 -0.003718 0.131645 -0.071573 0.415890 LNGSVMIT_1 0.111608 1.000000 0.150285 0.071175 -0.025761 0.089907 0.143384 -0.156283 STDEVIT_1 -0.091288 0.150285 1.000000 0.165028 -0.191709 0.200322 0.743683 -0.019761 RETIT_1 0.077417 0.071175 0.165028 1.000000 0.104163 0.522348 0.142151 0.001742 LNMVIT_1 -0.003718 -0.025761 -0.191709 0.104163 1.000000 0.301230 -0.270440 -0.165198 TVIT_1 0.131645 0.089907 0.200322 0.522348 0.301230 1.000000 0.159673 0.223814 ILLIQIT_1 -0.071573 0.143384 0.743683 0.142151 -0.270440 0.159673 1.000000 -0.110612 T_1 0.415890 -0.156283 -0.019761 0.001742 -0.165198 0.223814 -0.110612 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.111085 0.115080 -0.058415 0.487209 -0.158236 LNGSVMIT 0.111085 1.000000 0.106776 0.192103 -0.174375 0.195301 LNTVIT 0.115080 0.106776 1.000000 0.203156 0.213069 0.234849 LNRETIT -0.058415 0.192103 0.203156 1.000000 -0.262155 0.114266 T 0.487209 -0.174375 0.213069 -0.262155 1.000000 -0.041843 STDEVIT_1 -0.158236 0.195301 0.234849 0.114266 -0.041843 1.000000
14. Gudang Garam a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.020769 0.229325 -0.167773 -0.306935 0.205266 0.247136 -0.413242 LNGSVMIT_1 0.020769 1.000000 0.097442 -0.015144 -0.274708 -0.221258 0.075788 -0.156283 STDEVIT_1 0.229325 0.097442 1.000000 -0.082549 -0.183443 0.048742 0.913555 -0.217352 RETIT_1 -0.167773 -0.015144 -0.082549 1.000000 0.171691 0.112407 -0.100484 0.114623 LNMVIT_1 -0.306935 -0.274708 -0.183443 0.171691 1.000000 0.388367 -0.221899 0.790779 TVIT_1 0.205266 -0.221258 0.048742 0.112407 0.388367 1.000000 0.091598 0.142216 ILLIQIT_1 0.247136 0.075788 0.913555 -0.100484 -0.221899 0.091598 1.000000 -0.269364 T_1 -0.413242 -0.156283 -0.217352 0.114623 0.790779 0.142216 -0.269364 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNTVIT LNRETIT T STDEVIT_1
LNGSVIT 1.000000 0.057017 0.189330 0.157014 -0.437120 0.271369 LNGSVMIT 0.057017 1.000000 -0.217456 -0.135576 -0.169974 0.071619 LNTVIT 0.189330 -0.217456 1.000000 0.274087 0.139746 -0.025709 LNRETIT 0.157014 -0.135576 0.274087 1.000000 -0.115310 0.027336 T -0.437120 -0.169974 0.139746 -0.115310 1.000000 -0.217352 STDEVIT_1 0.271369 0.071619 -0.025709 0.027336 -0.217352 1.000000
15. Indofood CBP Sukses Makmur a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.163246 0.107810 0.054516 -0.136649 0.016428 0.079473 -0.234520 LNGSVMIT_1 0.163246 1.000000 0.048595 -0.000797 -0.135273 -0.175513 0.022384 -0.156283 STDEVIT_1 0.107810 0.048595 1.000000 -0.002614 -0.085787 -0.047267 0.799092 -0.163106 RETIT_1 0.054516 -0.000797 -0.002614 1.000000 0.014258 0.155163 0.122592 -0.007529 LNMVIT_1 -0.136649 -0.135273 -0.085787 0.014258 1.000000 0.389829 -0.098040 0.766769 TVIT_1 0.016428 -0.175513 -0.047267 0.155163 0.389829 1.000000 -0.022481 0.259228 ILLIQIT_1 0.079473 0.022384 0.799092 0.122592 -0.098040 -0.022481 1.000000 -0.159345 T_1 -0.234520 -0.156283 -0.163106 -0.007529 0.766769 0.259228 -0.159345 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.203011 -0.117787 0.028932 0.022527 -0.282430 LNGSVMIT 0.203011 1.000000 -0.048913 -0.162115 -0.008727 -0.175264 LNRETIT -0.117787 -0.048913 1.000000 0.130069 -0.032059 -0.019735 LNTVIT 0.028932 -0.162115 0.130069 1.000000 -0.021478 0.249525 STDEVIT_1 0.022527 -0.008727 -0.032059 -0.021478 1.000000 -0.174012 T -0.282430 -0.175264 -0.019735 0.249525 -0.174012 1.000000
16. Vale Indonesia a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 0.052615 -0.047085 -0.073571 0.168489 -0.088665 -0.021541 -0.605360 LNGSVMIT_1 0.052615 1.000000 0.118367 0.022349 0.069597 0.189875 0.105914 -0.156283 STDEVIT_1 -0.047085 0.118367 1.000000 0.115883 -0.205328 0.210704 0.759417 -0.004399 RETIT_1 -0.073571 0.022349 0.115883 1.000000 0.109557 0.399821 0.120896 0.044307 LNMVIT_1 0.168489 0.069597 -0.205328 0.109557 1.000000 0.442036 -0.270526 -0.166488 TVIT_1 -0.088665 0.189875 0.210704 0.399821 0.442036 1.000000 0.183161 0.255728
128
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT T
LNGSVIT 1.000000 0.074818 0.120738 -0.074038 -0.045459 -0.617191 LNGSVMIT 0.074818 1.000000 0.042982 0.221702 0.117992 -0.170178 LNRETIT 0.120738 0.042982 1.000000 0.249002 0.106175 -0.062696 LNTVIT -0.074038 0.221702 0.249002 1.000000 0.212807 0.237838 STDEVIT -0.045459 0.117992 0.106175 0.212807 1.000000 -0.014369 T -0.617191 -0.170178 -0.062696 0.237838 -0.014369 1.000000
17. Indofood Sukses Makmur a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.268145 0.188720 -0.012722 -0.220428 0.026098 0.200480 -0.232756 LNGSVMIT_1 0.268145 1.000000 0.130030 0.097484 -0.135178 -0.042184 0.111139 -0.156283 STDEVIT_1 0.188720 0.130030 1.000000 0.062111 -0.363772 -0.084963 0.937939 -0.192259 RETIT_1 -0.012722 0.097484 0.062111 1.000000 0.136958 0.228160 0.053294 0.061401 LNMVIT_1 -0.220428 -0.135178 -0.363772 0.136958 1.000000 0.466265 -0.438361 0.629008 TVIT_1 0.026098 -0.042184 -0.084963 0.228160 0.466265 1.000000 -0.135527 0.160581 ILLIQIT_1 0.200480 0.111139 0.937939 0.053294 -0.438361 -0.135527 1.000000 -0.235322 T_1 -0.232756 -0.156283 -0.192259 0.061401 0.629008 0.160581 -0.235322 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.307547 0.021266 -0.011786 0.239847 -0.235009 LNGSVMIT 0.307547 1.000000 -0.016896 -0.056119 0.114825 -0.148383 LNRETIT 0.021266 -0.016896 1.000000 0.072403 0.215918 -0.039412 LNTVIT -0.011786 -0.056119 0.072403 1.000000 -0.211957 0.218140 STDEVIT_1 0.239847 0.114825 0.215918 -0.211957 1.000000 -0.206765 T -0.235009 -0.148383 -0.039412 0.218140 -0.206765 1.000000
18. Indocement Tunggal Prakarsa a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.072671 0.152667 -0.064381 0.241803 0.311127 0.200670 -0.442487 LNGSVMIT_1 0.072671 1.000000 0.100423 0.037007 0.150324 0.051695 0.120418 -0.156283 STDEVIT_1 0.152667 0.100423 1.000000 -0.004767 -0.056473 0.107665 0.785276 -0.046242 RETIT_1 -0.064381 0.037007 -0.004767 1.000000 0.139186 0.030942 -0.010709 0.066951 LNMVIT_1 0.241803 0.150324 -0.056473 0.139186 1.000000 0.477635 -0.080805 -0.719354 TVIT_1 0.311127 0.051695 0.107665 0.030942 0.477635 1.000000 0.148456 -0.510159 ILLIQIT_1 0.200670 0.120418 0.785276 -0.010709 -0.080805 0.148456 1.000000 -0.074992 T_1 -0.442487 -0.156283 -0.046242 0.066951 -0.719354 -0.510159 -0.074992 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.095039 0.091937 0.288062 0.156110 -0.447705 LNGSVMIT 0.095039 1.000000 0.012212 0.052036 0.098405 -0.187079 LNRETIT 0.091937 0.012212 1.000000 0.121398 0.118740 -0.027267 LNTVIT 0.288062 0.052036 0.121398 1.000000 0.047568 -0.471842 STDEVIT_1 0.156110 0.098405 0.118740 0.047568 1.000000 -0.014848 T -0.447705 -0.187079 -0.027267 -0.471842 -0.014848 1.000000
19. Jasa Marga a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.057528 0.006229 -0.033089 0.131076 -0.156534 0.023818 -0.224058 LNGSVMIT_1 0.057528 1.000000 0.073280 -0.011004 0.012727 -0.035631 0.038144 -0.156283 STDEVIT_1 0.006229 0.073280 1.000000 -0.120776 -0.166093 -0.060014 0.920151 0.019000 RETIT_1 -0.033089 -0.011004 -0.120776 1.000000 0.123144 0.060193 -0.145849 0.085703 LNMVIT_1 0.131076 0.012727 -0.166093 0.123144 1.000000 0.090450 -0.176575 -0.705191 TVIT_1 -0.156534 -0.035631 -0.060014 0.060193 0.090450 1.000000 -0.009546 0.026577 ILLIQIT_1 0.023818 0.038144 0.920151 -0.145849 -0.176575 -0.009546 1.000000 -0.025412 T_1 -0.224058 -0.156283 0.019000 0.085703 -0.705191 0.026577 -0.025412 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.021001 -0.024111 -0.143617 0.143957 -0.207128 LNGSVMIT 0.021001 1.000000 -0.165925 -0.039695 -0.000978 -0.171486 LNRETIT -0.024111 -0.165925 1.000000 0.301534 0.066601 0.119841 LNTVIT -0.143617 -0.039695 0.301534 1.000000 -0.019015 0.050633 STDEVIT_1 0.143957 -0.000978 0.066601 -0.019015 1.000000 -0.007928 T -0.207128 -0.171486 0.119841 0.050633 -0.007928 1.000000
20. Lippo Karawaci a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 -0.139827 -0.037132 -0.006562 -0.024272 -0.243864 0.071014 0.049690 LNGSVMIT_1 -0.139827 1.000000 0.109448 0.107852 0.096412 0.109760 0.108549 -0.156283 STDEVIT_1 -0.037132 0.109448 1.000000 -0.090520 0.126711 -0.166055 0.746851 -0.101669 RETIT_1 -0.006562 0.107852 -0.090520 1.000000 0.219823 0.331894 -0.014157 -0.124075 LNMVIT_1 -0.024272 0.096412 0.126711 0.219823 1.000000 0.214318 0.231423 -0.722287
130
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 -0.205522 0.087019 -0.235238 0.098819 0.061264 LNGSVMIT -0.205522 1.000000 -0.036389 0.178790 0.044461 -0.157941 LNRETIT 0.087019 -0.036389 1.000000 0.167453 0.023725 -0.069685 LNTVIT -0.235238 0.178790 0.167453 1.000000 -0.021455 -0.270331 STDEVIT_1 0.098819 0.044461 0.023725 -0.021455 1.000000 -0.107336 T 0.061264 -0.157941 -0.069685 -0.270331 -0.107336 1.000000
21. Media Nusantara Citra a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.150470 0.016626 -0.082632 0.124779 -0.231042 0.042750 -0.389165 LNGSVMIT_1 0.150470 1.000000 0.190359 0.169756 -0.001986 -0.028722 0.142909 -0.192770 STDEVIT_1 0.016626 0.190359 1.000000 0.100043 -0.315096 -0.132712 0.773101 -0.047869 RETIT_1 -0.082632 0.169756 0.100043 1.000000 0.081401 0.225086 0.076764 0.073317 LNMVIT_1 0.124779 -0.001986 -0.315096 0.081401 1.000000 0.275829 -0.386364 -0.360054 TVIT_1 -0.231042 -0.028722 -0.132712 0.225086 0.275829 1.000000 -0.079937 0.138842 ILLIQIT_1 0.042750 0.142909 0.773101 0.076764 -0.386364 -0.079937 1.000000 -0.077527 T_1 -0.389165 -0.192770 -0.047869 0.073317 -0.360054 0.138842 -0.077527 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.152331 0.271893 -0.220478 0.059078 -0.400142 LNGSVMIT 0.152331 1.000000 0.152665 -0.094472 0.118268 -0.196411 LNRETIT 0.271893 0.152665 1.000000 0.096572 0.091319 -0.197781 LNTVIT -0.220478 -0.094472 0.096572 1.000000 -0.141026 0.120224 STDEVIT_1 0.059078 0.118268 0.091319 -0.141026 1.000000 -0.068596 T -0.400142 -0.196411 -0.197781 0.120224 -0.068596 1.000000
22. Matahari Putra Prima a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 0.164042 0.045435 -0.184548 0.302506 0.218934 0.073155 -0.380119 LNGSVMIT_
1 0.164042 1.000000 -0.094545 -0.026401 0.148586 0.058426 -0.042974 -0.147787 STDEVIT_1 0.045435 -0.094545 1.000000 -0.003017 0.057244 0.119464 0.705142 -0.076964 RETIT_1 -0.184548 -0.026401 -0.003017 1.000000 0.183862 0.312887 0.098711 -0.114607 LNMVIT_1 0.302506 0.148586 0.057244 0.183862 1.000000 0.637900 0.082107 -0.902028 TVIT_1 0.218934 0.058426 0.119464 0.312887 0.637900 1.000000 0.131200 -0.692062 ILLIQIT_1 0.073155 -0.042974 0.705142 0.098711 0.082107 0.131200 1.000000 -0.108299 T_1 -0.380119 -0.147787 -0.076964 -0.114607 -0.902028 -0.692062 -0.108299 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.145467 -0.020953 0.204836 -0.018145 -0.361448 LNGSVMIT 0.145467 1.000000 -0.030468 0.049655 -0.102395 -0.142691 LNRETIT -0.020953 -0.030468 1.000000 0.205848 0.015341 0.002868 LNTVIT 0.204836 0.049655 0.205848 1.000000 0.029827 -0.683613 STDEVIT_1 -0.018145 -0.102395 0.015341 0.029827 1.000000 -0.108180 T -0.361448 -0.142691 0.002868 -0.683613 -0.108180 1.000000
23. Perusahaan Gas Negara a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 0.382574 0.041527 -0.029351 0.393213 0.274147 -0.056874 -0.418212 LNGSVMIT_1 0.382574 1.000000 -0.024231 0.030849 0.080133 0.119231 -0.040146 -0.156283 STDEVIT_1 0.041527 -0.024231 1.000000 0.146031 -0.180227 -0.011183 0.786021 0.042493 RETIT_1 -0.029351 0.030849 0.146031 1.000000 0.003814 0.204551 0.172162 0.106412 LNMVIT_1 0.393213 0.080133 -0.180227 0.003814 1.000000 0.280041 -0.202285 -0.780383 TVIT_1 0.274147 0.119231 -0.011183 0.204551 0.280041 1.000000 -0.048504 -0.253812 ILLIQIT_1 -0.056874 -0.040146 0.786021 0.172162 -0.202285 -0.048504 1.000000 0.050014 T_1 -0.418212 -0.156283 0.042493 0.106412 -0.780383 -0.253812 0.050014 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.365397 -0.046366 0.265367 -0.066791 -0.405623 LNGSVMIT 0.365397 1.000000 -0.191970 0.109345 0.116170 -0.168025 LNRETIT -0.046366 -0.191970 1.000000 0.115629 0.108917 0.112842 LNTVIT 0.265367 0.109345 0.115629 1.000000 -0.011443 -0.239682 STDEVIT_1 -0.066791 0.116170 0.108917 -0.011443 1.000000 0.044893 T -0.405623 -0.168025 0.112842 -0.239682 0.044893 1.000000
24. Tambang Batubara Bukit Asam a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 0.229510 0.118743 0.005923 -0.298191 -0.230193 0.107889 -0.377621 LNGSVMIT_1 0.229510 1.000000 0.016044 -0.009380 -0.011894 0.038523 0.002007 -0.140678 STDEVIT_1 0.118743 0.016044 1.000000 0.157059 -0.136368 0.160329 0.798059 0.125234 RETIT_1 0.005923 -0.009380 0.157059 1.000000 0.075244 0.275931 0.165067 0.122151 LNMVIT_1 -0.298191 -0.011894 -0.136368 0.075244 1.000000 0.407204 -0.188093 0.388128
132
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.198715 -0.027257 -0.226864 -0.004300 -0.370157 LNGSVMIT 0.198715 1.000000 -0.023316 0.026600 0.089085 -0.150600 LNRETIT -0.027257 -0.023316 1.000000 0.248679 -0.005308 -0.082797 LNTVIT -0.226864 0.026600 0.248679 1.000000 0.042575 0.410468 STDEVIT_1 -0.004300 0.089085 -0.005308 0.042575 1.000000 0.157742 T -0.370157 -0.150600 -0.082797 0.410468 0.157742 1.000000
25. PP (Persero) a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 -0.101951 0.047976 -0.033592 0.075786 0.152100 0.090622 0.063327 LNGSVMIT_1 -0.101951 1.000000 0.019021 -0.012987 -0.090032 0.019260 -0.001044 -0.156283 STDEVIT_1 0.047976 0.019021 1.000000 -0.056171 -0.077785 0.125295 0.793018 0.046170 RETIT_1 -0.033592 -0.012987 -0.056171 1.000000 0.118822 0.169906 -0.018000 -0.058275 LNMVIT_1 0.075786 -0.090032 -0.077785 0.118822 1.000000 0.412089 -0.021440 0.650236 TVIT_1 0.152100 0.019260 0.125295 0.169906 0.412089 1.000000 0.172218 0.180786 ILLIQIT_1 0.090622 -0.001044 0.793018 -0.018000 -0.021440 0.172218 1.000000 0.104515 T_1 0.063327 -0.156283 0.046170 -0.058275 0.650236 0.180786 0.104515 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 -0.091444 0.128325 0.175775 0.102804 0.060928 LNGSVMIT -0.091444 1.000000 -0.034878 0.010935 -0.081370 -0.146415 LNRETIT 0.128325 -0.034878 1.000000 0.317704 0.052644 0.110448 LNTVIT 0.175775 0.010935 0.317704 1.000000 0.113178 0.186852 STDEVIT_1 0.102804 -0.081370 0.052644 0.113178 1.000000 0.054604 T 0.060928 -0.146415 0.110448 0.186852 0.054604 1.000000
26. Pakuwon Jati a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 0.103003 0.084130 -0.125988 -0.363931 0.127792 0.098994 -0.279273 LNGSVMIT_1 0.103003 1.000000 0.051705 0.077359 -0.173780 -0.038538 0.071677 -0.156283 STDEVIT_1 0.084130 0.051705 1.000000 0.017775 -0.089351 -0.113355 0.787085 0.004643 RETIT_1 -0.125988 0.077359 0.017775 1.000000 0.133058 0.056161 -0.006306 0.039728 LNMVIT_1 -0.363931 -0.173780 -0.089351 0.133058 1.000000 0.145445 -0.152639 0.725362 TVIT_1 0.127792 -0.038538 -0.113355 0.056161 0.145445 1.000000 -0.116435 -0.268655 ILLIQIT_1 0.098994 0.071677 0.787085 -0.006306 -0.152639 -0.116435 1.000000 -9.51E-05 T_1 -0.279273 -0.156283 0.004643 0.039728 0.725362 -0.268655 -9.51E-05 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.059815 0.071361 0.116610 -0.142274 -0.257539 LNGSVMIT 0.059815 1.000000 -0.084575 0.003717 -0.010197 -0.142800 LNRETIT 0.071361 -0.084575 1.000000 0.182332 -0.000730 -0.147852 LNTVIT 0.116610 0.003717 0.182332 1.000000 -0.092442 -0.279198 STDEVIT_1 -0.142274 -0.010197 -0.000730 -0.092442 1.000000 0.011011 T -0.257539 -0.142800 -0.147852 -0.279198 0.011011 1.000000
27. Semen Indonesia a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.147469 -0.004021 -0.014490 0.091647 0.186854 -0.039072 0.141530 LNGSVMIT_1 0.147469 1.000000 0.041041 0.150443 0.193142 -0.057255 0.066489 -0.156283 STDEVIT_1 -0.004021 0.041041 1.000000 -0.014761 -0.238416 0.110685 0.915786 -0.014699 RETIT_1 -0.014490 0.150443 -0.014761 1.000000 0.065782 0.167040 0.010437 0.104297 LNMVIT_1 0.091647 0.193142 -0.238416 0.065782 1.000000 0.278969 -0.230822 -0.728771 TVIT_1 0.186854 -0.057255 0.110685 0.167040 0.278969 1.000000 0.086979 -0.191031 ILLIQIT_1 -0.039072 0.066489 0.915786 0.010437 -0.230822 0.086979 1.000000 -0.070344 T_1 0.141530 -0.156283 -0.014699 0.104297 -0.728771 -0.191031 -0.070344 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.186840 -0.088878 0.206282 0.029354 0.088316 LNGSVMIT 0.186840 1.000000 -0.047317 -0.056405 0.003146 -0.172677 LNRETIT -0.088878 -0.047317 1.000000 0.304805 0.249491 -0.156896 LNTVIT 0.206282 -0.056405 0.304805 1.000000 0.043051 -0.156532 STDEVIT_1 0.029354 0.003146 0.249491 0.043051 1.000000 -0.013327 T 0.088316 -0.172677 -0.156896 -0.156532 -0.013327 1.000000
28. Summarecon Agung a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 0.138688 0.051929 -0.002598 0.248632 0.454939 0.066980 -0.563852 LNGSVMIT_1 0.138688 1.000000 0.023014 0.157840 -0.113425 0.053220 0.077587 -0.157499 STDEVIT_1 0.051929 0.023014 1.000000 0.159500 -0.133772 0.037690 0.717506 -0.100026 RETIT_1 -0.002598 0.157840 0.159500 1.000000 0.254571 0.091388 0.110444 -0.066608 LNMVIT_1 0.248632 -0.113425 -0.133772 0.254571 1.000000 0.475091 -0.175479 -0.495553 TVIT_1 0.454939 0.053220 0.037690 0.091388 0.475091 1.000000 0.076810 -0.577243 ILLIQIT_1 0.066980 0.077587 0.717506 0.110444 -0.175479 0.076810 1.000000 -0.148960
134
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.111510 0.085221 0.443827 0.010211 -0.539089 LNGSVMIT 0.111510 1.000000 -0.071555 0.102888 0.059232 -0.178163 LNRETIT 0.085221 -0.071555 1.000000 0.223470 0.179228 -0.045724 LNTVIT 0.443827 0.102888 0.223470 1.000000 -0.072973 -0.592195 STDEVIT_1 0.010211 0.059232 0.179228 -0.072973 1.000000 -0.065866 T -0.539089 -0.178163 -0.045724 -0.592195 -0.065866 1.000000
29. Sri Rejeki Isman a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 -0.079186 0.164685 0.029832 0.106250 0.247309 0.275079 -0.002405 LNGSVMIT_1 -0.079186 1.000000 0.069711 0.167972 0.016283 -0.009742 0.066890 -0.156283 STDEVIT_1 0.164685 0.069711 1.000000 -0.213888 0.233237 0.389884 0.733667 -0.022234 RETIT_1 0.029832 0.167972 -0.213888 1.000000 0.125971 0.253664 0.013540 -0.077136 LNMVIT_1 0.106250 0.016283 0.233237 0.125971 1.000000 0.332314 0.286874 0.143799 TVIT_1 0.247309 -0.009742 0.389884 0.253664 0.332314 1.000000 0.421130 0.135776 ILLIQIT_1 0.275079 0.066890 0.733667 0.013540 0.286874 0.421130 1.000000 -0.105665 T_1 -0.002405 -0.156283 -0.022234 -0.077136 0.143799 0.135776 -0.105665 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 -0.039922 0.127358 0.212206 0.313174 -0.055409 LNGSVMIT -0.039922 1.000000 0.007473 -0.006089 -0.012030 -0.148869 LNRETIT 0.127358 0.007473 1.000000 0.517565 0.148151 -0.014234 LNTVIT 0.212206 -0.006089 0.517565 1.000000 0.317075 0.098772 STDEVIT_1 0.313174 -0.012030 0.148151 0.317075 1.000000 -0.037657 T -0.055409 -0.148869 -0.014234 0.098772 -0.037657 1.000000
30. Sawit Sumbermas Sarana a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 0.117650 -0.078043 0.136424 0.007849 0.103980 -0.091022 -0.051778 LNGSVMIT_1 0.117650 1.000000 -0.017215 0.237768 0.096585 0.148731 0.007294 -0.156988 STDEVIT_1 -0.078043 -0.017215 1.000000 0.023727 0.050449 0.018306 0.922882 0.015260 RETIT_1 0.136424 0.237768 0.023727 1.000000 0.263368 0.204677 0.053391 -0.041634 LNMVIT_1 0.007849 0.096585 0.050449 0.263368 1.000000 0.294203 0.059089 -0.591324 TVIT_1 0.103980 0.148731 0.018306 0.204677 0.294203 1.000000 0.035176 -0.497348 ILLIQIT_1 -0.091022 0.007294 0.922882 0.053391 0.059089 0.035176 1.000000 -0.003583
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.140178 0.061989 0.110640 0.078062 -0.067863 LNGSVMIT 0.140178 1.000000 -0.101031 0.163850 0.009891 -0.196698 LNRETIT 0.061989 -0.101031 1.000000 0.007479 0.019452 0.125926 LNTVIT 0.110640 0.163850 0.007479 1.000000 0.147315 -0.495586 STDEVIT_1 0.078062 0.009891 0.019452 0.147315 1.000000 0.074355 T -0.067863 -0.196698 0.125926 -0.495586 0.074355 1.000000
31. Telekomunikasi Indonesia a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1
LNGSVIT_1 1.000000 0.340023 -0.019217 -0.044133 -0.586010 -0.254475 -0.054227 -0.552856 LNGSVMIT_1 0.340023 1.000000 -0.027042 0.060215 -0.247753 -0.153217 -0.069454 -0.156283 STDEVIT_1 -0.019217 -0.027042 1.000000 -0.014205 0.053183 0.166875 0.778000 0.057656 RETIT_1 -0.044133 0.060215 -0.014205 1.000000 0.107448 0.148379 -0.104966 0.032863 LNMVIT_1 -0.586010 -0.247753 0.053183 0.107448 1.000000 0.599702 0.015539 0.925084 TVIT_1 -0.254475 -0.153217 0.166875 0.148379 0.599702 1.000000 0.141878 0.496645 ILLIQIT_1 -0.054227 -0.069454 0.778000 -0.104966 0.015539 0.141878 1.000000 0.025013 T_1 -0.552856 -0.156283 0.057656 0.032863 0.925084 0.496645 0.025013 1.000000
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.360450 0.042072 -0.245325 -0.016984 -0.547557 LNGSVMIT 0.360450 1.000000 -0.063983 -0.144186 0.092953 -0.174472 LNRETIT 0.042072 -0.063983 1.000000 0.253162 0.044528 0.036034 LNTVIT -0.245325 -0.144186 0.253162 1.000000 0.115595 0.494561 STDEVIT_1 -0.016984 0.092953 0.044528 0.115595 1.000000 0.063235 T -0.547557 -0.174472 0.036034 0.494561 0.063235 1.000000
32. Wijaya Karya a. Likuiditas
LNGSVIT_1 LNGSVMIT_1 STDEVIT_1 RETIT_1 LNMVIT_1 TVIT_1 ILLIQIT_1 T_1 LNGSVIT_1 1.000000 0.258109 -0.144433 0.006496 -0.002043 0.140173 0.004805 -0.220918 LNGSVMIT_1 0.258109 1.000000 0.073589 -0.141599 0.015187 -0.051699 0.000866 -0.156283 STDEVIT_1 -0.144433 0.073589 1.000000 -0.060840 -0.113472 -0.239410 0.001021 0.015194 RETIT_1 0.006496 -0.141599 -0.060840 1.000000 0.110553 0.249973 -0.047159 0.025442 LNMVIT_1 -0.002043 0.015187 -0.113472 0.110553 1.000000 0.326007 -0.101565 0.324070
136
b. Volatilitas
LNGSVIT LNGSVMIT LNRETIT LNTVIT STDEVIT_1 T
LNGSVIT 1.000000 0.282038 0.127388 0.155919 0.001200 -0.248800 LNGSVMIT 0.282038 1.000000 0.033990 -0.127801 -0.043158 -0.177408 LNRETIT 0.127388 0.033990 1.000000 0.221408 0.070529 -0.162534 LNTVIT 0.155919 -0.127801 0.221408 1.000000 -0.119309 -0.051186 STDEVIT_1 0.001200 -0.043158 0.070529 -0.119309 1.000000 0.015896 T -0.248800 -0.177408 -0.162534 -0.051186 0.015896 1.000000
LAMPIRAN 2 Hasil Regresi Likuiditas
1. Astra Agro Lestari Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 11:39 Sample: 1/11/2015 6/18/2017 Included observations: 127
Variable Coefficient Std. Error t-Statistic Prob.
C 0.027238 0.008998 3.027167 0.0030
LNGSVIT_1 0.000233 0.000133 1.752539 0.0823
LNGSVMIT_1 -0.000108 9.69E-05 -1.113703 0.2677
STDEVIT_1 -0.010313 0.004738 -2.176923 0.0315
RETIT_1 0.000948 0.000731 1.297673 0.1969
LNMVIT_1 -0.000969 0.000287 -3.376218 0.0010
TVIT_1 0.000130 7.12E-05 1.820677 0.0712
ILLIQIT_1 0.319420 0.130916 2.439876 0.0162
T_1 -4.12E-06 1.37E-06 -3.012192 0.0032
R-squared 0.289308 Mean dependent var 0.000747
Adjusted R-squared 0.241126 S.D. dependent var 0.000474
S.E. of regression 0.000413 Akaike info criterion -12.68032
Sum squared resid 2.01E-05 Schwarz criterion -12.47876
Log likelihood 814.2003 Hannan-Quinn criter. -12.59843
F-statistic 6.004420 Durbin-Watson stat 2.055378
Prob(F-statistic) 0.000002
2. Adhi Karya
Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 12:06 Sample: 1/11/2015 6/18/2017 Included observations: 127
Variable Coefficient Std. Error t-Statistic Prob.
C 0.206000 0.096624 2.131970 0.0351
LNGSVIT_1 -0.001636 0.002793 -0.585832 0.5591
LNGSVMIT_1 -0.000175 0.002123 -0.082359 0.9345
STDEVIT_1 -0.074611 0.054496 -1.369109 0.1736
RETIT_1 -0.002169 0.016097 -0.134764 0.8930
LNMVIT_1 -0.006044 0.003336 -1.811959 0.0725
TVIT_1 -0.000695 0.001470 -0.472977 0.6371
ILLIQIT_1 -0.063604 0.096654 -0.658058 0.5118
T_1 4.34E-06 3.08E-05 0.140871 0.8882
138
Log likelihood 430.3711 Hannan-Quinn criter. -6.553875
F-statistic 0.893416 Durbin-Watson stat 2.034970
Prob(F-statistic) 0.524430
3. Aneka Tambang Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 12:31 Sample: 1/11/2015 6/18/2017 Included observations: 127
Variable Coefficient Std. Error t-Statistic Prob.
C 0.030889 0.075299 0.410219 0.6824
LNGSVIT_1 -0.000712 0.002670 -0.266696 0.7902
LNGSVMIT_1 -0.000499 0.002133 -0.233740 0.8156
STDEVIT_1 0.037665 0.046055 0.817833 0.4151
RETIT_1 0.011710 0.012613 0.928409 0.3551
LNMVIT_1 0.000143 0.002569 0.055778 0.9556
TVIT_1 -0.001136 0.000920 -1.234919 0.2193
ILLIQIT_1 -0.027741 0.091733 -0.302416 0.7629
T_1 -1.43E-05 3.79E-05 -0.376440 0.7073
R-squared 0.028983 Mean dependent var 0.001516
Adjusted R-squared -0.036848 S.D. dependent var 0.008600 S.E. of regression 0.008757 Akaike info criterion -6.569653
Sum squared resid 0.009049 Schwarz criterion -6.368096
Log likelihood 426.1729 Hannan-Quinn criter. -6.487763
F-statistic 0.440264 Durbin-Watson stat 1.980862
Prob(F-statistic) 0.894643
4. Astra Internasional Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 12:37 Sample: 1/11/2015 6/18/2017 Included observations: 127
Variable Coefficient Std. Error t-Statistic Prob.
C 0.028795 0.007942 3.625662 0.0004
LNGSVIT_1 3.11E-05 7.29E-05 0.426237 0.6707
LNGSVMIT_1 -5.08E-05 6.30E-05 -0.806227 0.4217
STDEVIT_1 0.004712 0.003834 1.228919 0.2215
RETIT_1 0.001650 0.000493 3.343452 0.0011
LNMVIT_1 -0.001029 0.000247 -4.172529 0.0001
TVIT_1 0.000218 5.90E-05 3.688978 0.0003
ILLIQIT_1 0.016616 0.124632 0.133321 0.8942
T_1 3.37E-07 9.06E-07 0.371682 0.7108
R-squared 0.337612 Mean dependent var 0.000599
Adjusted R-squared 0.292704 S.D. dependent var 0.000311
S.E. of regression 0.000261 Akaike info criterion -13.59228
Sum squared resid 8.07E-06 Schwarz criterion -13.39072
F-statistic 7.517900 Durbin-Watson stat 1.925163
Prob(F-statistic) 0.000000
5. Alam Sutera Realty Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 12:46 Sample: 1/11/2015 6/18/2017 Included observations: 127
Variable Coefficient Std. Error t-Statistic Prob.
C -0.155071 0.133199 -1.164200 0.2467
LNGSVIT_1 1.35E-05 0.001862 0.007263 0.9942
LNGSVMIT_1 -0.000596 0.001882 -0.316769 0.7520
STDEVIT_1 -0.010063 0.056530 -0.178004 0.8590
RETIT_1 -0.008541 0.014549 -0.587069 0.5583
LNMVIT_1 0.007398 0.004775 1.549396 0.1240
TVIT_1 -0.002318 0.001249 -1.856311 0.0659
ILLIQIT_1 -0.023086 0.090647 -0.254679 0.7994
T_1 -3.77E-05 2.93E-05 -1.284413 0.2015
R-squared 0.055768 Mean dependent var 0.001440
Adjusted R-squared -0.008248 S.D. dependent var 0.007958
S.E. of regression 0.007991 Akaike info criterion -6.752798
Sum squared resid 0.007535 Schwarz criterion -6.551241
Log likelihood 437.8027 Hannan-Quinn criter. -6.670908
F-statistic 0.871159 Durbin-Watson stat 2.024404
Prob(F-statistic) 0.542972
6. Bank Central Asia Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 12:52 Sample: 1/11/2015 6/18/2017 Included observations: 127
Variable Coefficient Std. Error t-Statistic Prob.
C -0.124976 0.166386 -0.751118 0.4541
LNGSVIT_1 0.002054 0.001686 1.217918 0.2257
LNGSVMIT_1 -0.000567 0.000944 -0.600541 0.5493
STDEVIT_1 -0.006352 0.042865 -0.148175 0.8825
RETIT_1 -0.017213 0.012550 -1.371533 0.1728
LNMVIT_1 0.003682 0.005130 0.717783 0.4743
TVIT_1 -0.000112 0.000859 -0.130399 0.8965
ILLIQIT_1 -0.004004 0.091118 -0.043946 0.9650
T_1 -6.10E-06 1.77E-05 -0.344250 0.7313
R-squared 0.042878 Mean dependent var 0.000691
Adjusted R-squared -0.022011 S.D. dependent var 0.003905 S.E. of regression 0.003948 Akaike info criterion -8.162919
Sum squared resid 0.001839 Schwarz criterion -7.961362
140
7. Bank Negara Indonesia Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 12:57 Sample: 1/11/2015 6/18/2017 Included observations: 127
Variable Coefficient Std. Error t-Statistic Prob.
C 0.013582 0.004931 2.754556 0.0068
LNGSVIT_1 -3.02E-05 5.77E-05 -0.523458 0.6016
LNGSVMIT_1 -6.63E-05 5.48E-05 -1.210690 0.2284
STDEVIT_1 0.000893 0.002367 0.377212 0.7067
RETIT_1 0.000508 0.000443 1.147409 0.2535
LNMVIT_1 -0.000616 0.000155 -3.974702 0.0001
TVIT_1 0.000262 4.60E-05 5.696555 0.0000
ILLIQIT_1 0.192018 0.077680 2.471919 0.0149
T_1 -1.02E-06 5.41E-07 -1.880987 0.0624
R-squared 0.429150 Mean dependent var 0.000553
Adjusted R-squared 0.390448 S.D. dependent var 0.000273
S.E. of regression 0.000213 Akaike info criterion -14.00251
Sum squared resid 5.35E-06 Schwarz criterion -13.80096
Log likelihood 898.1596 Hannan-Quinn criter. -13.92062
F-statistic 11.08865 Durbin-Watson stat 1.700816
Prob(F-statistic) 0.000000
8. Bank Tabungan Negara Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 13:02 Sample: 1/11/2015 6/18/2017 Included observations: 127
Variable Coefficient Std. Error t-Statistic Prob.
C 0.026935 0.008069 3.338287 0.0011
LNGSVIT_1 -7.34E-05 7.89E-05 -0.929955 0.3543
LNGSVMIT_1 -8.65E-05 6.28E-05 -1.377127 0.1711
STDEVIT_1 0.004289 0.002482 1.727616 0.0867
RETIT_1 0.000702 0.000621 1.129673 0.2609
LNMVIT_1 -0.001005 0.000277 -3.632427 0.0004
TVIT_1 0.000172 4.32E-05 3.972623 0.0001
ILLIQIT_1 -0.071509 0.086054 -0.830981 0.4077
T_1 5.60E-06 2.09E-06 2.686367 0.0083
R-squared 0.231556 Mean dependent var 0.000616
Adjusted R-squared 0.179458 S.D. dependent var 0.000291
S.E. of regression 0.000264 Akaike info criterion -13.57623
Sum squared resid 8.20E-06 Schwarz criterion -13.37468
Log likelihood 871.0908 Hannan-Quinn criter. -13.49434
F-statistic 4.444634 Durbin-Watson stat 1.789276
Prob(F-statistic) 0.000099
9. Bank Mandiri Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 13:09 Sample: 1/11/2015 6/18/2017 Included observations: 127
Variable Coefficient Std. Error t-Statistic Prob.
C 0.001680 0.003956 0.424733 0.6718
LNGSVIT_1 0.000256 0.000231 1.107523 0.2703
LNGSVMIT_1 -0.000107 6.12E-05 -1.756241 0.0816
STDEVIT_1 0.013156 0.006544 2.010278 0.0467
RETIT_1 -0.000265 0.000570 -0.464821 0.6429
LNMVIT_1 -0.000244 0.000110 -2.217062 0.0285
TVIT_1 0.000221 5.99E-05 3.690721 0.0003
ILLIQIT_1 -0.191166 0.219726 -0.870022 0.3861
T_1 2.78E-07 9.14E-07 0.304433 0.7613
R-squared 0.256238 Mean dependent var 0.000530
Adjusted R-squared 0.205814 S.D. dependent var 0.000290
S.E. of regression 0.000258 Akaike info criterion -13.61740
Sum squared resid 7.87E-06 Schwarz criterion -13.41584
Log likelihood 873.7049 Hannan-Quinn criter. -13.53551
F-statistic 5.081626 Durbin-Watson stat 1.897178
Prob(F-statistic) 0.000019
10. Global Mediacom Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 13:16 Sample: 1/11/2015 6/18/2017 Included observations: 110
Variable Coefficient Std. Error t-Statistic Prob.
C -0.014279 0.005368 -2.659946 0.0091
LNGSVIT_1 1.12E-06 0.000123 0.009105 0.9928
LNGSVMIT_1 5.20E-05 0.000134 0.387599 0.6991
STDEVIT_1 0.007137 0.003051 2.339174 0.0213
RETIT_1 0.001980 0.000726 2.727772 0.0075
LNMVIT_1 0.000543 0.000171 3.167645 0.0020
TVIT_1 -7.23E-05 7.99E-05 -0.905140 0.3675
ILLIQIT_1 0.017422 0.004428 3.934587 0.0002
T_1 2.68E-06 2.23E-06 1.201654 0.2323
R-squared 0.337448 Mean dependent var 0.000903
Adjusted R-squared 0.284969 S.D. dependent var 0.000587
S.E. of regression 0.000496 Akaike info criterion -12.29979
Sum squared resid 2.49E-05 Schwarz criterion -12.07884
Log likelihood 685.4884 Hannan-Quinn criter. -12.21017
F-statistic 6.430118 Durbin-Watson stat 1.726362
Prob(F-statistic) 0.000001