• Tidak ada hasil yang ditemukan

Keterbatasan Penelitian

BAB V KESIMPULAN, SARAN DAN KETERBATASAN

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

142

11. Bumi Serpong Damai Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 13:20 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.050313 0.011961 4.206448 0.0001

LNGSVIT_1 6.59E-05 0.000101 0.653614 0.5146

LNGSVMIT_1 -0.000141 7.93E-05 -1.773571 0.0787

STDEVIT_1 0.000648 0.004384 0.147895 0.8827

RETIT_1 0.000577 0.000668 0.864433 0.3891

LNMVIT_1 -0.001765 0.000410 -4.308773 0.0000

TVIT_1 0.000220 6.89E-05 3.198738 0.0018

ILLIQIT_1 0.126379 0.144501 0.874595 0.3836

T_1 -1.59E-06 9.74E-07 -1.634321 0.1049

R-squared 0.254267 Mean dependent var 0.000693

Adjusted R-squared 0.203709 S.D. dependent var 0.000373

S.E. of regression 0.000333 Akaike info criterion -13.10973

Sum squared resid 1.31E-05 Schwarz criterion -12.90818

Log likelihood 841.4680 Hannan-Quinn criter. -13.02784

F-statistic 5.029195 Durbin-Watson stat 1.896871

Prob(F-statistic) 0.000022

12. Charoen Pokphand Indonesia Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 13:27 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.020184 0.187172 0.107837 0.9143

LNGSVIT_1 0.001741 0.002675 0.650794 0.5164

LNGSVMIT_1 -0.001046 0.002424 -0.431607 0.6668

STDEVIT_1 0.044208 0.071383 0.619305 0.5369

RETIT_1 -0.015253 0.016455 -0.926997 0.3558

LNMVIT_1 0.000305 0.006217 0.048978 0.9610

TVIT_1 -0.001201 0.001987 -0.604748 0.5465

ILLIQIT_1 -0.017855 0.091347 -0.195460 0.8454

T_1 -2.60E-05 2.66E-05 -0.976432 0.3308

R-squared 0.030853 Mean dependent var 0.001749

Adjusted R-squared -0.034852 S.D. dependent var 0.009957 S.E. of regression 0.010129 Akaike info criterion -6.278508

Sum squared resid 0.012107 Schwarz criterion -6.076952

Log likelihood 407.6853 Hannan-Quinn criter. -6.196618

F-statistic 0.469569 Durbin-Watson stat 1.987183

Prob(F-statistic) 0.875461

13. Elnusa

Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 13:31 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.020912 0.004764 4.389108 0.0000

LNGSVIT_1 0.000248 0.000209 1.188648 0.2370

LNGSVMIT_1 -0.000124 0.000112 -1.103033 0.2723

STDEVIT_1 -0.006510 0.004618 -1.409481 0.1613

RETIT_1 0.000550 0.000630 0.873799 0.3840

LNMVIT_1 -0.001033 0.000179 -5.762969 0.0000

TVIT_1 0.000378 6.81E-05 5.551784 0.0000

ILLIQIT_1 0.263982 0.137776 1.916014 0.0578

T_1 -5.74E-06 1.43E-06 -4.015510 0.0001

R-squared 0.433026 Mean dependent var 0.000998

Adjusted R-squared 0.394587 S.D. dependent var 0.000597 S.E. of regression 0.000465 Akaike info criterion -12.44266 Sum squared resid 2.55E-05 Schwarz criterion -12.24111 Log likelihood 799.1091 Hannan-Quinn criter. -12.36077 F-statistic 11.26531 Durbin-Watson stat 1.788040 Prob(F-statistic) 0.000000

14. Gudang Garam Dependent Variable: ILLIQIT Method: Least Squares Date: 09/26/17 Time: 13:36 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.010847 0.008406 1.290350 0.1995

LNGSVIT_1 -7.06E-05 0.000150 -0.471118 0.6384

LNGSVMIT_1 -8.49E-05 7.18E-05 -1.182768 0.2393

STDEVIT_1 -0.003604 0.006263 -0.575391 0.5661

RETIT_1 0.000945 0.000641 1.474115 0.1431

LNMVIT_1 -0.000468 0.000277 -1.690917 0.0935

TVIT_1 0.000210 6.29E-05 3.336760 0.0011

ILLIQIT_1 0.226592 0.206909 1.095125 0.2757

T_1 -1.16E-06 1.27E-06 -0.913355 0.3629

R-squared 0.216621 Mean dependent var 0.000650

Adjusted R-squared 0.163511 S.D. dependent var 0.000325

S.E. of regression 0.000298 Akaike info criterion -13.33376

Sum squared resid 1.04E-05 Schwarz criterion -13.13221

Log likelihood 855.6939 Hannan-Quinn criter. -13.25187

F-statistic 4.078691 Durbin-Watson stat 1.905405

144

15. Indofood CBP Sukses Makmur Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 07:36 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C -0.002102 0.003335 -0.630145 0.5298

LNGSVIT_1 -2.25E-05 8.83E-05 -0.254784 0.7993

LNGSVMIT_1 -0.000106 6.70E-05 -1.587098 0.1152

STDEVIT_1 -0.010129 0.004333 -2.337413 0.0211

RETIT_1 0.000138 0.000610 0.226400 0.8213

LNMVIT_1 -3.73E-05 0.000115 -0.324307 0.7463

TVIT_1 0.000166 5.67E-05 2.928455 0.0041

ILLIQIT_1 0.556109 0.135705 4.097935 0.0001

T_1 -1.42E-06 1.46E-06 -0.973947 0.3321

R-squared 0.251236 Mean dependent var 0.000560

Adjusted R-squared 0.200473 S.D. dependent var 0.000317

S.E. of regression 0.000283 Akaike info criterion -13.43210

Sum squared resid 9.47E-06 Schwarz criterion -13.23054

Log likelihood 861.9381 Hannan-Quinn criter. -13.35021

F-statistic 4.949142 Durbin-Watson stat 1.850260

Prob(F-statistic) 0.000027

16. Vale Indonesia Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 07:42 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.028233 0.004615 6.117070 0.0000

LNGSVIT_1 -1.57E-06 0.000119 -0.013223 0.9895

LNGSVMIT_1 -0.000167 0.000101 -1.654693 0.1006

STDEVIT_1 -0.008556 0.004135 -2.069237 0.0407

RETIT_1 -0.000226 0.000508 -0.443659 0.6581

LNMVIT_1 -0.001392 0.000176 -7.911960 0.0000

TVIT_1 0.000654 7.77E-05 8.422079 0.0000

ILLIQIT_1 0.279378 0.128570 2.172973 0.0318

T_1 -6.04E-06 1.45E-06 -4.155949 0.0001

R-squared 0.526532 Mean dependent var 0.001015

Adjusted R-squared 0.494432 S.D. dependent var 0.000590

S.E. of regression 0.000420 Akaike info criterion -12.64553

Sum squared resid 2.08E-05 Schwarz criterion -12.44397

Log likelihood 811.9912 Hannan-Quinn criter. -12.56364

F-statistic 16.40311 Durbin-Watson stat 1.865649

Prob(F-statistic) 0.000000

17. Indofood Sukses Makmur Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 07:53 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.039372 0.007661 5.139275 0.0000

LNGSVIT_1 9.30E-05 9.26E-05 1.004816 0.3170

LNGSVMIT_1 -5.28E-05 7.15E-05 -0.738277 0.4618

STDEVIT_1 -0.017851 0.006303 -2.832221 0.0054

RETIT_1 0.000719 0.000665 1.081629 0.2816

LNMVIT_1 -0.001408 0.000259 -5.427195 0.0000

TVIT_1 0.000209 6.10E-05 3.415424 0.0009

ILLIQIT_1 0.704964 0.215175 3.276231 0.0014

T_1 1.93E-06 9.51E-07 2.031073 0.0445

R-squared 0.380836 Mean dependent var 0.000587

Adjusted R-squared 0.338859 S.D. dependent var 0.000365

S.E. of regression 0.000296 Akaike info criterion -13.34133

Sum squared resid 1.04E-05 Schwarz criterion -13.13977

Log likelihood 856.1745 Hannan-Quinn criter. -13.25944

F-statistic 9.072440 Durbin-Watson stat 1.911662

Prob(F-statistic) 0.000000

18. Indocement Tunggal Prakarsa Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 14:53 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.027396 0.015562 1.760470 0.0809

LNGSVIT_1 0.000135 9.81E-05 1.377026 0.1711

LNGSVMIT_1 -2.84E-05 8.17E-05 -0.348145 0.7284

STDEVIT_1 -0.005557 0.005270 -1.054450 0.2938

RETIT_1 0.000894 0.000700 1.278011 0.2038

LNMVIT_1 -0.000982 0.000489 -2.007115 0.0470

TVIT_1 0.000156 6.04E-05 2.575307 0.0113

ILLIQIT_1 0.519134 0.172035 3.017616 0.0031

T_1 -1.75E-06 1.78E-06 -0.983937 0.3272

R-squared 0.308672 Mean dependent var 0.000649

Adjusted R-squared 0.261802 S.D. dependent var 0.000407

S.E. of regression 0.000350 Akaike info criterion -13.01170

Sum squared resid 1.44E-05 Schwarz criterion -12.81015

Log likelihood 835.2431 Hannan-Quinn criter. -12.92981

F-statistic 6.585745 Durbin-Watson stat 2.044782

146

19. Jasa Marga

Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 15:09 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.032067 0.009067 3.536693 0.0006

LNGSVIT_1 0.000124 7.32E-05 1.689110 0.0938

LNGSVMIT_1 -0.000239 6.57E-05 -3.641252 0.0004

STDEVIT_1 0.010640 0.006225 1.709139 0.0901

RETIT_1 0.001028 0.000626 1.640914 0.1035

LNMVIT_1 -0.001160 0.000291 -3.990973 0.0001

TVIT_1 0.000211 4.50E-05 4.696743 0.0000

ILLIQIT_1 -0.280993 0.208169 -1.349833 0.1797

T_1 -3.72E-06 1.06E-06 -3.513924 0.0006

R-squared 0.283249 Mean dependent var 0.000554

Adjusted R-squared 0.234656 S.D. dependent var 0.000319

S.E. of regression 0.000279 Akaike info criterion -13.46372

Sum squared resid 9.17E-06 Schwarz criterion -13.26216

Log likelihood 863.9463 Hannan-Quinn criter. -13.38183

F-statistic 5.828982 Durbin-Watson stat 1.824222

Prob(F-statistic) 0.000003

20. Lippo Karawaci Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 15:21 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C -0.021375 0.008565 -2.495628 0.0140

LNGSVIT_1 0.000268 0.000193 1.383588 0.1691

LNGSVMIT_1 -0.000141 7.29E-05 -1.930577 0.0559

STDEVIT_1 0.013495 0.005231 2.579498 0.0111

RETIT_1 -0.000620 0.000588 -1.053607 0.2942

LNMVIT_1 0.000576 0.000262 2.196631 0.0300

TVIT_1 0.000135 6.27E-05 2.152575 0.0334

ILLIQIT_1 -0.310892 0.167967 -1.850908 0.0667

T_1 1.04E-06 1.37E-06 0.760598 0.4484

R-squared 0.158807 Mean dependent var 0.000622

Adjusted R-squared 0.101777 S.D. dependent var 0.000325

S.E. of regression 0.000308 Akaike info criterion -13.26502

Sum squared resid 1.12E-05 Schwarz criterion -13.06346

Log likelihood 851.3288 Hannan-Quinn criter. -13.18313

F-statistic 2.784630 Durbin-Watson stat 1.853446

Prob(F-statistic) 0.007379

21. Media Nusantara Citra Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 20:59 Sample: 1/11/2015 6/18/2017 Included observations: 119

Variable Coefficient Std. Error t-Statistic Prob.

C 0.048004 0.010227 4.693991 0.0000

LNGSVIT_1 0.000230 0.000125 1.843767 0.0679

LNGSVMIT_1 -0.000105 0.000115 -0.912480 0.3635

STDEVIT_1 0.005860 0.005598 1.046877 0.2975

RETIT_1 0.000643 0.000690 0.931864 0.3534

LNMVIT_1 -0.001729 0.000345 -5.019066 0.0000

TVIT_1 0.000243 7.79E-05 3.120266 0.0023

ILLIQIT_1 -0.099898 0.176260 -0.566765 0.5720

T_1 -4.71E-06 1.45E-06 -3.250255 0.0015

R-squared 0.276940 Mean dependent var 0.000889

Adjusted R-squared 0.224354 S.D. dependent var 0.000521 S.E. of regression 0.000459 Akaike info criterion -12.46145 Sum squared resid 2.32E-05 Schwarz criterion -12.25127 Log likelihood 750.4565 Hannan-Quinn criter. -12.37610

F-statistic 5.266395 Durbin-Watson stat 1.796494

Prob(F-statistic) 0.000014

22. Matahari Putra Prima Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 21:05

Sample (adjusted): 1/11/2015 6/11/2017 Included observations: 126 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 0.002717 0.006054 0.448869 0.6544

LNGSVIT_1 -3.13E-05 8.66E-05 -0.360987 0.7188

LNGSVMIT_1 -8.30E-05 9.22E-05 -0.900505 0.3697

STDEVIT_1 -0.017330 0.004545 -3.812526 0.0002

RETIT_1 -0.000422 0.000609 -0.693376 0.4894

LNMVIT_1 -0.000160 0.000193 -0.827706 0.4095

TVIT_1 0.000133 4.35E-05 3.060972 0.0027

ILLIQIT_1 0.608360 0.140279 4.336773 0.0000

T_1 -3.47E-07 2.51E-06 -0.138383 0.8902

R-squared 0.217870 Mean dependent var 0.000892

Adjusted R-squared 0.164391 S.D. dependent var 0.000429 S.E. of regression 0.000392 Akaike info criterion -12.78284 Sum squared resid 1.80E-05 Schwarz criterion -12.58025 Log likelihood 814.3192 Hannan-Quinn criter. -12.70054

F-statistic 4.073947 Durbin-Watson stat 1.995206

148

23. Perusahaan Gas Negara Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 21:11 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.020383 0.006785 3.003978 0.0033

LNGSVIT_1 5.10E-05 0.000108 0.470389 0.6389

LNGSVMIT_1 -0.000193 8.44E-05 -2.285323 0.0241

STDEVIT_1 -0.004273 0.005113 -0.835693 0.4050

RETIT_1 -0.000401 0.000578 -0.694041 0.4890

LNMVIT_1 -0.000785 0.000208 -3.764858 0.0003

TVIT_1 0.000225 5.54E-05 4.064206 0.0001

ILLIQIT_1 0.264763 0.177045 1.495461 0.1375

T_1 -3.16E-06 1.39E-06 -2.267664 0.0252

R-squared 0.246926 Mean dependent var 0.000737

Adjusted R-squared 0.195871 S.D. dependent var 0.000376 S.E. of regression 0.000337 Akaike info criterion -13.08400 Sum squared resid 1.34E-05 Schwarz criterion -12.88245 Log likelihood 839.8343 Hannan-Quinn criter. -13.00211

F-statistic 4.836401 Durbin-Watson stat 1.953142

Prob(F-statistic) 0.000036

24. Tambang Batubara Bukit Asam Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 21:08 Sample: 1/11/2015 6/18/2017 Included observations: 121

Variable Coefficient Std. Error t-Statistic Prob.

C 0.009198 0.004214 2.182931 0.0311

LNGSVIT_1 -0.000156 0.000123 -1.269919 0.2067

LNGSVMIT_1 -0.000182 0.000106 -1.710221 0.0900

STDEVIT_1 -0.001617 0.006122 -0.264129 0.7922

RETIT_1 -0.000271 0.000643 -0.421112 0.6745

LNMVIT_1 -0.000613 0.000140 -4.366914 0.0000

TVIT_1 0.000455 8.07E-05 5.635988 0.0000

ILLIQIT_1 0.210753 0.176386 1.194843 0.2347

T_1 -1.52E-06 1.33E-06 -1.148020 0.2534

R-squared 0.340824 Mean dependent var 0.000911

Adjusted R-squared 0.293740 S.D. dependent var 0.000523 S.E. of regression 0.000440 Akaike info criterion -12.54870 Sum squared resid 2.17E-05 Schwarz criterion -12.34075 Log likelihood 768.1963 Hannan-Quinn criter. -12.46424

F-statistic 7.238638 Durbin-Watson stat 2.200788

Prob(F-statistic) 0.000000

25. PP (Persero)

Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 21:22 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.038898 0.011370 3.421249 0.0009

LNGSVIT_1 3.56E-05 6.38E-05 0.557928 0.5780

LNGSVMIT_1 -6.16E-05 6.99E-05 -0.881350 0.3799

STDEVIT_1 -0.009103 0.005540 -1.643297 0.1030

RETIT_1 0.000312 0.000674 0.463067 0.6442

LNMVIT_1 -0.001473 0.000387 -3.809427 0.0002

TVIT_1 0.000256 4.46E-05 5.744650 0.0000

ILLIQIT_1 0.354709 0.173204 2.047925 0.0428

T_1 2.21E-06 1.00E-06 2.206817 0.0293

R-squared 0.301243 Mean dependent var 0.000617

Adjusted R-squared 0.253869 S.D. dependent var 0.000347 S.E. of regression 0.000300 Akaike info criterion -13.31630 Sum squared resid 1.06E-05 Schwarz criterion -13.11475 Log likelihood 854.5852 Hannan-Quinn criter. -13.23441

F-statistic 6.358898 Durbin-Watson stat 1.766575

Prob(F-statistic) 0.000001

26. Pakuwon Jati

Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 21:25 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.031285 0.008575 3.648624 0.0004

LNGSVIT_1 1.72E-05 7.95E-05 0.215879 0.8295

LNGSVMIT_1 -0.000180 8.00E-05 -2.246238 0.0265

STDEVIT_1 -0.002835 0.005900 -0.480496 0.6318

RETIT_1 0.001312 0.000598 2.194520 0.0302

LNMVIT_1 -0.001143 0.000301 -3.795170 0.0002

TVIT_1 0.000197 6.22E-05 3.161782 0.0020

ILLIQIT_1 0.111510 0.185052 0.602586 0.5479

T_1 4.69E-06 1.48E-06 3.171888 0.0019

R-squared 0.189291 Mean dependent var 0.000828

Adjusted R-squared 0.134328 S.D. dependent var 0.000367

S.E. of regression 0.000342 Akaike info criterion -13.05775

Sum squared resid 1.38E-05 Schwarz criterion -12.85619

Log likelihood 838.1668 Hannan-Quinn criter. -12.97586

F-statistic 3.443958 Durbin-Watson stat 1.855173

Prob(F-statistic) 0.001342

150

27. Semen Indonesia Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 22:07 Sample: 1/11/2015 6/18/2017 Included observations: 127

Variable Coefficient Std. Error t-Statistic Prob.

C 0.066440 0.010990 6.045471 0.0000

LNGSVIT_1 0.000130 0.000139 0.935971 0.3512

LNGSVMIT_1 -6.59E-05 7.74E-05 -0.851914 0.3960

STDEVIT_1 -0.001966 0.005864 -0.335206 0.7381

RETIT_1 0.002751 0.000639 4.306485 0.0000

LNMVIT_1 -0.002264 0.000355 -6.386075 0.0000

TVIT_1 0.000235 5.76E-05 4.087306 0.0001

ILLIQIT_1 0.005130 0.184764 0.027764 0.9779

T_1 -7.21E-06 1.33E-06 -5.436058 0.0000

R-squared 0.394455 Mean dependent var 0.000635

Adjusted R-squared 0.353401 S.D. dependent var 0.000394 S.E. of regression 0.000317 Akaike info criterion -13.20800 Sum squared resid 1.18E-05 Schwarz criterion -13.00644 Log likelihood 847.7080 Hannan-Quinn criter. -13.12611

F-statistic 9.608233 Durbin-Watson stat 1.831553

Prob(F-statistic) 0.000000

28. Summarecon Agung Dependent Variable: ILLIQIT Method: Least Squares Date: 09/28/17 Time: 22:11 Sample: 1/11/2015 6/18/2017 Included observations: 126

Variable Coefficient Std. Error t-Statistic Prob.

C 0.054906 0.011632 4.720175 0.0000

LNGSVIT_1 -7.84E-06 9.96E-05 -0.078725 0.9374

LNGSVMIT_1 -0.000302 9.34E-05 -3.232965 0.0016

STDEVIT_1 -0.006805 0.004711 -1.444272 0.1513

RETIT_1 0.000946 0.000630 1.502747 0.1356

LNMVIT_1 -0.001830 0.000383 -4.772946 0.0000

TVIT_1 0.000134 6.48E-05 2.069561 0.0407

ILLIQIT_1 0.335393 0.139891 2.397540 0.0181

T_1 -3.35E-06 1.39E-06 -2.405725 0.0177

R-squared 0.289019 Mean dependent var 0.000845

Adjusted R-squared 0.240405 S.D. dependent var 0.000438 S.E. of regression 0.000381 Akaike info criterion -12.83629

Sum squared resid 1.70E-05 Schwarz criterion -12.63370

Log likelihood 817.6862 Hannan-Quinn criter. -12.75398

F-statistic 5.945160 Durbin-Watson stat 1.909480

Prob(F-statistic) 0.000002

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