lampiran 1 daftar perusahaan manufaktur tahun...
TRANSCRIPT
82
LAMPIRAN 1 Daftar Perusahaan Manufaktur Tahun 2002-2006
No Nama Emiten Kode
1 Indocement Tunggal Perkasa Tbk INTP 2 Asahimas Flat Galss. Tbk AMFG 3 Arwana Citramulia. Tbk ARNA 4 Surya Toto Indonesia Tbk. TOTO 5 Citra Tubindo Tbk. CTBN 6 Lion Metal Works Tbk LION 7 Lionmesh Prima Tbk. LMSH 8 Budi Acid Jaya Tbk. BUDI 9 Colorpark Indonesia Tbk CLPI
10 Ekadharma Tape Ind Tbk EKAD 11 Intan wijaya Interansional Tbk INCI 12 Sorini Corporation Tbk SOBI 13 Unggul Indah Cahaya UNIC 14 Berlina Tbk BRNA 15 Dynaplast Tbk DYNA 16 Kageo Igar Jaya Tbk IGAR 17 Trias Sentosa TRST 18 Fajara Surya wisesa Tbk FASW 19 Astra Inti Tbk ASII 20 Astra Otopart Tbk AUTO 21 Indo Kordsa Tbk BRAM 22 Prima Alloy Steel Universal Tbk PRAS 23 Selamat Sempurna Tbk SMSM 24 Indo- Rama Syntetic INDR 25 Pan Brothers Tbk PBRX 26 Roda Vivatex Tbk RDTX 27 Ricky Putra Globalindo Tbk RICY 28 Sepatu Bata Tbk BATA 29 Davomas Abadi Tbk DAVO 30 Delta Djakarta Tbk DLTA 31 Indofood Sukses Makmur Tbk INDF 32 Multi Bintang Indonesia Tbk MLBI 33 Mayora Indah Tbk MYOR 34 Siantar Top Tbk STTP 35 Ultra Jaya Milk Ind Tbk. ULTJ 36 Gudang Garam Tbk GGRM 37 Kimia Farma Tbk. KAEF 38 Kalbe Farma Tbk KLBF 39 Merck Indonesia Tbk MERK 40 Pyridam Farma Tbk PYFA 41 Tempo Scan Pasific Tbk TSPC 42 Mandom Indonesia Tbk TCID 43 Unilever Indonesia Tbk UNVR
Sumber : JSX Tahun 2002-2006 (diolah)
83
LAMPIRAN 2 Daftar Kinerja Perusahaan Manufaktur Tahun 2002-2006
Kinerja Perusahaan 2002-2003 No Nama Emiten Kode DAK DMK DLA DLV CAR
1 Indocement Tunggal Perkasa Tbk INTP -1.61262 -0.41478 0.052395 0.061003 0.527105
2 Asahimas Flat Galss. Tbk AMFG -0.15579 -0.10907 -0.01833 0.054655 0.026648 3 Arwana Citramulia. Tbk ARNA 1.225731 -0.7458 0.167633 0.686354 -0.18821 4 Surya Toto Indonesia Tbk. TOTO -0.09192 -1.48139 -0.12385 0.012484 0.209863 5 Citra Tubindo Tbk. CTBN 0.353574 0.032405 32 0.114176 -0.0729
6 Lion Metal Works Tbk LION -0.09313 0.129414 -0.02522 0.019754 0.301559
7 Lionmesh Prima Tbk. LMSH 44.68293 -6.04262 1.839037 0.115826 0.909378
8 Budi Acid Jaya Tbk. BUDI 0.033962 0.00683 0.687722 0.006756 0.128297
9 Colorpark Indonesia Tbk CLPI -0.49667 0.008941 -0.53506 0.103018 0.071477
10 Ekadharma Tape Ind Tbk EKAD -0.44238 -0.00939 -0.23209 0.054667 -0.20751
11 Intan wijaya Interansional Tbk INCI -0.36364 0.13809 0.081028 0.040085 0.445355 12 Sorini Corporation Tbk SOBI -0.58293 0.394146 -0.53715 0.094392 0.315079
13 Unggul Indah Cahaya UNIC 0.288221 0.545076 -0.25904 0.013087 0.055099 14 Berlina Tbk BRNA 0.204074 -0.82747 -0.46293 0.128013 -0.16599 15 Dynaplast Tbk DYNA -0.13411 -2.81207 0.040695 0.022694 0.188198
16 Kageo Igar Jaya Tbk IGAR 0.463229 0.820836 -0.13741 0.011597 -0.16599 17 Trias Sentosa TRST -0.37046 -1.07652 -0.25882 -0.05181 -0.04693
18 Fajara Surya wisesa Tbk FASW 0.039342 -0.03124 -0.17291 0.049769 0.24088 19 Astra Inti Tbk ASII -0.41379 -0.40113 0.17876 -0.02282 0.416333
20 Astra Otopart Tbk AUTO 0.274947 -0.24826 -0.14965 -0.00239 -0.4358 21 Indo Kordsa Tbk BRAM -0.26858 -0.07503 -0.34537 0.115321 -0.14732
22 Prima Alloy Steel Universal Tbk PRAS 2.010401 -0.07372 25.48025 2.780292 0.823794
23 Selamat Sempurna Tbk SMSM -0.51677 0.122661 0.064487 0.013575 0.180847
24 Indo- Rama Syntetic INDR 3.165643 -0.61404 -0.2731 0.042229 0.100374
25 Pan Brothers Tbk PBRX -3.82981 -0.26962 -0.72338 0.004304 0.148484
26 Roda Vivatex Tbk RDTX -3.12252 1.366645 0.525915 -0.22556 -0.03009
27 Ricky Putra Globalindo Tbk RICY 0.363753 -0.43896 -1.0358 -0.15265 1.254659
28 Sepatu Bata Tbk BATA -0.03229 0.061143 -0.25521 0.007431 0.19084
29 Davomas Abadi Tbk DAVO 0.825653 0.771581 2.183747 0.122105 0.215851
30 Delta Djakarta Tbk DLTA -0.55982 0.29971 -0.11471 0.117652 0.504954
31 Indofood Sukses Makmur Tbk INDF -7.18484 0.18692 0.068431 -0.02804 0.083678 32 Multi Bintang Indonesia Tbk MLBI 0.027749 -0.28692 -0.13145 -0.08362 0.145542
33 Mayora Indah Tbk MYOR 0.106463 0.072723 -0.00514 -0.03336 0.213325 34 Siantar Top Tbk STTP -2.87382 0.486982 0.263062 0.028804 -0.05958
35 Ultra Jaya Milk Ind Tbk. ULTJ -0.87256 -0.52819 0.33367 0.070058 0.000147
36 Gudang Garam Tbk GGRM -0.04663 -0.01643 -0.15177 -0.04584 -0.05712
37 Kimia Farma Tbk. KAEF -5.42744 -0.02804 0.516641 -0.04742 -0.0595
38 Kalbe Farma Tbk KLBF 0.270109 2.295052 0.100947 0.030857 -0.27281
39 Merck Indonesia Tbk MERK -0.29469 -0.05455 0.333679 0.012561 0.201588
40 Pyridam Farma Tbk PYFA -0.11769 -0.22226 0.245461 0.060807 -0.15813 41 Tempo Scan Pasific Tbk TSPC -0.06186 0.140267 -0.01048 -0.04771 0.16497 42 Mandom Indonesia Tbk TCID -0.19998 0.209171 0.056376 0.02738 0.34144
43 Unilever Indonesia Tbk UNVR -0.10949 -0.18945 0.324935 -0.13256 -0.1238
84
Kinerja Perusahaan 2003-2004 No Nama Emiten Kode DAK DMK DLA DLV CAR
44 Indocement Tunggal Perkasa Tbk INTP -1.38312 -0.30025 -0.99915 0 0.198382
45 Asahimas Flat Galss. Tbk AMFG 0.818335 0.317639 0.266335 -0.0769 0.240677
46 Arwana Citramulia. Tbk ARNA -0.26916 2.789256 0.297215 -0.01362 -0.12893
47 Surya Toto Indonesia Tbk. TOTO -0.1892 -13.3971 0.366183 -0.05762 -0.12
48 Citra Tubindo Tbk. CTBN -0.35394 -0.04108 -0.82071 -0.01411 -0.07507
49 Lion Metal Works Tbk LION -0.46196 0.222093 -0.9983 -0.00251 0.025834
50 Lionmesh Prima Tbk. LMSH 0.908703 0.481771 3.185268 -0.09658 0.050874
51 Budi Acid Jaya Tbk. BUDI -0.32227 -0.80131 1.171375 0.003824 0.09195
52 Colorpark Indonesia Tbk CLPI -6.31131 0.233663 0.294922 -0.0668 -0.23624
53 Ekadharma Tape Ind Tbk EKAD -1.00896 0.165274 0.291528 -0.02762 0.286402
54 Intan wijaya Interansional Tbk INCI 1.009416 0.090068 -0.26669 -0.01662 -0.07711
55 Sorini Corporation Tbk SOBI 3.331867 -0.3678 2.804363 0.015612 -0.07462
56 Unggul Indah Cahaya UNIC -1.12665 0.020719 0.329314 -0.05795 0.041555
57 Berlina Tbk BRNA -0.26753 13.05997 0.294867 -0.17529 -0.32121
58 Dynaplast Tbk DYNA 0.527991 -0.29052 0.081785 -0.04536 -0.41883
59 Kageo Igar Jaya Tbk IGAR -1.09128 0.104994 -0.18459 0.001739 -0.32121
60 Trias Sentosa TRST -0.86715 10.85655 -0.37704 0.067308 0.11856
61 Fajara Surya wisesa Tbk FASW -0.25673 0.222527 0.856623 -0.02556 -0.06735
62 Astra Inti Tbk ASII 0.624593 -0.47373 0.497464 -0.00346 0.00267
63 Astra Otopart Tbk AUTO 0.357322 -0.06483 0.608048 0.037032 0.198222
64 Indo Kordsa Tbk BRAM 0.313039 0.462231 0.681295 -0.07376 0.037946
65 Prima Alloy Steel Universal Tbk PRAS 1.483284 -0.0284 -0.0641 -2.75228 -0.64965
66 Selamat Sempurna Tbk SMSM -0.1582 -0.34901 0.170597 -0.01021 -0.07223
67 Indo- Rama Syntetic INDR -0.59097 1.318182 -0.00875 -0.01561 -0.0986
68 Pan Brothers Tbk PBRX -1.0431 0.094097 0.013923 -0.00681 -0.17259
69 Roda Vivatex Tbk RDTX 0.120125 -0.56193 -0.17083 0.176421 -0.111
70 Ricky Putra Globalindo Tbk RICY -0.62563 -18.6669 45.91219 -0.03266 -0.24902
71 Sepatu Bata Tbk BATA 0.040957 0.163853 0.049193 -0.01411 -0.0706
72 Davomas Abadi Tbk DAVO 0.330314 0.596239 0.594494 -0.00014 -0.57323
73 Delta Djakarta Tbk DLTA 4.957764 0.130987 0.134559 -0.07036 0.631356
74 Indofood Sukses Makmur Tbk INDF -0.9991 -0.37614 0.044571 0.003231 -0.26072
75 Multi Bintang Indonesia Tbk MLBI 0.369254 -1.16341 -0.00531 -0.01058 0.023832
76 Mayora Indah Tbk MYOR -0.19195 -0.16008 -0.13433 0.008598 -0.3006
77 Siantar Top Tbk STTP -1.26601 0.545069 -0.03593 0.001243 -0.2396
78 Ultra Jaya Milk Ind Tbk. ULTJ 7.820074 38.73131 0.007012 -0.09718 -0.28928
79 Gudang Garam Tbk GGRM -0.60489 -0.06517 -0.00423 0.051717 -0.18345
80 Kimia Farma Tbk. KAEF -1.23852 0.135651 0.350819 0.050322 -0.31395
81 Kalbe Farma Tbk KLBF -0.49865 2.282932 0.630964 -0.02786 0.344939
82 Merck Indonesia Tbk MERK -0.14072 -0.07789 0.215397 0.015854 -0.10128
83 Pyridam Farma Tbk PYFA 0.144226 0.100677 0.308855 -0.01017 -0.28989
84 Tempo Scan Pasific Tbk TSPC 0.324635 0.102524 0.004208 0.009342 -0.22304
85 Mandom Indonesia Tbk TCID 0.243251 0.195773 0.384588 -0.01976 -0.08398
86 Unilever Indonesia Tbk UNVR 0.12295 -0.22166 0.163871 0.111556 0.093753
85
Kinerja Perusahaan 2004-2005 No Nama Emiten Kode
DAK DMK DLA DLV CAR
87 Indocement Tunggal Perkasa Tbk INTP 5.325558 1.723671 1451.099 -0.061 0.333999
88 Asahimas Flat Galss. Tbk AMFG 0 0.598975 3.671156 0.018658 -0.16324
89 Arwana Citramulia. Tbk ARNA 0.871831 2.637677 0.329326 -0.67273 -0.26346
90 Surya Toto Indonesia Tbk. TOTO -0.01004 -0.17521 0.007131 0.045136 0.039152
91 Citra Tubindo Tbk. CTBN 0.984144 0.276438 50.27465 -0.10007 0.747362
92 Lion Metal Works Tbk LION 1.505204 0.154167 861.9655 -0.01724 0.028325
93 Lionmesh Prima Tbk. LMSH -1.0765 0.126767 -0.21835 -0.01924 -0.31977
94 Budi Acid Jaya Tbk. BUDI 0.674753 -0.19007 -0.08712 -0.01058 0.326953
95 Colorpark Indonesia Tbk CLPI 0.014377 0.195148 0.86174 -0.03621 0.755159
96 Ekadharma Tape Ind Tbk EKAD -231.6 -0.01829 -0.37553 -0.02705 -0.48968
97 Intan wijaya Interansional Tbk INCI -1.58874 0.10477 -0.19879 -0.02346 -0.41575
98 Sorini Corporation Tbk SOBI -0.90595 0.651188 -0.1025 -0.11 0.301185
99 Unggul Indah Cahaya UNIC -5.88995 -0.30109 -0.27515 0.04486 -0.95264
100 Berlina Tbk BRNA -0.40649 -0.12761 -0.48371 0.047279 0.02177
101 Dynaplast Tbk DYNA -0.28633 0.820313 -0.41338 0.02267 -0.39733
102 Kageo Igar Jaya Tbk IGAR -6.08531 0.211254 -0.28409 -0.01334 0.02177
103 Trias Sentosa TRST -2.53925 -0.00123 0.086581 -0.0155 -0.13829
104 Fajara Surya wisesa Tbk FASW -0.16028 0.506518 -0.00469 -0.02421 0.04056
105 Astra Inti Tbk ASII -1.00056 -8.35207 0 0.026281 0.295188
106 Astra Otopart Tbk AUTO 0.544354 0.742489 0.237335 -0.03464 -0.05406
107 Indo Kordsa Tbk BRAM -0.19587 0.122777 0.579827 -0.04156 0.053042
108 Prima Alloy Steel Universal Tbk PRAS -0.33248 -0.20808 -0.3219 -0.02801 -0.31184
109 Selamat Sempurna Tbk SMSM 2.133452 0.052395 0.148635 -0.00336 0.301034
110 Indo- Rama Syntetic INDR 0.505326 0.254902 -0.12085 -0.02662 -0.08032
111 Pan Brothers Tbk PBRX 22.2514 -0.02446 1.721325 0.002503 -0.10973
112 Roda Vivatex Tbk RDTX 0.175487 -0.7353 0.230723 0.049143 0.004794
113 Ricky Putra Globalindo Tbk RICY 0.843979 0.093757 1.138098 0.185316 0.668711
114 Sepatu Bata Tbk BATA -0.00729 -0.0422 -0.28449 0.006682 -0.05399
115 Davomas Abadi Tbk DAVO -0.81529 0.406511 -0.0601 -0.12197 2.239729
116 Delta Djakarta Tbk DLTA -0.6036 0.230175 0.261683 -0.0473 -0.56133
117 Indofood Sukses Makmur Tbk INDF 5.964849 -0.00425 -0.2077 0.024811 0.275329
118 Multi Bintang Indonesia Tbk MLBI -0.03721 20.27552 0.203003 0.0942 -0.03746
119 Mayora Indah Tbk MYOR 0.513622 -0.05496 -0.28412 0.02476 0.612084
120 Siantar Top Tbk STTP -0.29545 0.13879 -0.56494 -0.03005 0.222248
121 Ultra Jaya Milk Ind Tbk. ULTJ 0.002023 -0.55102 -0.29289 0.027122 0.293745
122 Gudang Garam Tbk GGRM 0.89639 0.134441 0.078962 -0.00588 -0.21932
123 Kimia Farma Tbk. KAEF -1.4077 0.122206 -0.32067 -0.0029 0.00115
124 Kalbe Farma Tbk KLBF 0.736629 0.2266 -0.38687 -0.003 0.215439
125 Merck Indonesia Tbk MERK -0.29622 0.318799 -0.0111 -0.02842 0.347788
126 Pyridam Farma Tbk PYFA -0.65315 0.065628 0.152228 -0.05064 0.063303
127 Tempo Scan Pasific Tbk TSPC -0.29935 -0.02705 -0.07858 0.038365 -0.62632
128 Mandom Indonesia Tbk TCID 0.109833 0.186492 0.027883 -0.00762 0.93693
129 Unilever Indonesia Tbk UNVR 0.175362 -0.29568 -0.00263 0.021007 0.278208
86
Kinerja Perusahaan 2005-2006 No Nama Emiten Kode
DAK DMK DLA DLV CAR
130 Indocement Tunggal Perkasa Tbk INTP 0.7933 -0.28494 -0.1205 0.0587 0.208956
131 Asahimas Flat Galss. Tbk AMFG -0.27408 -0.13761 -0.99453 1.217986 -0.00857
132 Arwana Citramulia. Tbk ARNA -0.33421 0.259612 -0.11214 0.654437 0.249625
133 Surya Toto Indonesia Tbk. TOTO 1.174253 0.447605 0.163184 -0.05763 0.049698
134 Citra Tubindo Tbk. CTBN 2.372692 0.29673 2.978162 0.009768 0.412126
135 Lion Metal Works Tbk LION 0.692937 0.162511 0.039679 -0.01722 -0.06157
136 Lionmesh Prima Tbk. LMSH -2.78976 0.054552 -0.40925 0.001052 0.086736
137 Budi Acid Jaya Tbk. BUDI 1.600194 -0.9985 -0.12393 0.088622 0.438066
138 Colorpark Indonesia Tbk CLPI -0.17198 0.168441 0.351427 -0.02518 0.277755
139 Ekadharma Tape Ind Tbk EKAD -1.18842 0.109038 0.173798 0.006198 -0.22797
140 Intan wijaya Interansional Tbk INCI -2.97572 -0.02401 -0.69664 -0.02406 0.068274
141 Sorini Corporation Tbk SOBI 1.857746 0.150274 -0.33623 0.000436 0.379114
142 Unggul Indah Cahaya UNIC -2.49315 0.071724 -0.37915 -0.06014 -0.01537
143 Berlina Tbk BRNA 0.06426 -0.39694 -0.4873 0.023717 0.109245
144 Dynaplast Tbk DYNA -0.1115 0.993322 -0.28337 -0.01388 -0.20475
145 Kageo Igar Jaya Tbk IGAR -0.06888 0.116596 -0.48436 -0.05236 0.096527
146 Trias Sentosa TRST -6.37119 -0.70848 -0.99902 0.032382 0.118954
147 Fajara Surya wisesa Tbk FASW -0.11558 0.293435 -0.02649 -0.00571 1.2094
148 Astra Inti Tbk ASII -4060.51 -0.24651 -0.01902 -0.01972 0.505906
149 Astra Otopart Tbk AUTO 0.412991 -0.03149 -0.46506 -0.02556 0.013166
150 Indo Kordsa Tbk BRAM 0.388478 -0.00207 -0.7013 0.014895 -0.14576
151 Prima Alloy Steel Universal Tbk PRAS 0.680797 -0.5868 -0.9125 -0.02017 0.385266
152 Selamat Sempurna Tbk SMSM -0.51704 0.083923 -0.04164 -0.00961 0.089463
153 Indo- Rama Syntetic INDR 0.492845 -0.625 -0.36685 0.049226 0.236863
154 Pan Brothers Tbk PBRX 3.620735 -0.72536 -0.0098 0.06963 0.331713
155 Roda Vivatex Tbk RDTX 0.984597 -6.91776 -1.01468 0.069182 0.127312
156 Ricky Putra Globalindo Tbk RICY 0.119736 -0.0029 0.133717 0.046874 0.107128
157 Sepatu Bata Tbk BATA 0.65737 0.175261 -0.1621 0.026804 0.354674
158 Davomas Abadi Tbk DAVO 4.913406 0.389577 0.725992 -0.04723 -0.40936
159 Delta Djakarta Tbk DLTA -0.54259 0.106877 -0.29622 -0.03151 -0.29549
160 Indofood Sukses Makmur Tbk INDF -0.81518 -0.42744 0.188399 -0.00887 0.337909
161 Multi Bintang Indonesia Tbk MLBI 0.153724 0.764699 0.0382 0.025445 -0.02303
162 Mayora Indah Tbk MYOR 2.773939 -0.99878 0.825939 -0.0266 -0.00538
163 Siantar Top Tbk STTP 1.732928 0.127603 -0.28962 0.008633 0.420331
164 Ultra Jaya Milk Ind Tbk. ULTJ 1.997056 -0.57255 0.080891 0.005154 0.332445
165 Gudang Garam Tbk GGRM 0.203891 0.118942 -0.30437 -0.03158 -0.18451
166 Kimia Farma Tbk. KAEF 3.583704 0.048149 -0.28432 -0.03144 0.469939
167 Kalbe Farma Tbk KLBF 0.451426 0.002333 -0.09169 0.039741 -0.02782
168 Merck Indonesia Tbk MERK 1.344507 0.485606 0.457779 -0.01751 0.104575
169 Pyridam Farma Tbk PYFA -2.71792 0.373364 0.446115 -0.04784 0.395247
170 Tempo Scan Pasific Tbk TSPC -0.21098 0.087493 -0.11344 -0.00467 -0.18249
171 Mandom Indonesia Tbk TCID -0.02435 0.393953 0.076718 0.009361 0.051112
172 Unilever Indonesia Tbk UNVR 0.306852 0.034458 0.199452 -0.35475 -0.07332
Sumber : JSX Tahun 2002-2006 (diolah)
87
LAMPIRAN 3 Daftar Tingkat Risk Free
Tahun 2003 2004 2005 2006 2007
Bulan Risk Free
(Rf) Risk Free
(Rf) Risk Free
(Rf)
Risk Free (Rf)
Risk Free (Rf)
Januari 0.007083 0.006083 0.01 0.01 0.006875Februari 0.007083 0.006083 0.01 0.01 0.006875Maret 0.007083 0.006083 0.01 0.01 0.006875April 0.007083 0.006083 0.01 0.01 0.006875Mei 0.007083 0.006083 0.01 0.01 0.006875Juni 0.007083 0.006083 0.01 0.01 0.006875Juli 0.007083 0.006083 0.01 0.01 0.006875Agustus 0.007083 0.006083 0.01 0.01 0.006875September 0.007083 0.006083 0.01 0.01 0.006875Oktober 0.007083 0.006083 0.01 0.01 0.006875November 0.007083 0.006083 0.01 0.01 0.006875Desember 0.007083 0.006083 0.01 0.01 0.006875
Jumlah 0.084996 0.072996 0.12 0.12 0.0825Sumber : Bank Indonesia, Tahun 2003-2007 (Diolah)
88
LAMPIRAN 4 Daftar Return Market (Rm)
Tahun 2004 2005 2006 2007
Bulan Return
Market(RM) Return
Market(RM) Return
Market(RM) Return
Market(RM) Januari 0.0870453 0.04490384 0.058818 0.017168Februari 0.0122903 0.02732088 -0.00067 -0.01529Maret -0.0320402 0.00748738 0.073603 0.012432April 0.064903 -0.04633907 -0.08965 0.10309Mei -0.0596002 0.0562882 -0.0107 0.029177Juni 0.001198 0.0314522 -0.01070094 0.036052Juli 0.034175127 0.05264 0.032266 0.111919Agustus -0.00232881 -0.114228566 0.058225 -0.05211September 0.084077428 0.029901675 0.070524 0.04019Oktober 0.04937173 -0.01158484 0.031039 0.129825November 0.128821323 0.28937594 0.083782 0.017412Desember 0.024158041 0.059442988 0.050406 0.035735Jumlah RM 0.392071039 0.426660627 0.34694206 0.4656Sumber Data: JSX, Tahun 2004-2007 (diolah)
89
LAMPIRAN 5: Perhitungan Cummulative Abnormal Return (CAR)
Tabel 1. Tabulasi Abnormal Return PT. Indocement Tunggal Perkasa Tbk
2004 2005 2006 2007 Bulan Return Return Return Return Jan 0.12941 0.12195 0.112676 -0.069565 Feb -0.010416667 -0.085695 0.12025 0.074766355 Maret -0.2 0.11111 0.022598 -0.11304347 April 0 -0.05357 0.1049723 0.117647 Mei -0.18421 0.207547 -0.23 -0.10526 Juni -0.08064 0.078125 0.090909 0.117647 Juli 0.122807 0.043478 0 0.1403508 Agustus 0 -0.1875 0.089285714 -0.0153846 September 0.2171875 -0.008547 0.0765027 -0.046875 Oktober -0.01282 0.137931 0.015228 0.34426229 November 0.80649 -0.0227272 0.07 -0.060907581 Desember 0.060344 0.100775 0.07476635 0.064935065 Jumlah return saham 0.848151833 0.4428768 0.547188064 0.448572859 Rata-rata return saham 0.070679319 0.0369064 0.045599005 0.037381072 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata (Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.777472514 0.4059704 0.501589059 0.411191787 (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.009471133 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean (Rm))² Jumlah 8.97024E-05 0.011587173 0.005949124 0.013544939
Varians (Rm) 4.48512E-05 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) -0.000258212 0.003641681 0.003223987 0.003987968 Beta saham ( ß ) -5.757072367 0.628571039 1.083852746 0.588849965 Rm- Rf -0.0132933 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) 0.07653049 -0.053079649 -0.103734263 -0.025732743 E ( R ) 0.10403049 0.066920351 0.017365737 0.056767257 A R -0.22671399 0.375956449 0.529822327 0.391805602
Sumber Data: JSX, 2004-2007
90
LAMPIRAN 5: Lanjutan
Tabel 2. Tabulasi Abnormal Return PT Asahimas Flat Glass, Tbk 2004 2005 2006 2007 Bulan Return Return Return Return Jan 0.1898734 0.069767 0.0075187 -0.034188 Feb -0.0212765 0.065217391 0.074626 0 Maret 0.021739 0.0308122 0 -0.0884955 April -0.053191489 0 -0.0208333 0.0776699 Mei -0.134831 0.089101089 -0.1489361 0.135135 Juni -0.064935 -0.03636 -0.2166667 0.031746 Juli 0.05555 0.0188679 -0.06382987 0.061538 Agustus 0 -0.055555 0 -0.043478 September 0.0263157 0.1372549 0.272727 -0.030303 Oktober 0.025641 0.2844827 0.008928571 0 November 0.2 -0.14093959 -0.008849558 -0.0625 Desember -0.10416667 0.0390625 0.044642857 0.0666667 Jumlah return saham 0.140718441 0.50171109 -0.0506724 0.1137911 Rata- rata return saham 0.011726537 0.041809258 -0.0042227 0.009482592 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Jumlah 0.128991904 0.459901833 -0.0464497 0.104308508
(Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) Jumlah 0.009471133 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² Jumlah 8.97024E-05 0.011587173 0.005949124 0.013544939 Varians (Rm) 4.48512E-05 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0.000101808 0.004125463 -0.000298558 0.001011642 Beta saham ( ß ) 2.269913214 0.712074015 -0.100370281 0.149375701 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) -0.091312737 -0.060131053 0.009606321 -0.006527718 E ( R ) -0.018412737 0.059868947 0.130706321 0.075972282 A R 0.159131178 0.441842143 -0.181378721 0.037818818
Sumber Data: JSX, 2004-2007
91
LAMPIRAN 5: Lanjutan
Tabel 3. Tabulasi Abnormal Return PT. Arwana Citramulia, Tbk 2004 2005 2006 2007 Bulan Return Return Return Return Jan 0.0847457 -0.0508474 0 -0.0208333 Feb -0.09375 0 0 0.042553191 Maret 0.017241379 0.053571429 -0.03448257 0 April -0.0169491 0.016949 0.0357 0.244897959 Mei -0.086206 0 0 0.016393443 Juni 0.037735 0 -0.017241379 0.145161 Juli -0.163636 0 0.0701754 -0.12676056 Agustus 0 -0.033333 -0.032786885 0.048387097 September 0.0178571 -0.034482759 -0.016949153 0.061538462 Oktober -0.052631579 0 0 0.057971014 November 0 0 -0.155172414 -0.0136986 Desember 0.092592593 0.035714286 -0.020408163 0.055555 Jumlah return saham -0.163000907 -0.012428444 -0.171165164 0.511164706 Rata- rata return saham -0.013583409 -0.001035704 -0.014263764 0.042597059 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Jumlah -0.149417498 -0.01139274 -0.1569014 0.468567647
(Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² Jumlah 0.129167248 0.011587173 0.005949124 0.013544939 Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) -0.004475035 -0.000102196 -0.001008491 0.004544432 Beta saham ( ß ) -0.06929055 -0.017639578 -0.339038523 0.671015451 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) 0.00278738 0.001489573 0.032448976 -0.029323375 E ( R ) 0.07568738 0.121489573 0.153548976 0.053176625 A R -0.238688287 -0.133918017 -0.32471414 0.457988081
Sumber Data: JSX, 2004-2007
92
LAMPIRAN 5: Lanjutan
Tabel 4. Tabulasi Abnormal Return PT Surya Toto Indonesia, Tbk 2004 2005 2006 2007 Bulan Return Return Return Return Jan -0.03225805 0 0 0.060606 Feb 0 0 0 0 Maret -0.011111 0 0 0 April 0.1235955 0 0.1666667 0 Mei -0.3 0 0 0 Juni 0.4285714 0 0 0 Juli 0 0 0 0.142857143 Agustus 0 0 -0.042857143 0 September 0 0 1 0 Oktober 0 0 -0.507462687 0 November 0.1 0 0 0 Desember 0.090909 0 0 0 Jumlah return saham 0.39970685 0 0.61634687 0.203463143 Rata- rata return saham 0.033308904 0 0.051362239 0.016955262 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Jumlah 0.366397946 0 0.564984631 0.186507881
(Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² Jumlah 0.129167248 0.011587173 0.005949124 0.013544939 Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0.010973571 0 0.003631465 0.001808858 Beta saham ( ß ) 0.169912597 0 1.220840313 0.267089866 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) -0.006835144 0 -0.116845181 -0.011671827 E ( R ) 0.066064856 0.12 0.004254819 0.070828173 A R 0.333641994 -0.12 0.612092051 0.13263497
Sumber Data: JSX, 2004-2007
93
LAMPIRAN 5: Lanjutan
Tabel 5. Tabulasi Abnormal Return PT. Citra Tubindo, Tbk 2004 2005 2006 2007 Bulan Return Return Return Return Jan 0 0 0.058823529 0 Feb 0 0 0 0 Maret 0 0 0 0 April 0 0 0.111111 0 Mei 0 0 0 0.41176706 Juni 0 0 0 0.05 Juli 0 0 0.1 0 Agustus 0 0 0 0.228070175 September 0 0 0.272727273 0 Oktober 0 0.0625 0.071428571 0 November 0 0 0.33333 0 Desember 0 0 0.096774194 0.071428571 Jumlah return saham 0 0.0625 1.044194567 0.761265806 Rata- rata return saham 0 0.005208333 0.087016214 0.063438817 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Jumlah 0 0.057291667 0.957178353 0.697826989
(Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² Jumlah 0.129167248 0.011587173 0.005949124 0.013544939 Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0 0.000513924 0.006152309 0.006767917 Beta saham ( ß ) 0 0.088705685 2.068307448 0.999327834 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) 0 -0.007490747 -0.197955257 -0.043670626 E ( R ) 0.0729 0.112509253 -0.076855257 0.038829374 A R -0.0729 -0.050009253 1.121049824 0.722436432
Sumber Data: JSX, 2004-2007
94
LAMPIRAN 5: Lanjutan
Tabel 6. Tabulasi Abnormal Return PT Lion Metal Works, Tbk 2004 2005 2006 2007 Bulan Return Return Return Return Jan 0.088235294 -0.088235294 0 -0.066818181 Feb -0.027027027 0.096774194 -0.025 0 Maret 0.0277778 0.029411765 0.051282051 -0.02439 April 0.081081081 0.022857143 -0.12195122 -0.05 Mei 0 0.117318436 -0.1611111 0.31578947 Juni 0.1 0.075 -0.07284768 -0.2 Juli 0 -0.069767442 -0.03571428 0.025 Agustus 0 -0.1 0.037037037 -0.092682927 September 0 0 0.071428571 0.04838709 Oktober 0.259259 0.11111 0.333333 0 November 0 -0.0875 -0.025 0 Desember 0 0.095890411 0.1282051 0.076923077 Jumlah return saham 0.529326148 0.202859213 0.179661479 0.032208529 Rata- rata return saham 0.044110512 0.016904934 0.01497179 0.002684044 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata (Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Jumlah 0.485215636 0.185954279 0.164689689 0.029524485
(Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² Jumlah 0.129167248 0.011587173 0.005949124 0.013544939 Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0.014532146 0.001668068 0.001058551 0.000286345 Beta saham ( ß ) 0.225012857 0.287916247 0.355867754 0.042280737 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) -0.009051685 -0.024313072 -0.034059681 -0.001847668 E ( R ) 0.063848315 0.095686928 0.087040319 0.080652332 A R 0.465477833 0.107172285 0.09262116 -0.048443803
Sumber Data: JSX, 2004-2007
95
LAMPIRAN 5: Lanjutan
Tabel 7. Tabulasi Abnormal Return PT. Lionmesh Prima, Tbk 2004 2005 2006 2007 Bulan Return Return Return Return Jan 0.5909009 -0.01639344 0 0 Feb -0.01142857 0.186667 0 -0.052941176 Maret 0.193548387 0.06741573 0 0 April -0.054505405 0 0 0 Mei 0 0 0 0 Juni 0.342857143 0 0 0.055900621 Juli -0.148936 0 0 0.235294118 Agustus 0 0 -0.315789474 0 September 0 0 0 -0.119047619 Oktober 0.15 0 0.076923077 -0.027027027 November 0.326086957 0 0 -0.0055556 Desember 0 0 0 0.17384358 Jumlah return saham 1.388523412 0.23768929 -0.238866397 0.260466897 Rata-rata return saham 0.115710284 0.019807441 -0.019905533 0.021705575 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Jumlah 1.272813127 0.217881849 -0.218960864 0.238761322
(Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean
(Rm) Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))² Jumlah 0.129167248 0.011587173 0.005949124 0.013544939 Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0.038120589 0.001954468 -0.001407381 0.002315641 Beta saham ( ß ) 0.590251627 0.337350261 -0.473138976 0.341919758 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) -0.023744296 -0.028487525 0.045283571 -0.014941893 E ( R ) 0.049155704 0.091512475 0.166383571 0.067558107 A R 1.339367708 0.146176815 -0.405249968 0.19290879
Sumber Data: JSX, 2004-2007
96
LAMPIRAN 5: Lanjutan
Tabel 8. Tabulasi Abnormal Return PT Budi Acid Jaya, Tbk 2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.1 0.045454 0.052631579 0.019354839
Feb -0.045454 0.43478261 0 0.221518987
Maret -0.095238 0.0833333 0 -0.051813472
April 0.052631579 -0.115384615 0.05 0.229508197
Mei -0.1 0 0.095238095 0.111111
Juni 0.222222 0 -0.130434783 0.22
Juli 0.090909 0 0.05 0.245901639
Agustus 0 -0.217391304 0.047619048 0.026315789
September 0.095238095 0.11111 0.1363636 -0.08974359
Oktober -0.04347826 -0.05 -0.04 -0.056338028
November 0.090909 -0.052631579 0.2083333 -0.074626866
Desember -0.083333 0.0555556 0.068965517 0
Jumlah return saham 0.284406414 0.294828012 0.538716356 0.801188495
Rata-rata return saham 0.023700535 0.024569001 0.04489303 0.066765708
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata Rm 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.26070588 0.270259011 0.493823326 0.734422787
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.007808107 0.002424307 0.003174073 0.007122844
Beta saham ( ß ) 0.120899185 0.418446733 1.067072255 1.051735093
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.004863461 -0.035335712 -0.102128222 -0.045960824
E ( R ) 0.068036539 0.084664288 0.018971778 0.036539176
A R 0.216369875 0.210163724 0.519744578 0.764649319 Sumber Data: JSX, 2004-2007
97
LAMPIRAN 5: Lanjutan Tabel 9. Tabulasi Abnormal Return PT. Colorpak Indonesia, Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.01041667 -0.0208333 0.049382716 0.010204082 Feb 0.21052632 0.021276596 -0.011764706 0.555556 Maret -0.010309278 -0.03125 0.011904762 0.025974026 April -0.01041667 -0.053763441 0.011764706 -0.006329114 Mei -0.04210526 -0.011363636 0 -0.038216561 Juni 0.065934066 0.057471264 -0.046511628 -0.00662251 Juli -0.030927835 0.02173913 0.048780488 0.0066667 Agustus 0 -0.063829787 0.058139535 0 September 0.0105263 -0.022727273 0.043955604 0.01986755 Oktober -0.0208333 -0.046511628 0.010526316 -0.025974026 November 0 0.012195122 0.27083333 0
Desember 0.021276596 -0.024096386 0.606557377 0.0133333
Jumlah return saham 0.204087609 -0.161693339 1.0535685 0.554459447
Mean return saham 0.017007301 -0.013474445 0.087797375 0.046204954
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata (Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.187080308 -0.148218894 0.965771125 0.508254493
(Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.005603031 -0.00132957 0.00620754 0.004929337
Beta saham ( ß ) 0.08675622 -0.229489895 2.086875038 0.727849266
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.003489978 0.019379262 -0.199732339 -0.031807013
E ( R ) 0.069410022 0.139379262 -0.078632339 0.050692987
A R 0.134677587 -0.301072601 1.13220084 0.50376646 Sumber Data: JSX, 2004-2007
98
LAMPIRAN 5: Lanjutan
Tabel 10. Tabulasi Abnormal Return PT Ekadharma Internasional, Tbk 2004 2005 2006 2007
Bulan Return Return Return Return Jan 0.263157 0.20408163 0 -0.125 Feb -0.8416667 0.3 0 0.071428571 Maret -0.131578947 0 0 0 April -0.1212121 -0.076923077 0.058823529 -0.06666667 Mei 0.137931034 0 0.13888889 -0.014285714 Juni -0.090909 0.083333 -0.01369863 -0.050724638 Juli 0.1666667 -0.015384615 -0.125 0.083969466 Agustus 0 0 0.111111 -0.147887324 September 0.21212 -0.046875 -0.085714286 0.115702479 Oktober 0 0.131147541 -0.46875 0.007407407 November 0.15 -0.02899 -0.058823529 -0.036764706 Desember 0.065217391 0.01492537 0 -0.061068702 Jumlah return Saham -0.190274622 0.565314849 -0.443163026 -0.223889831 Rata- rata return saham -0.015856219 0.047109571 -0.036930252 -0.018657486 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah -0.174418404 0.518205278 -0.406232774 -0.205232345 (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727 (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939 Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) -0.005223809 0.004648463 -0.00261108 -0.001990458 Beta saham ( ß ) -0.080884416 0.802346256 -0.877803253 -0.29390436 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) 0.003253771 -0.067754088 0.08401351 0.012843621 E ( R ) 0.076153771 0.052245912 0.20511351 0.095343621 A R -0.266428393 0.513068937 -0.648276536 -0.319233452
Sumber Data: JSX, 2004-2007
99
LAMPIRAN 5: Lanjutan
Tabel 11. Tabulasi Abnormal Return PT. Intanwijaya Internasional, Tbk 2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.05 0.011363636 -0.01369863 0.06122449 Feb 0.063492063 0.168539326 -0.013888889 0.057692308 Maret -0.089552239 -0.038461538 0.014084507 -0.0181818 April -0.049180328 -0.12 0.0972222 0.12962963 Mei 0.034482759 0.090909091 -0.202531646 0.147540984 Juni 0 0 -0.063492063 -0.085714286 Juli 0.15 0.052083333 -0.084745763 0.109375 Agustus 0 -0.120879121 -0.018518519 -0.267605634 September 0.174603175 -0.0125 0.075471698 0.192307692 Oktober 0.364864865 0.050632911 -0.035087719 -0.080645161 November -0.049450495 -0.08 -0.1090909 -0.070175439
Desember 0.0833333 0.057971014 0 0.056603774
Jumlah return saham 0.7325931 0.059658652 -0.354275724 0.232051558
Mean return saham 0.061049425 0.004971554 -0.029522977 0.01933763
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata (Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.671543675 0.054687098 -0.324752747 0.212713928
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.020112646 0.00049056 -0.002087364 0.002063019
Beta saham ( ß ) 0.311420222 0.084672986 -0.701738107 0.304618412
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.01252763 -0.007150206 0.067162523 -0.013311825
E ( R ) 0.06037237 0.112849794 0.188262523 0.069188175
A R 0.67222073 -0.053191142 -0.542538247 0.162863383 Sumber Data: JSX, 2004-2007
100
LAMPIRAN 5: Lanjutan
Tabel 13. Tabulasi Abnormal Return PT. Unggul Indah Jaya, Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan -0.1333333 0.01980198 0.04347826 -0.036697248 Feb -0.048076923 0.067961165 0.0833333 0.038095238 Maret -0.1212121 0.090909091 0.169230769 0.027522936 April 0.045977011 0.06666667 0.013157895 0.017857143 Mei 0.054945055 -0.0625 -0.12376623 0.052631579 Juni 0 0.2 -0.185185185 -0.275 Juli 0.17708333 0.13888889 0.05454545 0.24137931 Agustus 0 -0.195121951 -1 0.02777778 September 0.117647059 0.0606061 -0.068965517 0 Oktober 0.010526316 -0.228571429 0.0555555 0.009009009 November -0.125 0.0747074 0.035087719 -0.026785714
Desember 0.202380952 -0.00862069 -0.076271186 0.027522936
Jumlah return saham 0.1809374 0.224727226 -0.999799225 0.103312969
Rata- rata return saham 0.015078117 0.018727269 -0.083316602 0.008609414
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.165859283 0.205999957 -0.916482623 0.094703555
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean
(Rm))² (Rm - Mean
(Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.004967464 0.001847884 -0.005890735 0.000918488
Beta saham ( ß ) 0.076915228 0.318953321 -1.980370564 0.135620863
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.003094101 -0.026933996 0.189538922 -0.005926632
E ( R ) 0.069805899 0.093066004 0.310638922 0.076573368
A R 0.111131501 0.131661222 -1.310438147 0.026739601 Sumber Data: JSX, 2004-2007
101
LAMPIRAN 5: Lanjutan
Tabel 14. Tabulasi Abnormal PT. Berlina, Tbk
2004 2005 2006 2007
Bulan Return Return Return Return Jan -0.0625 0.01016949 0.1 0.220779221Feb -0.01666667 0.006711409 -0.0454545 0.042553191Maret -0.11864406 0.0066667 -0.047619048 -0.112244898April 0.0576923 -0.066225166 -0.05 -0.045977011Mei -0.072727273 -0.219858156 -0.105263158 0.072289157Juni -0.058823529 0.272727273 0.176470588 0.011235955Juli 0.10416667 0 -0.09 0.05555556Agustus 0 -0.142857143 0.131868132 -0.063157895September 0.01754386 0.04166667 0.025316456 0.06741573Oktober 0.034482759 -0.2 0.038961039 0.094736842November 0.016666667 -0.1 0 -0.048076923Desember -0.032786885 0.111111 0.0375 0
Jumlah return saham -0.131596161 -0.279887923 0.171779509 0.295108929Rata- rata return saham -0.010966347 -0.023323994 0.014314959 0.024592411Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Jumlah -0.120629814 -0.256563929 0.15746455 0.270516518
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247Covarians (Ri,Rm) -0.003612847 -0.002301458 0.001012111 0.002623621Beta saham ( ß ) -0.055940611 -0.397242399 0.340255398 0.387395
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437(Rm-Rf)x ( ß ) 0.002250346 0.033545114 -0.032565441 -0.016929161E ( R ) 0.075150346 0.153545114 0.088534559 0.065570839A R -0.206746507 -0.433433037 0.08324495 0.22953809 Sumber Data: JSX, 2004-2007
102
LAMPIRAN 5: Lanjutan
Tabel 15. Tabulasi Abnormal Return PT. Dynaplast, Tbk 2004 2005 2006 2007 Bulan Return Return Return Return Jan 0.196428571 -0.06111111 0 -0.1 Feb 0.071462687 -0.023668639 0 0.1388889 Maret -0.013888889 0.0060606 -0.1043478 0.1707317 April -0.084507042 -0.06626506 -0.04854368 0.04166667 Mei -0.092307692 -0.051612903 -0.1632653 -0.1 Juni -0.050847458 -0.047619048 -0.024390244 0.04444444 Juli 0.125 0.035714286 -0.0625 -0.010638298 Agustus 0 -0.2 0.04 -0.1397849 September 0.050847458 0.034482759 0 0.1125 Oktober -0.016129032 0 0 -0.056179775 November 0.196721311 -0.04166667 0.0897435 -0.119047619 Desember -0.01369863 0 -0.058823529 0 Jumlah return saham 0.369081284 -0.415685785 -0.332127053 -0.017418882 Rata- rata return saham 0.030756774 -0.034640482 -0.027677254 -0.001451574 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean
(Ri) Jumlah 0.33832451 -0.381045303 -0.304449799 -0.015967309
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean
(Rm) Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean
(Rm))² Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0.010132775 -0.003418095 -0.001956865 -0.00015486 Beta saham ( ß ) 0.156893882 -0.589979077 -0.657866722 -0.022866092 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) -0.006311435 0.049820752 0.062963645 0.000999248 E ( R ) 0.066588565 0.169820752 0.184063645 0.083499248 A R 0.302492719 -0.585506537 -0.516190698 -0.10091813
Sumber Data: JSX, 2004-2007
103
LAMPIRAN 5: Lanjutan
Tabel 16. Tabulasi Abnormal Return PT. Kageo Igar Jaya, Tbk 2004 2005 2006 2007 Bulan Return Return Return Return Jan 0.074074074 0.095230895 0.095238095 0.031578947 Feb -0.06899655 0.04347826 0 0.0918367 Maret -0.1111111 0.375 -0.043478261 0.093457944 April 0.04166667 -0.2424242 0.0454545 0.034188034 Mei -0.08 0.12 -0.043478261 0.049586778 Juni -0.173913 0.035714286 -0.1363636 0.165354331 Juli 0.157894737 -0.034482759 -0.105263158 -0.054054054 Agustus 0 -0.25 -0.135714286 September 0 0 0.058823529 0.140495868 Oktober 0 -0.047619048 0.1111111 -0.09420289 November 0.08695622 0 -0.1 0.016 Desember -0.16 0.05 0.0555556 -0.062992126 Jumlah return saham -0.233428949 0.144897434 -0.062400456 0.275535246 Rata- rata return saham -0.019452412 0.012074786 -0.005200038 0.02296127 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah -0.213976537 0.132822648 -0.057200418 0.252573975 (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727 (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939 Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) -0.00640857 0.00119146 -0.000367658 0.002449604 Beta saham ( ß ) -0.09922902 0.205651618 -0.123600842 0.36170026 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) 0.003991727 -0.01736624 0.01182969 -0.015806301 E ( R ) 0.076891727 0.10263376 0.13292969 0.066693699 A R -0.310320676 0.042263674 -0.195330146 0.208841547
Sumber Data: JSX, 2004-2007
104
LAMPIRAN 5 : Lanjutan
Tabel 17. Tabulasi Abnormal Return PT. Trias Sentosa, Tbk 2004 2005 2006 2007
Bulan Return Return Return Return
Jan -0.125 -0.073170732 0.03333333 0.034482759 Feb 0.040816327 0.026315789 -0.064516129 0.02 Maret 0.117664706 0.076923077 0 -0.052287582 April -0.02222222 -0.142857143 0 0.082758621 Mei -0.113636364 0.0277778 -0.103448276 0.496815287 Juni -0.025641026 -0.054054054 0.038461538 0.042553191 Juli 0.026315789 0.028571429 -0.037037037 0 Agustus 0 0.194444444 0.038461538 -0.06122449 September 0.1111111 0.034482759 0 0.04347826 Oktober 0.05 0.03333333 0 -0.19583333 November 0.023809524 0.068965517 0.07407407 -0.067357513
Desember -0.046511628 0.1111111 0 -0.0333333
Jumlah return saham 0.036706208 0.331843316 -0.020670966 0.310051903
Rata- rata return saham 0.003058851 0.02765361 -0.001722581 0.025837659
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.033647357 0.304189706 -0.018948386 0.284214244
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean
(Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.001007734 0.002728676 -0.000121792 0.002756469
Beta saham ( ß ) 0.015603553 0.470982219 -0.040944393 0.407010921
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.000627691 -0.039772069 0.003918739 -0.017786377
E ( R ) 0.072272309 0.080227931 0.125018739 0.064713623
A R -0.035566102 0.251615385 -0.145689705 0.24533828 Sumber Data: JSX, 2004-2007
105
LAMPIRAN 5 : Lanjutan
Tabel 18. Tabulasi Abnormal Return PT. Fajar Surya Wisesa Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.1153846 0.084210526 0.04 -0.613043478 Feb 0.034482759 0.106796117 -0.003846615 0.782022472 Maret -0.03333333 -0.061430351 0.04 0.649484536 April 0 -0.046728972 0 -0.017699115 Mei 0 0.019607843 0.048076923 0.054054054 Juni -0.172413793 0.038461538 -0.027522936 0.538461538 Juli 0 0 -0.009433962 0.556065928 Agustus 0 -0.064814815 -0.019047619 0.096544539 September 0.25 0.00990099 -0.019417476 -0.255423595 Oktober 0.06666667 -0.0980392 -0.01980198 -0.328370906 November 0.03125 0.054347826 -0.02020202 0.520582647
Desember 0.1515151 0.030927835 0.18556701 0.005649718
Jumlah return saham 0.443552006 0.073239337 0.194371325 1.988328338
Rata- rata return saham 0.036962667 0.006103278 0.01619761 0.165694028
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.406589339 0.067136059 0.178173714 1.82263431
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.012177298 0.000602231 0.00114522 0.017676929
Beta saham ( ß ) 0.188550867 0.103947929 0.385004549 2.610115725
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.007584914 -0.008777877 -0.03684833 -0.114062057
E ( R ) 0.065315086 0.111222123 0.08425167 -0.031562057
A R 0.37823692 -0.037982785 0.110119654 2.019890395 Sumber Data: JSX, 2004-2007
106
LAMPIRAN 5 : Lanjutan
Tabel 19. Tabulasi Abnormal Return PT. Astra Internasional, Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.04 0.046875 0.019607843 -0.054140127 Feb 0.038461538 0.074626866 -0.057669 0 Maret -0.009259259 0.0277778 0.147959184 -0.111111 April 0.065420561 0.004761905 0.06222222 0.090909 Mei 0.01754386 0.109004739 -0.179916318 0.13888889 Juni -0.051724138 0.08547008 -0.005102041 0.30487805 Juli 0.009090909 0.039370079 -0.015384615 0.109467456 Agustus 0.1441441 -0.2310606 0.15625 -0.048 September 0.078740157 -0.039408867 0.12162622 0.078431373 Oktober 0.1459854 -0.046153846 0.076305221 0.32987013 November 0.146496815 -0.021505376 0.190298507 0
Desember 0.0666667 0.120879121 -0.01567398 0.06640625
Jumlah return saham 0.691566643 0.170636901 0.500523241 0.905600022
Rata- rata return saham 0.057630554 0.014219742 0.04171027 0.075466669
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.633936089 0.156417159 0.458812971 0.830133354
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.018986304 0.001403111 0.002949042 0.008051099
Beta saham ( ß ) 0.293980161 0.242183411 0.991420546 1.188798053
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.011826061 -0.020451166 -0.094887687 -0.051950475
E ( R ) 0.061073939 0.099548834 0.026212313 0.030549525
A R 0.630492704 0.071088067 0.474310928 0.875050497 Sumber Data: JSX, 2004-2007
107
LAMPIRAN 5 : Lanjutan
Tabel 20. Tabulasi Abnormal Return PT. Astra Otoparts, Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.016129032 0.116883117 -0.017857143 -0.025641026 Feb -0.015873016 0.209302326 0.036363636 -0.043859649 Maret -0.14516129 0.019230769 0.01754386 -0.036697248 April 0.075471698 -0.132075472 0.034482759 0.0666667 Mei -0.105263158 0.195652174 -0.03333333 0.07142857 Juni -0.039215686 0.1272727 -0.034482759 -0.01666667 Juli -0.020408163 0.040322581 -0.0267857 0.11016949 Agustus 0 0.031007752 -0.002752294 -0.083969466 September -0.475409836 -0.052631579 0.037735849 0.0583333 Oktober 0.0625 0.023809524 -0.0272727 0.047244094 November 0.147058824 -0.085271318 -0.028037383 -0.015037594
Desember -0.012820513 -0.050847458 0.125 0.015267176
Jumlah return saham -0.512992108 0.442655116 0.080604795 0.147237677
Rata- rata return saham -0.042749342 0.036887926 0.006717066 0.012269806
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah -0.470242766 0.40576719 0.073887729 0.134967871
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) -0.01408371 0.003639858 0.000474917 0.001308994
Beta saham ( ß ) -0.218069371 0.628256405 0.15965942 0.193281647
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) 0.008772367 -0.053053079 -0.015280814 -0.008446408
E ( R ) 0.081672367 0.066946921 0.105819186 0.074053592
A R -0.594664475 0.375708195 -0.025214391 0.073184085 Sumber Data: JSX, 2004-2007
108
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Tabel 21. Tabulasi Abnormal Return PT. Indo Kordsa Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan -0.026315789 -0.0125 0.2765957 0.052631579 Feb 0.027027027 -0.012658228 0.09166667 0 Maret -0.1578947 0.025641 -0.045801527 0 April 0.125 0 -0.04 0 Mei 0 0.25 0 0 Juni -0.194444444 0.05 0 -0.15 Juli 0 0.047619048 0.041666667 0 Agustus 0 0 0 0 September 0.172413793 0.1363636 0 0 Oktober -0.117647059 -0.16 0.04 0 November 0.0666667 0 0.169230769 0
Desember 0 -0.104761905 0.25 0
Jumlah return saham -0.105194472 0.219703515 0.783358279 -0.097368421
Rata- rata return saham -0.008766206 0.018308626 0.065279857 -0.008114035
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah -0.096428266 0.201394889 0.718078422 -0.089254386
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) -0.002888014 0.001806575 0.004615483 -0.000865639
Beta saham ( ß ) -0.044717437 0.311823213 1.55165121 -0.127817344
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) 0.001798867 -0.026331895 -0.1485067 0.005585618
E ( R ) 0.074698867 0.093668105 -0.0274067 0.088085618
A R -0.179893339 0.12603541 0.810764979 -0.185454039 Sumber Data: JSX, 2004-2007
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Tabel 22. Tabulasi Abnormal Return PT. Prima Alloy Steel, Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.133333 -0.0375 0 -0.244444 Feb 0.073529412 0.025974026 0 0.470588235 Maret -0.123287671 -0.037974684 -0.074074074 -0.23 April 0.09375 0.026315789 0 0.220779221 Mei -0.057142857 0.08974359 -0.2 -0.074468085 Juni -0.015151515 0.023529412 -0.05 0.01149425 Juli 0.153846154 -0.045977011 0.1052663 0.590909 Agustus 0 0.072289157 0 0.08571428 September 0.428571429 -0.811688312 0 0.118421053 Oktober 0.5454545 -0.17241379 0 -0.1235294 November 0.3235294 0.1666667 -0.210526316 -0.120805369
Desember -0.28888889 -0.035714286 0.2 0.015267176
Jumlah return saham 1.267542962 -0.736749409 -0.22933409 0.719926361
Rata- rata return saham 0.10562858 -0.061395784 -0.019111174 0.059993863
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 1.161914382 -0.675353625 -0.210222916 0.659932498
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.034799186 -0.006058132 -0.001351218 0.006400395
Beta saham ( ß ) 0.538823681 -1.045661777 -0.454257685 0.945060773
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.021675483 0.088300854 0.043476465 -0.041299156
E ( R ) 0.051224517 0.208300854 0.164576465 0.041200844
A R 1.216318445 -0.945050263 -0.393910555 0.678725517 Sumber Data: JSX, 2004-2007
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Tabel 23. Tabulasi Abnormal Return PT. Selamat Sempurna. Tbk 2004 2005 2006 2007 Bulan Return Return Return Return Jan 0.0566377 0.034482759 0.0819672 -0.1142857 Feb -0.071428571 0.05 -0.06060606 0 Maret 0.057692308 0.031746032 0 0 April 0.090909 -0.076923077 0 -0.032258065 Mei -0.2166667 0 0.032258065 0.11666667 Juni 0.191489362 0 0 -0.074626866 Juli -0.125 0.0833333 0.01666667 0 Agustus 0.20408163 0 0 -0.032258065 September 0.18 -0.0461538 0.32786885 0.2833333 Oktober 0.101694915 0.080645161 0.079365079 0.11683117 November -0.061538462 -0.014925373 0.044117647 -0.034883721 Desember -0.049180328 -0.075757 -0.014084507 0.036144578 Jumlah return saham 0.358690854 0.066448002 0.507552944 0.264663301 Rata- rata return saham 0.029890905 0.005537334 0.042296079 0.022055275 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.32879995 0.060910669 0.465256865 0.242608026 (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727 (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939 Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0.009847516 0.000546388 0.00299046 0.002352949 Beta saham ( ß ) 0.152476983 0.094309049 1.005344758 0.347428456 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) -0.006133755 -0.007963923 -0.096220357 -0.015182624 E ( R ) 0.066766245 0.112036077 0.024879643 0.067317376 A R 0.291924609 -0.045588075 0.482673301 0.197345925
Sumber Data: JSX, 2004-2007
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Tabel 24. Tabulasi Abnormal Return PT. Indorama Syntetics Tbk
2004 2005 2006 2007 Bulan Return Return Return Return Jan 0.142857143 -0.008 0.1276595 0.0833333Feb -0.0833333 0.080645161 -0.13207547 0.019230769Maret -0.16363636 0.029850575 0.010869566 0.056603774April -0.07608087 -0.115942029 0 -0.053571429Mei -0.023529412 -0.016393443 0 0.056603774Juni -0.048192771 -0.0333333 -0.086021505 0.32142857Juli 0.037974684 -0.017241379 0 0.054054054Agustus 0.158536585 0 0.058882353 -0.08974359September 0.105263158 0.011764706 -0.04444444 0.028169014Oktober 0.095238095 -0.069767442 0.023255814 -0.123287671November 0.173913043 0.1 0 0.015625Desember -0.07407407 0.068181818 0.090909 0.123076923Jumlah return saham 0.244935925 0.029764667 0.049034818 0.491522488Rata- rata return saham 0.020411327 0.002480389 0.004086235 0.040960207Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.224524598 0.027284278 0.044948583 0.450562281 (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727 (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247Covarians (Ri,Rm) 0.006724483 0.000244748 0.000288909 0.004369806Beta saham ( ß ) 0.104120555 0.042244722 0.097126611 0.645230745Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437(Rm-Rf)x ( ß ) -0.004188501 -0.003567353 -0.009295873 -0.028196584E ( R ) 0.068711499 0.116432647 0.111804127 0.054303416A R 0.176224426 -0.08666798 -0.062769309 0.437219072 Sumber Data: JSX, 2004-2007
112
LAMPIRAN 5 : Lanjutan Tabel 25. Tabulasi Abnormal Return PT. Pan Brothers Tex Tbk
2004 2005 2006 2007 Bulan Return Return Return Return Jan -0.051948052 -0.012345679 0.01333333 0.223684211 Feb -0.02739726 -0.0125 0 -0.021505376 Maret 0.28169014 -0.025316456 0.013157895 0.340659341 April -0.054794521 -0.051948052 -0.012987013 0.163934426 Mei 0.028985507 0.01369863 0 -0.352112676 Juni 0.014084507 0 0.013157895 0.032608696 Juli 0 -0.027027027 -0.012987013 -0.084210526 Agustus -0.01388889 0 0 0 September 0.070422535 -0.027777778 0 0.321428571 Oktober 0 0.042857143 0 -0.162162162 November 0.065789474 0.01369863 0 0.161290323 Desember 0 0.013513514 0 0.013888889 Jumlah return saham 0.31294344 -0.073147075 0.013675094 0.637503717 Rata- rata return saham 0.02607862 -0.00609559 0.001139591 0.05312531 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.28686482 -0.067051485 0.012535503 0.584378407 (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727 (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939 Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0.008591564 -0.000601473 8.05725E-05 0.005667629 Beta saham ( ß ) 0.133030076 -0.103816982 0.027087192 0.836863029 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) -0.005351456 0.00876682 -0.002592483 -0.036570914 E ( R ) 0.067548544 0.12876682 0.118507517 0.045929086 A R 0.245394896 -0.201913895 -0.104832423 0.591574631
Sumber Data: JSX, 2004-2007
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Tabel 26. Tabulasi Abnormal Return PT. Roda Vivatex, Tbk 2004 2005 2006 2007
Bulan Return Return Return Return
Jan -0.027777778 0.07878787 0 0
Feb 0 0.084337349 0
Maret 0.028571429 0 0 0
April 0 0 0.0222222 0
Mei 0 -0.04494382 0.065217391 0
Juni 0 0 0 0
Juli 0.029411765 -0.058823529 0 0
Agustus 0 0 0 0
September 0 0 -0.020408163 0
Oktober 0 0 0 0
November 0.030303 0 0 0.32291667
Desember 0 0.0375 0 0
Jumlah return saham 0.060508416 0.012520521 0.151368777 0.32291667
Rata- rata return saham 0.005042368 0.001043377 0.012614065 0.026909723
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.055466048 0.011477144 0.138754712 0.296006948
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.001661201 0.000102954 0.000891852 0.002870841
Beta saham ( ß ) 0.025721706 0.017770262 0.299826468 0.423898741
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.001034718 -0.001500609 -0.028696036 -0.018524375
E ( R ) 0.071865282 0.118499391 0.092403964 0.063975625
A R -0.011356866 -0.10597887 0.058964813 0.258941045 Sumber Data: JSX, 2004-2007
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Tabel 27. Tabulasi Abnormal Return PT. Ricky Putra Globalindo Tbk 2004 2005 2006 2007 Bulan Return Return Return Return Jan 0.136363636 0.52112676 -0.196078431 -0.010416667 Feb 0 0.07407407 0.0731707 0 Maret 1.56 -0.103448276 0.09090909 -0.010526316 April -0.015625 0.057692308 0.9166667 -0.010638298 Mei 0.396825397 -0.0363636 -0.08695622 0.096774194 Juni -0.125 0 0 0.549019 Juli 0.012987 -0.056603774 -0.047619048 0.025316456 Agustus -0.07692307 -0.48 0.0375 -0.135802469 September 0 -0.060240964 -0.042857143 Oktober -0.013888889 0 0.08974359 -0.119402985 November -0.04225321 -0.066667 0.152941176 -0.06779661 Desember 0.044117647 -0.089285714 -0.020408163 0.0181818 Jumlah return saham 1.876603511 -0.179475226 0.94962843 0.291850962 Rata- rata return saham 0.156383626 -0.014956269 0.079135703 0.024320914 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 1.720219885 -0.164518957 0.870492728 0.267530049 (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727 (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939 Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0.051520364 -0.001475786 0.005595133 0.002594656 Beta saham ( ß ) 0.797731076 -0.254727566 1.880993846 0.383118206 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) -0.032090658 0.021510456 -0.180027694 -0.016742266 E ( R ) 0.040809342 0.141510456 -0.058927694 0.065757734 A R 1.835794169 -0.320985682 1.008556124 0.226093228
Sumber Data: JSX, 2004-2007
115
LAMPIRAN 5 : Lanjutan Tabel 28. Tabulasi Abnormal Return PT. Sepatu Bata Tbk
2004 2005 2006 2007 Bulan Return Return Return Return Jan 0 0.107142857 -0.096551724 0.035714286 Feb 0.06382978 0.096774194 0.011450382 0.13793103 Maret 0 -0.152941176 0.094339623 0.040816327 April 0.1666667 0.1111111 0.034482759 -0.052287588 Mei -0.022857143 -0.09375 0.053571429 -0.006896552 Juni 0.134502924 0.006896552 0 0.006944444 Juli -0.02027027 0.01369863 0 -0.006896552 Agustus 0.027586207 -0.02027027 -0.056603774 0.01388889 September -0.003355705 0 0 0.095890411 Oktober -0.057239057 0 0 0.3125 November 0.042857143 -0.006896552 0 0.095238095 Desember 0.04109589 0.00694444 0.04 0 Jumlah return saham 0.372816469 0.068709775 0.080688695 0.672842791 Rata- rata return saham 0.031068039 0.005725815 0.006724058 0.056070233 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean
(Ri) Jumlah 0.34174843 0.06298396 0.073964637 0.616772558
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean
(Rm) Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean
(Rm))² Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0.010235321 0.000564986 0.000475411 0.005981806 Beta saham ( ß ) 0.158481683 0.097519163 0.159825605 0.883253291 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437 (Rm-Rf)x ( ß ) -0.006375308 -0.008235001 -0.015296719 -0.038598169 E ( R ) 0.066524692 0.111764999 0.105803281 0.043901831 A R 0.306291777 -0.043055224 -0.025114586 0.62894096
Sumber Data: JSX, 2004-2007
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Tabel 29. Tabulasi Abnormal Return PT. Davomas Abadi Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.073170732 -0.05 0.25 -0.033898305 Feb 0.026315789 -0.105263158 -0.1 0.245614035 Maret 0.256410256 0.411764706 0.05555556 0.084507042 April 0.071428571 -0.4166667 1.105263158 -0.168831169 Mei 0.095238095 0.035714286 0.475 -0.5625 Juni 0.130434783 0 0.966101695 -0.07142857 Juli 0.153846154 -0.034482759 0.310344828 0.038461538 Agustus 0 -0.357142857 -0.144736842 -0.185185185 September 0.0333333 -0.05555556 -0.107692308 0.1363636 Oktober 0.129032258 -0.058823529 -0.034482276 -0.12 November 0.257142857 0 -0.071428571 0.022727273
Desember -0.8181818 0 0.134615385 0.1111111
Jumlah return saham 0.408170995 -0.630455571 2.838540629 -0.503058641
Rata- rata return saham 0.03401425 -0.052537964 0.236545052 -0.041921553
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.374156745 -0.577917607 2.601995577 -0.461137088
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.011205946 -0.005184101 0.016724449 -0.004472366
Beta saham ( ß ) 0.173510646 -0.894799894 5.622491163 -0.660374468
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.006979884 0.07556133 -0.538121973 0.028858364
E ( R ) 0.065920116 0.19556133 -0.417021973 0.111358364
A R 0.342250879 -0.826016901 3.255562602 -0.614417005 Sumber Data: JSX, 2004-2007
117
LAMPIRAN 5 : Lanjutan
Tabel 30. Tabulasi Abnormal Return PT. Delta Djakarta Tbk 2004 2005 2006 2007 Bulan Return Return Return Return Jan 0.149425287 0.379310345 0 0.197368421 Feb 0.07 -0.05 0.0833333 0 Maret -0.018691589 -0.063157895 0 0 April 0.114285714 0 -0.30303 0 Mei -0.032258065 0.168539326 -0.0125 -0.10989011 Juni 0 -0.033665385 0 0.028806584 Juli 0.05555556 -0.004975124 0 -0.2 Agustus 0 0.05 -0.003164557 -0.09 September 0.052631579 0.047619048 -0.047619048 0 Oktober 0.05 0.11363636 -0.2 0.098901099 November 0.361904762 0.346938776 0.04166667 -0.2 Desember 0.013986014 0.090909091 -0.088 0 Jumlah return saham 0.816839262 1.045154542 -0.529313635 -0.274814006 Rata- rata return saham 0.068069939 0.087096212 -0.04410947 -0.022901167 Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646 Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388 Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.11 Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.748769324 0.958058331 -0.485204165 -0.251912839 (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727 (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939 Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0.022425545 0.008594081 -0.003118673 -0.002443192 Beta saham ( ß ) 0.347232678 1.483378395 -1.048447644 -0.360753476 Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0712 (Rm-Rf)x ( ß ) -0.013968273 -0.125263811 0.100345683 0.025685647 E ( R ) 0.058931727 -0.005263811 0.221445683 0.135685647 A R 0.757907535 1.050418353 -0.750759318 -0.410499653
Sumber Data: JSX, 2004-2007
118
LAMPIRAN 5 : Lanjutan
Tabel 31. Tabulasi Abnormal Return PT. Indofood Sukses Makmur Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.0625 0.0875 -0.032967033 0.251851852 Feb 0 0.068965517 -0.045454545 -0.076923077 Maret -0.058823529 0.247311828 0.05952381 -0.025641026 April -0.0625 0.120689655 0.269662921 0.078947368 Mei 0.06666667 0.176470588 -0.168141593 0.054878049 Juni 0 -0.0833333 -0.063829787 0.170520231 Juli 0 -0.009090909 0.193181818 -0.012345679 Agustus 0.035714286 -0.275229358 0.1333333 -0.07 September 0 -0.75949367 0.050420168 0.037634409 Oktober 0 0.12328767 0.064 0.139896373 November 0.1111111 0.036585366 0.052631579 0.147727273
Desember 0.0666667 0.070588235 -0.035714286 -0.04950495
Jumlah return saham 0.221335227 -0.195748378 0.476646352 0.647040823
Rata- rata return saham 0.018444602 -0.016312365 0.039720529 0.053920069
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.202890625 -0.179436013 0.436925823 0.593120754
(Rm - Mean
(Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.006076548 -0.001609597 0.002808361 0.005752418
Beta saham ( ß ) 0.094088063 -0.277823904 0.944125962 0.849382566
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.003784919 0.023460825 -0.090361178 -0.037118018
E ( R ) 0.069115081 0.143460825 0.030738822 0.045381982
A R 0.152220146 -0.339209203 0.44590753 0.601658841 Sumber Data: JSX, 2004-2007
119
LAMPIRAN 5 : Lanjutan
Tabel 32. Tabulasi Abnormal Return PT. Multi Bintang Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.0625 0.011764706 0.02
Feb 0.176470588 0.069767442 0 -0.0181818
Maret 0 -0.02173913 0.029411765 0.064814815
April 0.075 -0.0222222 0.00952381 -0.043478261
Mei -0.046511628 0.002272727 0 -0.036363636
Juni -0.024390244 0.179138322 -0.066037736 0.037735849
Juli -0.0375 -0.153846154 -0.014141414 0.001960784
Agustus -0.012987013 0.002272727 0.038934426 -0.058708415
September 0 0.009070295 -0.001972387 -0.002079002
Oktober 0.092105263 0.123595506 0.017786561 0.14583333
November 0.024096386 0 0.048543689 0
Desember 0 0 0.018518519
Jumlah return saham 0.308783352 0.200074241 0.100567233 0.091533664
Rata- rata return saham 0.025731946 0.016672853 0.008380603 0.007627805
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.283051406 0.183401388 0.09218663 0.083905859
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.008477353 0.001645168 0.000592534 0.000813766
Beta saham ( ß ) 0.131261651 0.283963562 0.199200382 0.120157949
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.005280317 -0.023979288 -0.019065233 -0.005250902
E ( R ) 0.067619683 0.096020712 0.102034767 0.077249098
A R 0.241163669 0.104053529 -0.001467534 0.014284566 Sumber Data: JSX, 2004-2007
120
LAMPIRAN 5 : Lanjutan
Tabel 33. Tabulasi Abnormal Return PT. Mayora Indah Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0 0 0.024390244 -0.12345679 Feb 0.028571429 0.01666667 -0.130952381 0.042253521 Maret 0.08333333 0.049180328 0.04109589 -0.060810811 April -0.025641026 -0.140625 0.355263158 0.014388489 Mei -0.026315789 0.090909091 -0.009708738 0.170212766 Juni 0.054054054 -0.091666667 -0.049019608 0.175757576 Juli -0.076923077 -0.100917431 0.010309278 -0.015463918 Agustus 0 -0.193877551 0.10204082 -0.073298429 September 0 -0.17721519 0.181818182 0.011299435 Oktober 0 -0.015384615 0.085470085 -0.027932961 November 0.4444444 -0.078125 0.251968504 0
Desember -0.076923077 0.389830508 0.018867925 0.005747126
Jumlah return saham 0.404600244 -0.251224857 0.881543359 0.118696004
Rata- rata return saham 0.033716687 -0.020935405 0.073461947 0.009891334
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.370883557 -0.230289452 0.808081412 0.10880467
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean
(Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.011107915 -0.002065768 0.005193981 0.001055249
Beta saham ( ß ) 0.171992744 -0.356561169 1.746133099 0.15581446
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.006918823 0.030109789 -0.167120332 -0.006809092
E ( R ) 0.065981177 0.150109789 -0.046020332 0.075690908
A R 0.338619067 -0.401334646 0.927563691 0.043005096 Sumber Data: JSX, 2004-2007
121
LAMPIRAN 5 : Lanjutan Tabel 34. Tabulasi Abnormal Return PT. Sinatar TOP Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0 -0.02777778 0 0.404761905 Feb 0.05555556 0 -0.0666667 0.016949153 Maret 0.052631579 -0.085714286 0 0.1 April -0.075 0.0625 0.107142857 -0.015151515 Mei 0 -0.029411765 -0.129032258 0.184615385 Juni -0.027027027 -0.03030303 0.074074074 0.103896104 Juli -0.02777778 0 -0.068965517 0.11764706 Agustus 0.057142857 -0.09375 0.037037037 -0.139534884 September -0.054054054 0.034482759 0 0.027027027 Oktober 0 -0.0333333 -0.035714286 -0.026315789 November 0.114285714 -0.034482759 0.2222222 0
Desember -0.076923077 0.071428571 0.2727272 0
Jumlah return saham 0.018833772 -0.16636159 0.412824607 0.773894446
Rata- rata return saham 0.001569481 -0.013863466 0.034402051 0.064491204
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.017264291 -0.152498124 0.378422556 0.709403242
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.000517063 -0.001367956 0.002432329 0.00688019
Beta saham ( ß ) 0.008006105 -0.236115501 0.817709876 1.015905685
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.000322065 0.019938761 -0.078262044 -0.044395078
E ( R ) 0.072577935 0.139938761 0.042837956 0.038104922
A R -0.053744163 -0.306300351 0.369986651 0.735789524 Sumber Data: JSX, 2004-2007
122
LAMPIRAN 5 : Lanjutan Tabel 35. Tabulasi Abnormal Return PT. Ultra Jaya Milk Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.022222222 0 -0.129032258 -0.022988506 Feb 0.02173913 -0.105882353 -0.055555556 0 Maret -0.340442553 -0.013157895 0.078431373 0 April 0.435483871 -0.22666667 0.090909 -0.117647059 Mei -0.02247191 0.034482759 -0.23333333 0.32 Juni -0.034482759 -0.05 0.3043478 0.15151515 Juli -0.09523095 0.01754386 -0.01666667 -0.01754386 Agustus 0.078947368 0.034482759 -0.084745763 -0.133928571 September -0.024390244 -0.16666667 0.2407407 0.608247423 Oktober 0.0125 0.02 0.313432836 -0.230769231 November 0.049382716 -0.019607843 -0.04545454 0.05
Desember 0 0.24 0.035714286 0.031746032 Jumlah return saham 0.103256891 -0.235472053 0.498787878 0.638631378 Rata- rata return saham 0.008604741 -0.019622671 0.041565657 0.053219282
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.09465215 -0.215849382 0.457222222 0.585412097
(Rm - Mean
(Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.00283482 -0.001936236 0.002938817 0.005677655
Beta saham ( ß ) 0.043893785 -0.334203356 0.987983194 0.838343331
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.001765733 0.028221785 -0.094558702 -0.036635604
E ( R ) 0.071134267 0.148221785 0.026541298 0.045864396
A R 0.032122625 -0.383693838 0.47224658 0.592766982 Sumber Data: JSX, 2004-2007
123
LAMPIRAN 5 : Lanjutan
Tabel 36. Tabulasi Abnormal Return PT. Gudang Garam Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.088235294 0.243542435 -0.072961373 0.01470588 Feb -0.047297297 -0.086053412 0.018518519 0.048309179 Maret -0.085106383 0.045454 -0.045454545 -0.023041475 April 0.131782946 -0.062111801 0.004761905 0.023584906 Mei -0.02739726 -0.145695364 -0.09478673 0.023041475 Juni -0.035211268 -0.019379845 -0.0052356 0.004504505 Juli 0.040145985 0.015810277 -0.021052632 -0.103139013 Agustus -0.105263158 -0.143968872 0.086021505 -0.045 September 0.019607843 -0.0090909 0.024752475 -0.0157068 Oktober -0.019230768 -0.064220183 -0.048309179 0.063829787 November 0.047058824 0.073529412 0.01052284 -0.16
Desember 0.014981273 0.06392694 0.025125628 0.01190476
Jumlah return saham 0.022306031 -0.088257313 -0.118097187 -0.157006796
Rata- rata return saham 0.001858836 -0.007354776 -0.009841432 -0.0130839
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.020447195 -0.080902537 -0.108255755 -0.143922896
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.000612391 -0.000725721 -0.000695819 -0.001395845
Beta saham ( ß ) 0.009482138 -0.125262807 -0.233923159 -0.206105752
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.000381442 0.010577811 0.022388509 0.009006821
E ( R ) 0.072518558 0.130577811 0.143488509 0.091506821
A R -0.050212527 -0.218835124 -0.261585696 -0.248513617 Sumber Data: JSX, 2004-2007
124
LAMPIRAN 5 : Lanjutan
Tabel 37. Tabulasi Abnormal Return PT. Kimia Farma Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0 -0.024390244 0.034482759 -0.030303 Feb -0.023809524 0.075 0.0333333 0.00625 Maret -0.12195122 -0.069767442 0.064516129 0.02484472
April -0.1111111 -0.075 -0.03030303 0.04242424 Mei -0.0625 0.027027027 -0.03125 0.145348837 Juni 0 -0.026315789 -0.032258065 0.802030457
Juli 0 -0.027027027 -0.1 0.056338028 Agustus 0 -0.305555556 0.037037037 -0.12 September 0.1 0.04 0 0
Oktober 0.2121212 0.038461538 0 -0.015151515 November 0.05 0.1111111 0.07142857 -0.061538462
Desember -0.023809524 -0.0333333 0.1 0 Jumlah return saham 0.018939832 -0.269789693 0.1469867 0.850243305 Rata- rata return saham 0.001578319 -0.022482474 0.012248892 0.070853609
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.017361513 -0.247307219 0.134737808 0.779389696
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247 Covarians (Ri,Rm) 0.000519975 -0.002218423 0.000866034 0.007558958
Beta saham ( ß ) 0.008051191 -0.382910073 0.291146589 1.116130258
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.000323879 0.032334821 -0.027865295 -0.048774892
E ( R ) 0.072576121 0.152334821 0.093234705 0.033725108
A R -0.053636289 -0.422124514 0.053751995 0.816518197 Sumber Data: JSX, 2004-2007
125
LAMPIRAN 5 : Lanjutan
Tabel 38. Tabulasi Abnormal Return PT. Kalbe Farma Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan -0.525 0.254545455 0.3131313 0.092436975 Feb 0.010526316 0.144927536 0.046153846 -0.061538462 Maret -0.02083333 -0.063291139 0 -0.008196721 April -0.021276596 -0.027027027 0.117647059 0.041322314 Mei -0.195652 0.083333 -0.138157059 -0.015873016 Juni -0.054054 0.128205128 -0.045801527 0.1209677 Juli 0.128571429 0.022727273 -0.04 0.071942446 Agustus 0 -0.05555556 0.066667 -0.087248 September 0.050563291 0 0.178571429 -0.022058824 Oktober 0.120481928 0.023529412 0.03030303 0.022556391 November 0.344086022 0.022988506 -0.132352941 -0.102941176
Desember -0.12 0.112359551 0.008474576 0.032786885
Jumlah return saham -0.28258694 0.646742135 0.404636713 0.084156512
Rata- rata return saham -0.023548912 0.053895178 0.033719726 0.007013043
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah -0.259038028 0.592846957 0.370916987 0.077143469
(Rm - Mean
(Rm) (Rm - Mean (Rm) (Rm - Mean
(Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean (Rm))² (Rm - Mean
(Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) -0.007758156 0.005318022 0.002384086 0.000748181
Beta saham ( ß ) -0.120125739 0.917915267 0.801491555 0.110473824
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) 0.004832348 -0.077513307 -0.076709808 -0.004827706
E ( R ) 0.077732348 0.042486693 0.044390192 0.077672294
A R -0.360319288 0.604255442 0.360246521 0.006484218 Sumber Data: JSX, 2004-2007
126
LAMPIRAN 5: Lanjutan
Tabel 39. Tabulasi Abnormal Return PT. Merck Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.1875 0.087719298 -0.0534979 0.06 Feb 0.052631579 0.149193548 -0.060869565 0.036556604 Maret 0.04 0.031578947 0.074074074 0.110352673 April 0.009615385 0.003623188 0.206896552 0.106557377 Mei -0.047619048 0 -0.025 -0.018518519 Juni 0.05 -0.0581818 -0.025641026 0 Juli 0 -0.011588301 0.127819549 0.001886792 Agustus -0.0190476 -0.1015625 0.1333333 -0.058380414 September -0.014563107 -0.043478261 -0.044117647 0.02 Oktober -0.004926108 -0.0681818 0 0.02745098 November 0.168316832 -0.038297872 0.230769231 0.011450382
Desember -0.033898305 0.075221239 0 -0.009433962
Jumlah return saham 0.388009628 0.026045686 0.563766568 0.287921913 Rata- rata return saham 0.032334136 0.002170474 0.046980547 0.023993493
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.355675492 0.023875212 0.516786021 0.26392842
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.010652435 0.000214168 0.003321667 0.002559726
Beta saham ( ß ) 0.164940189 0.036966406 1.11669092 0.37796047
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.006635117 -0.003121626 -0.106877166 -0.016516873
E ( R ) 0.066264883 0.116878374 0.014222834 0.065983127
A R 0.321744745 -0.090832688 0.549543734 0.221938786 Sumber Data: JSX, 2004-2007
127
LAMPIRAN 5: Lanjutan
Tabel 40. Tabulasi Abnormal Return PT. Pydram Farma Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan -0.1875 0 0.22222222 -0.1 Feb 0 0 -0.09090909 0.133333333 Maret 0 0 -0.1 0.274509804 April -0.076923077 0 0.222222222 0.092307692 Mei -0.25 0 -0.18181818 0.056338028 Juni 0 0 0 0.333333 Juli 0.22222222 0.0833333 0 0.02 Agustus -0.090909 -0.230769 0.11111111 -0.22549019 September 0.4 -0.1 -0.1 0.329113924 Oktober -0.07142857 0 0 0 November 0.076923077 0.1111111 -0.11111111 -0.123809524
Desember -0.142857143 -0.1 0.25 -0.054347826
Jumlah return saham -0.120472493 -0.2363246 0.221717172 0.735288241
Rata- rata return saham -0.010039374 -0.019693717 0.018476431 0.06127402
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah -0.110433119 -0.216630883 0.203240741 0.674014221
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean (Rm))² (Rm - Mean
(Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) -0.003307458 -0.001943246 0.001306339 0.006536968
Beta saham ( ß ) -0.051212017 -0.335413369 0.439170335 0.965226599
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) 0.002060127 0.028323964 -0.042032473 -0.042180402
E ( R ) 0.074960127 0.148323964 0.079067527 0.040319598
A R -0.19543262 -0.384648564 0.142649645 0.694968643 Sumber Data: JSX, 2004-2007
128
LAMPIRAN 5: Lanjutan
Tabel 41. Tabulasi Abnormal Return PT. Tempo Scan Pacific Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0 0.13157895 0.008849558 0.0444444 Feb 0 0.071428571 0.019292456 -0.063829787 Maret -0.093220339 -0.15151515 -0.014705882 -0.045454545 April 0.336448598 -0.05 0.067164179 0.011904762 Mei -0.027972028 0.052631579 -0.202797203 0.011764706 Juni 0.007194245 0.014285714 0.1666667 0.15116279 Juli -0.071428571 0 -0.07518797 -0.1111111 Agustus 0.023076923 -0.154929577 0.105691057 -0.102272727 September 0.037593399 0 -0.89117647 0.025316456 Oktober 0.079710145 -0.0666667 0.067567568 -0.024691358 November 0.181208054 0.035714286 -0.012658228 -0.037974684
Desember -0.136363636 -0.025862069 0.153846154 -0.013157895
Jumlah return saham 0.33624679 -0.143334396 -0.607448081 -0.153898982
Rata- rata return saham 0.028020566 -0.011944533 -0.050620673 -0.012824915
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.308226224 -0.131389863 -0.556827408 -0.141074067
(Rm - Mean
(Rm) (Rm - Mean
(Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean
(Rm))² (Rm - Mean
(Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.009231336 -0.001178608 -0.003579034 -0.001368215
Beta saham ( ß ) 0.142936167 -0.203433213 -1.203213874 -0.202026066
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.005749952 0.017178907 0.115158175 0.008828539
E ( R ) 0.067150048 0.137178907 0.236258175 0.091328539
A R 0.269096742 -0.280513303 -0.843706256 -0.245227521 Sumber Data: JSX, 2004-2007
129
LAMPIRAN 5: Lanjutan
Tabel 42. Tabulasi Abnormal Return PT. Mandom Indonesia Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.04255319 0.16875 1.2195121 0.021582734 Feb 0.224489796 0.090909 -0.57967033 0.070422535 Maret -0.1 0 0.098039216 0.026315789 April 0.08333333 -0.058823529 0.119047619 -0.057692308 Mei -0.042735043 -0.03645833 0.042553191 -0.047619048 Juni 0.017857143 -0.005404505 0.020408163 0.057142857 Juli 0.061403509 0.02173913 0.01 0.054054054 Agustus 0.066115702 0 0.01980198 -0.057692308 September 0.085271318 -0.037234043 0.019417476 0.006802721 Oktober 0.128571429 0.005524862 0.0666667 -0.006756757 November 0.088607595 -0.098901099 0.214285714 0.102040816
Desember -0.069767442 0 0.022058824 0.037037037
Jumlah return saham 0.585700527 0.050101486 1.272120653 0.205638122
Rata- rata return saham 0.048808377 0.004175124 0.106010054 0.01713651
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah 0.53689215 0.045926362 1.166110599 0.188501612
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean
(Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean
(Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) 0.016079851 0.000411974 0.007495231 0.001828194
Beta saham ( ß ) 0.248977213 0.071108586 2.519776203 0.269945001
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) -0.010015709 -0.006004761 -0.241164797 -0.011796597
E ( R ) 0.062884291 0.113995239 -0.120064797 0.070703403
A R 0.522816236 -0.063893753 1.39218545 0.134934719 Sumber Data: JSX, 2004-2007
130
LAMPIRAN 5: Lanjutan
Tabel 43. Tabulasi Abnormal Return PT. Unilever Indonesia Tbk
2004 2005 2006 2007
Bulan Return Return Return Return
Jan 0.055172414 0.06060606 0.005847953 -0.11363636 Feb -0.1111111 0.0142857 -0.005813953 -0.042735043 Maret 0.044117647 0.077464789 -0.005847953 0.017857143 April 0.03521268 -0.019607843 0.076470588 -0.00877193 Mei -0.020408163 0.22 -0.120218579 0.115044248 Juni 0.090277778 -0.109289617 0.02484472 0.063492063 Juli -0.038216561 0.067484663 0.0242424 0.126865672 Agustus -0.112582781 -0.028735632 0.059171598 -0.099337748 September -0.0298507 -0.035502959 0.02793296 0 Oktober 0.007692308 0.073619632 0.04347826 -0.0220588 November 0.015267176 -0.01142857 0.25 0
Desember -0.007518797 -0.011560694 0.1 0.01503759
Jumlah return saham -0.071948099 0.297335529 0.480107994 0.051756835
Rata- rata return saham -0.005995675 0.024777961 0.040009 0.00431307
Return pasar (Rm) 0.392071039 0.426660627 0.304694206 0.4646
Rata-rata(Rm) 0.032672587 0.035555052 0.025391184 0.0388
Bebas risiko ( Rf ) 0.0729 0.12 0.1211 0.0825
Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri) Ri - Mean (Ri)
Jumlah -0.065952424 0.272557568 0.440098995 0.047443765
(Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm) (Rm - Mean (Rm)
Jumlah 0.359398452 0.107643733 0.077130567 0.116382727
(Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean (Rm))² (Rm - Mean
(Rm))²
Jumlah 0.129167248 0.011587173 0.005949124 0.013544939
Varians (Rm) 0.064583624 0.005793587 0.002974562 0.00677247
Covarians (Ri,Rm) -0.001975267 0.002444926 0.002828757 0.000460136
Beta saham ( ß ) -0.030584636 0.422005629 0.950982672 0.067942163
Rm- Rf -0.040227413 -0.084444948 -0.095708816 -0.0437
(Rm-Rf)x ( ß ) 0.001230341 -0.035636243 -0.091017426 -0.002969073
E ( R ) 0.074130341 0.084363757 0.030082574 0.079530927
A R -0.14607844 0.212971772 0.45002542 -0.027774092
Sumber Data: JSX, 2004-2007
131
LAMPIRAN 6: HASIL UJI SPSS Uji Normalitas One-Sample Kolmogorov-Smirnov Test
DAK DMK DLA DLV CAR N 117 117 117 117 117
Normal Parameters(a,b) Mean 2.8940 -2.3824 2..8591 -1.0992 6.5404
Std. Deviation 2.28156 2.13998 2.14927 2.3705
0 35.34384
Most Extreme Differences Absolute .344 .238 .425 .349 .109 Positive .344 .188 .425 .349 .109 Negative -.286 -.238 -.367 -.346 -.086Kolmogorov-Smirnov Z 1.719 1.574 4.592 3.776 1.176Asymp. Sig. (2-tailed) .243 .125 .564 .155 .126
a Test distribution is Normal. b Calculated from data. Uji Skewness dan Kurtosis
Descriptive Statistics
N Minimum Maximum Mean Std. Deviation Skewness Kurtosis
Statistic Statistic Statistic Statistic Statistic Statistic Statistic
DAK 117 -63.131 44.293 22.89399 38.2816 1.0799 1.1398 DMK 117 -85.207 27.9256 -2.3824 18.14 1.9859 1.6288 DLA 117 -99.9146 27.465 76.85912 52.1493 1.4028 1.8383 DLV 117 -27.228 27.0292 -1.09919 37.3705 0.1380 1.211
Valid N (listwise) 117 Uji Multikolinearitas Coefficients(a)
Model Unstandardized
Coefficients Standardized Coefficients t Sig. Collinearity Statistics
B Std. Error Beta Tolerance VIF 1 (Constant) 5.372 3.066 1.752 .082 DAK .016 .008 .197 2.034 .044 .789 1.267 DMK -.032 .029 -.106 -1.098 .274 .787 1.270 DLA .012 .006 .181 2.003 .048 .906 1.104 DLV .192 .085 .203 2.249 .026 .907 1.102
a Dependent Variable: carpersen
132
LAMPIRAN 6: Lanjutan Uji Autokorelasi Model Summary(b)
Model R R Square Adjusted R
Square Std. Error of the
Estimate Durbin-Watson 1
.642(a) .575 .545 12.67987 2.306
a Predictors: (Constant), DLV, DAK, DLA, DMK b Dependent Variable: carpersen Uji Heteroskdastisitas
Coefficients(a)
Model Unstandardized Coefficients Standardized Coefficients t Sig.
B Std. Error Beta 1 (Constant) 22.233 2.412 9.216 .000 DAK .016 .006 .259 2.600 .106 DMK .005 .023 .020 .202 .840 DLA .013 .005 .246 2.649 .924 DLV -.038 .067 -.053 -.573 .568
a Dependent Variable: Abscar
Reg
ress
ion
Stan
dari
zed
Res
idua
l
-8 -6 -4 -2 0 2 Regression Standardized Predicted Value
-5.0
-2.5
0.0
2.5
5.0
7.5
10.0
Regression Standardized Residual
Dependent Variable: Absres
Scatterplot
133
LAMPIRAN 6: Lanjutan Koefisien Determinasi Model Summary
Model R R Square Adjusted R Square 1
.642(a) .575 .545
a Predictors: (Constant), DLV, DAK, DLA, DMK Uji Signifikansi Simultan (Uji Statistik F)
ANOVA(b)
Model Sum of
Squares df Mean Square F Sig. 1 Regression 25292.648 4 6323.162 5.921 .000(a) Residual 119613.067 112 1067.974 Total 144905.716 116
a Predictors: (Constant), DLV, DAK, DLA, DMK b Dependent Variable: carpersen Uji Partial ( Uji Statistik –t ) Coefficients(a)
Model Unstandardized
Coefficients Standardized Coefficients t Sig.
B Std. Error Beta 1 (Constant) 5.372 3.066 1.752 .082 DAK .016 .008 .197 2.034 .044 DMK -.032 .029 -.106 -1.098 .274 DLA .012 .006 .181 2.003 .048 DLV .192 .085 .203 2.249 .026
a Dependent Variable: carpersen