Raw Data

Harga dan Return Saham PT Bumi Resource Tbk (BUMI)Periode Desember 2008 s.d. April 2010

NoPeriodeBUMI (Closing Price, Rp)Return Bumi1Desember2008910.002Januari2009510.00-43.96%3Februari770.0050.98%4Maret820.006.49%5April 1,480.0080.49%6Mei 1,960.0032.43%7Juni1,860.00-5.10%8Juli2,800.0050.54%9Agustus2,900.003.57%10September3,225.0011.21%11Oktober2,375.00-26.36%12November2,350.00-1.05%13Desember2,425.003.19%

Harga dan ReturnIndeks Harga Saham Gabungan (IHSG)Periode Agustus 2008 s.d. April 2010

NoPeriodeIHSG (Closing Price, Rp)Return IHSG1Agustus20082,165.942September1,832.51-15.39%3Oktober1,256.70-31.42%4November1,241.54-1.21%5Desember1,355.419.17%6Januari20091,332.67-1.68%7Februari1,285.48-3.54%8Maret1,434.0711.56%9April 1,722.7720.13%10Mei 1,916.8311.26%11Juni2,026.785.74%12Juli2,323.2414.63%13Agustus2,341.540.79%14September2,467.595.38%15Oktober2,367.70-4.05%16November2,415.842.03%17Desember2,534.364.91%18Januari20102,610.803.02%19Februari2,549.03-2.37%20Maret2,777.308.96%21April 2,971.256.98%

1Lag&1Lead (A)Return BUMI dan Return IHSG

NoPeriodeR_BUMIR_IHSG_1R_IHSG0R_IHSG11Januari2009-43.96%9.17%-1.68%-3.54%2Februari50.98%-1.68%-3.54%11.56%3Maret6.49%-3.54%11.56%20.13%4April 80.49%11.56%20.13%11.26%5Mei 32.43%20.13%11.26%5.74%6Juni-5.10%11.26%5.74%14.63%7Juli50.54%5.74%14.63%0.79%8Agustus3.57%14.63%0.79%5.38%9September11.21%0.79%5.38%-4.05%10Oktober-26.36%5.38%-4.05%2.03%11November-1.05%-4.05%2.03%4.91%12Desember3.19%2.03%4.91%3.02%Hasil Regresi Berganda untuk 4 Periode Lag dan Lead

SUMMARY OUTPUT

Regression StatisticsMultiple R0.684R Square0.468Adjusted R Square0.268Standard Error0.298Observations12

ANOVAdfSSMSFSignificance FRegression30.6230.2082.3420.149Residual80.7100.089Total111.333

CoefficientsStandard Errort StatP-valueLower 95%Upper 95%Lower 95.0%Upper 95.0%Intercept-0.0510.140-0.3660.724-0.3750.272-0.3750.272R_IHSG_1-0.2451.239-0.1980.848-3.1042.613-3.1042.613R_IHSG02.9911.3042.2940.051-0.0165.998-0.0165.998R_IHSG10.5671.3240.4280.680-2.4853.619-2.4853.619

Hasil Regresi untuk Korelasi Serial

SUMMARY OUTPUT

Regression StatisticsMultiple R0.243R Square0.059Adjusted R Square-0.035Standard Error0.077Observations12

ANOVAdfSSMSFSignificance FRegression10.0040.0040.6280.446Residual100.0590.006Total110.063

CoefficientsStandard Errort StatP-valueLower 95%Upper 95%Lower 95.0%Upper 95.0%Intercept0.0420.0291.4550.176-0.0220.105-0.0220.105R_IHSG_10.2410.3040.7930.446-0.4370.919-0.4370.919

1Lag&1Lead (B)Perhitungan Beta Koreksian untuk Periode 1 Lag dan 1 LeadMetode Fowler dan RorkeStudi pada PT Bumi Resource Tbk, Tahun 2009

ParameterNilai10.241210.482

-0.2452.9910.567

0.837