LAMPIRAN 1 Daftar Perusahaan Manufaktur Tahun...

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


91


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


92


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


93


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


94


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


95


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


96


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


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


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


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


99


Tabel 11. Tabulasi Abnormal Return PT. Intanwijaya Internasional, Tbk 2004 2005 2006 2007


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


Jumlah 0.671543675 0.054687098 -0.324752747 0.212713928


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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


Tabel 13. Tabulasi Abnormal Return PT. Unggul Indah Jaya, Tbk

2004 2005 2006 2007


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


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


Jumlah 0.165859283 0.205999957 -0.916482623 0.094703555


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


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


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


103


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 0.129167248 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


104

LAMPIRAN 5 : Lanjutan

Tabel 17. Tabulasi Abnormal Return PT. Trias Sentosa, Tbk 2004 2005 2006 2007


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


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


Jumlah 0.033647357 0.304189706 -0.018948386 0.284214244


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


Tabel 18. Tabulasi Abnormal Return PT. Fajar Surya Wisesa Tbk

2004 2005 2006 2007


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


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


Jumlah 0.406589339 0.067136059 0.178173714 1.82263431


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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


106


Tabel 19. Tabulasi Abnormal Return PT. Astra Internasional, Tbk

2004 2005 2006 2007


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



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


Jumlah 0.633936089 0.156417159 0.458812971 0.830133354


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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


Tabel 20. Tabulasi Abnormal Return PT. Astra Otoparts, Tbk

2004 2005 2006 2007


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


Jumlah -0.470242766 0.40576719 0.073887729 0.134967871


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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


Tabel 21. Tabulasi Abnormal Return PT. Indo Kordsa Tbk

2004 2005 2006 2007


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


Jumlah -0.096428266 0.201394889 0.718078422 -0.089254386


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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

109


Tabel 22. Tabulasi Abnormal Return PT. Prima Alloy Steel, Tbk

2004 2005 2006 2007


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


Jumlah 1.161914382 -0.675353625 -0.210222916 0.659932498


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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

110


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 0.129167248 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


111


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 0.129167248 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 0.129167248 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


113


Tabel 26. Tabulasi Abnormal Return PT. Roda Vivatex, Tbk 2004 2005 2006 2007


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



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


Jumlah 0.055466048 0.011477144 0.138754712 0.296006948


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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

114


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 0.129167248 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


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) Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


(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


116


Tabel 29. Tabulasi Abnormal Return PT. Davomas Abadi Tbk

2004 2005 2006 2007


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


Jumlah 0.374156745 -0.577917607 2.601995577 -0.461137088


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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


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 0.129167248 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


118


Tabel 31. Tabulasi Abnormal Return PT. Indofood Sukses Makmur Tbk

2004 2005 2006 2007


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


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


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


119


Tabel 32. Tabulasi Abnormal Return PT. Multi Bintang Tbk

2004 2005 2006 2007


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



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


Jumlah 0.283051406 0.183401388 0.09218663 0.083905859


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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


Tabel 33. Tabulasi Abnormal Return PT. Mayora Indah Tbk

2004 2005 2006 2007


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



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


Jumlah 0.370883557 -0.230289452 0.808081412 0.10880467


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


121

LAMPIRAN 5 : Lanjutan Tabel 34. Tabulasi Abnormal Return PT. Sinatar TOP Tbk

2004 2005 2006 2007


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



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


Jumlah 0.017264291 -0.152498124 0.378422556 0.709403242


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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


122

LAMPIRAN 5 : Lanjutan Tabel 35. Tabulasi Abnormal Return PT. Ultra Jaya Milk Tbk

2004 2005 2006 2007


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


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


123


Tabel 36. Tabulasi Abnormal Return PT. Gudang Garam Tbk

2004 2005 2006 2007


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


Jumlah 0.020447195 -0.080902537 -0.108255755 -0.143922896


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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


Tabel 37. Tabulasi Abnormal Return PT. Kimia Farma Tbk

2004 2005 2006 2007


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


Jumlah 0.017361513 -0.247307219 0.134737808 0.779389696


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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


125


Tabel 38. Tabulasi Abnormal Return PT. Kalbe Farma Tbk

2004 2005 2006 2007


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



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


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


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


Tabel 39. Tabulasi Abnormal Return PT. Merck Tbk

2004 2005 2006 2007


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


Jumlah 0.355675492 0.023875212 0.516786021 0.26392842


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


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


127


Tabel 40. Tabulasi Abnormal Return PT. Pydram Farma Tbk

2004 2005 2006 2007


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


Jumlah -0.110433119 -0.216630883 0.203240741 0.674014221


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727

(Rm - Mean

(Rm))² (Rm - Mean (Rm))² (Rm - Mean


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


128


Tabel 41. Tabulasi Abnormal Return PT. Tempo Scan Pacific Tbk

2004 2005 2006 2007


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


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


Tabel 42. Tabulasi Abnormal Return PT. Mandom Indonesia Tbk

2004 2005 2006 2007


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



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


Jumlah 0.53689215 0.045926362 1.166110599 0.188501612


(Rm)

Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


(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


130


Tabel 43. Tabulasi Abnormal Return PT. Unilever Indonesia Tbk

2004 2005 2006 2007


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



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


Jumlah -0.065952424 0.272557568 0.440098995 0.047443765


Jumlah 0.359398452 0.107643733 0.077130567 0.116382727


(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


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

LAMPIRAN 1 Daftar Perusahaan Manufaktur Tahun...

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