This document is posted to help you gain knowledge. Please leave a comment to let me know what you think about it! Share it to your friends and learn new things together.
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
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
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
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
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
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
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
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
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
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
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
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
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
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
LAMPIRAN 5 : Lanjutan
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
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
LAMPIRAN 5 : Lanjutan
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
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
LAMPIRAN 5 : Lanjutan
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
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
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
LAMPIRAN 5 : Lanjutan
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
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
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
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
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
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
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
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
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
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
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
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
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
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