Harga dan Return Saham

PT Bumi Resource Tbk (BUMI)

Periode Desember 2008 s.d. April 2010

No
1
2
3
4
5
6
7
8
9
10
11
12
13

BUMI (Closing
Price , Rp)

Periode
Desember
Januari
Februari
Maret
April
Mei
Juni
Juli
Agustus
September
Oktober
November
Desember

2008
2009

910.00
510.00
770.00
820.00
1,480.00
1,960.00
1,860.00
2,800.00
2,900.00
3,225.00
2,375.00
2,350.00
2,425.00

Return Bumi
-43.96%
50.98%
6.49%
80.49%
32.43%
-5.10%
50.54%
3.57%
11.21%
-26.36%
-1.05%
3.19%

Harga dan Return

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

No
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21

IHSG (Closing
Price , Rp)

Periode
Agustus
September
Oktober
November
Desember
Januari
Februari
Maret
April
Mei
Juni
Juli
Agustus
September
Oktober
November
Desember
Januari
Februari
Maret
April

2008

2009

2010

2,165.94
1,832.51
1,256.70
1,241.54
1,355.41
1,332.67
1,285.48
1,434.07
1,722.77
1,916.83
2,026.78
2,323.24
2,341.54
2,467.59
2,367.70
2,415.84
2,534.36
2,610.80
2,549.03
2,777.30
2,971.25

Return IHSG
-15.39%
-31.42%
-1.21%
9.17%
-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%
3.02%
-2.37%
8.96%
6.98%

Januari
Februari
Maret
April
Mei
Juni
Juli
Agustus
September
Oktober
November
Desember

2009 -43.96%
50.98%
6.49%
80.49%
32.43%
-5.10%
50.54%
3.57%
11.21%
-26.36%
-1.05%
3.19%

9.17%
-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%

R_IHSG0

R_IHSG_1

Periode

No
1
2
3
4
5
6
7
8
9
10
11
12

R_BUMI

Return BUMI dan Return IHSG

-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%

Hasil Regresi Berganda untuk 4 Periode Lag dan Lead

SUMMARY OUTPUT
Regression Statistics
Multiple R
R Square
Adjusted R Square
Standard Error
Observations

0.684
0.468
0.268
0.298
12

ANOVA
df
Regression
Residual
Total

Intercept
R_IHSG_1
R_IHSG0
R_IHSG1

SS
3
8
11

0.623
0.710
1.333

Coefficients Standard Error

-0.051
0.140
-0.245
1.239
2.991
1.304
0.567
1.324

Hasil Regresi untuk Korelasi Serial

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.243
R Square
0.059
Adjusted R Square
-0.035
Standard Error
0.077
Observations
12

MS
0.208
0.089

F
Significance F
2.342
0.149

t Stat
P-value
-0.366
0.724
-0.198
0.848
2.294
0.051
0.428
0.680

Lower 95%
-0.375
-3.104
-0.016
-2.485

ANOVA
df
Regression
Residual
Total

Intercept
R_IHSG_1

SS
1
10
11

0.004
0.059
0.063

Coefficients Standard Error

0.042
0.029
0.241
0.304

MS
0.004
0.006

F
Significance F
0.628
0.446

t Stat
P-value
1.455
0.176
0.793
0.446

Lower 95%
-0.022
-0.437

R_IHSG1
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%
3.02%

Upper 95% Lower 95.0% Upper 95.0%

0.272
-0.375
0.272
2.613
-3.104
2.613
5.998
-0.016
5.998
3.619
-2.485
3.619

Upper 95% Lower 95.0% Upper 95.0%

0.105
-0.022
0.105
0.919
-0.437
0.919

Perhitungan Beta Koreksian untuk Periode 1 Lag dan 1 Lead

Metode Fowler dan Rorke
Studi pada PT Bumi Resource Tbk, Tahun 2009
Parameter
1
21

Nilai
0.241
0.482
-0.245
2.991
0.567
0.837 <<=(1+C7)/(1+C8)
3.260 <<=(C14*C10)+C11+(C14*C12)

Januari
Februari
Maret
April
Mei
Juni
Juli
Agustus
September
Oktober
November
Desember

2009 -43.96%
50.98%
6.49%
80.49%
32.43%
-5.10%
50.54%
3.57%
11.21%
-26.36%
-1.05%
3.19%

-1.21%
9.17%
-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%

R_IHSG_1

R_IHSG_2

Periode

No
1
2
3
4
5
6
7
8
9
10
11
12

R_BUMI

Return BUMI dan Return IHSG

9.17%
-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%

Hasil Regresi Berganda untuk 4 Periode Lag dan Lead

SUMMARY OUTPUT
Regression Statistics
Multiple R
R Square
Adjusted R Square
Standard Error
Observations

0.740
0.548
0.171
0.317
12

ANOVA
df
Regression
Residual
Total

Intercept
R_IHSG_2
R_IHSG_1
R_IHSG0
R_IHSG1
R_IHSG2

SS
5
6
11

0.730
0.603
1.333

Coefficients Standard Error

-0.146
0.176
0.602
1.251
-0.347
1.350
3.183
1.401
0.220
1.455
1.263
1.392

Hasil Regresi untuk Korelasi Serial

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.256
R Square
0.066
Adjusted R Square
-0.142

MS
0.146
0.101

F
Significance F
1.452
0.329

t Stat
P-value
-0.830
0.438
0.481
0.647
-0.257
0.806
2.272
0.063
0.151
0.885
0.907
0.399

Lower 95%
-0.578
-2.459
-3.649
-0.245
-3.341
-2.143

Standard Error
Observations

0.081
12

ANOVA
df
Regression
Residual
Total

Intercept
R_IHSG_2
R_IHSG_1

SS
2
9
11

0.004
0.059
0.063

Coefficients Standard Error

0.045
0.033
-0.080
0.317
0.257
0.326

MS
0.002
0.007

F
Significance F
0.316
0.737

t Stat
P-value
1.359
0.207
-0.252
0.807
0.789
0.450

Lower 95%
-0.030
-0.797
-0.480

-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%
3.02%

R_IHSG2

R_IHSG1

R_IHSG0
-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%

11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%
3.02%
-2.37%

Upper 95% Lower 95.0% Upper 95.0%

0.285
-0.578
0.285
3.664
-2.459
3.664
2.956
-3.649
2.956
6.612
-0.245
6.612
3.781
-3.341
3.781
4.670
-2.143
4.670

Upper 95% Lower 95.0% Upper 95.0%

0.120
-0.030
0.120
0.637
-0.797
0.637
0.993
-0.480
0.993

Perhitungan Beta Koreksian untuk Periode 2 Lag dan 2 Lead

Metode Fowler dan Rorke
Studi pada PT Bumi Resource Tbk, Tahun 2009
Parameter
1
2
21
22

Nilai
0.257
-0.080
0.514
-0.160
0.602
-0.347
3.183
0.220
1.263
1.059 <<=(1+C9+C8)/(1+C9+C10)
0.869 <<=(1+C7+C8)/(1+C9+C10)
4.671 <<=(C19*C12)+(C18*C13)+C14+(C18*C15)+(C19*C16)

Januari
Februari
Maret
April
Mei
Juni
Juli
Agustus
September
Oktober
November
Desember

2009 -43.96% -31.42%

50.98% -1.21%
6.49%
9.17%
80.49% -1.68%
32.43% -3.54%
-5.10% 11.56%
50.54% 20.13%
3.57% 11.26%
11.21%
5.74%
-26.36% 14.63%
-1.05%
0.79%
3.19%
5.38%

R_IHSG_2

R_IHSG_3

Periode

No
1
2
3
4
5
6
7
8
9
10
11
12

R_BUMI

Return BUMI dan Return IHSG

-1.21%
9.17%
-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%

Hasil Regresi Berganda untuk 4 Periode Lag dan Lead

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.790
R Square
0.625
Adjusted R Square
-0.032
Standard Error
0.354
Observations
12
ANOVA
df
Regression
Residual
Total

Intercept
R_IHSG_3
R_IHSG_2
R_IHSG_1
R_IHSG0
R_IHSG1
R_IHSG2
R_IHSG3

SS
7
4
11

0.833
0.500
1.333

Coefficients Standard Error

-0.283
0.281
1.392
1.541
0.372
1.646
0.007
1.593
3.005
1.605
-0.581
1.851
2.192
1.923
1.410
2.556

Hasil Regresi untuk Korelasi Serial

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.389

MS
0.119
0.125

F
Significance F
0.951
0.554

t Stat
P-value
-1.007
0.371
0.903
0.417
0.226
0.832
0.005
0.997
1.872
0.135
-0.314
0.769
1.140
0.318
0.552
0.610

Lower 95%
-1.063
-2.887
-4.199
-4.415
-1.453
-5.721
-3.146
-5.686

R Square
Adjusted R Square
Standard Error
Observations

0.152
-0.167
0.082
12

ANOVA
df
Regression
Residual
Total

Intercept
R_IHSG_3
R_IHSG_2
R_IHSG_1

SS
3
8
11

0.009
0.053
0.063

Coefficients Standard Error

0.041
0.034
0.181
0.201
-0.185
0.341
0.321
0.337

MS
0.003
0.007

F
Significance F
0.476
0.708

t Stat
P-value
1.216
0.259
0.900
0.395
-0.543
0.602
0.953
0.369

Lower 95%
-0.037
-0.283
-0.972
-0.456

-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%

-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%
3.02%

Upper 95% Lower 95.0% Upper 95.0%

0.497
-1.063
0.497
5.671
-2.887
5.671
4.943
-4.199
4.943
4.429
-4.415
4.429
7.462
-1.453
7.462
4.558
-5.721
4.558
7.530
-3.146
7.530
8.507
-5.686
8.507

11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%
3.02%
-2.37%

R_IHSG3

R_IHSG2

R_IHSG1

R_IHSG0

R_IHSG_1
9.17%
-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%

20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%
3.02%
-2.37%
8.96%

Upper 95% Lower 95.0% Upper 95.0%

0.119
-0.037
0.119
0.646
-0.283
0.646
0.602
-0.972
0.602
1.097
-0.456
1.097

Perhitungan Beta Koreksian untuk Periode 3 Lag dan 3 Lead

Metode Fowler dan Rorke
Studi pada PT Bumi Resource Tbk, Tahun 2009
Parameter
1
2
3
21
22
23

Nilai
0.321
-0.185
0.181
0.641
-0.370
0.362
1.392
0.372
0.007
3.005
-0.581
2.192
1.410
0.889 <<=(1+C10+C11+C9)/(1+C10+C11+C12)
1.002 <<=(1+C10+C8+C9)/(1+C10+C11+C12)
0.806 <<=(1+C7+C8+C9)/(1+C10+C11+C12)
7.323 <<=(C24*C14)+(C23*C15)+(C22*C16)+C17+(C22*C18)+(C23*C19)+(C24*C20)

Januari
Februari
Maret
April
Mei
Juni
Juli
Agustus
September
Oktober
November
Desember

2009 -43.96% -15.39%

50.98% -31.42%
6.49% -1.21%
80.49%
9.17%
32.43% -1.68%
-5.10% -3.54%
50.54% 11.56%
3.57% 20.13%
11.21% 11.26%
-26.36%
5.74%
-1.05% 14.63%
3.19%
0.79%

R_IHSG_3

R_IHSG_4

Periode

No
1
2
3
4
5
6
7
8
9
10
11
12

R_BUMI

Return BUMI dan Return IHSG

-31.42%
-1.21%
9.17%
-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%

Hasil Regresi Berganda untuk 4 Periode Lag dan Lead

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.799
R Square
0.638
Adjusted R Square
-0.992
Standard Error
0.491
Observations
12
ANOVA
df
Regression
Residual
Total

Intercept
R_IHSG_4
R_IHSG_3
R_IHSG_2
R_IHSG_1
R_IHSG0
R_IHSG1
R_IHSG2
R_IHSG3
R_IHSG4

SS
9
2
11

0.850
0.483
1.333

Coefficients Standard Error

-0.170
0.892
0.168
3.049
0.896
3.059
0.098
3.053
-0.383
2.648
2.976
2.847
-0.277
2.830
2.393
4.577
0.934
5.964
-1.280
5.032

Hasil Regresi untuk Korelasi Serial

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.429
R Square
0.184
Adjusted R Square
-0.283

MS
0.094
0.241

F
Significance F
0.391
0.868

t Stat
P-value
-0.191
0.866
0.055
0.961
0.293
0.797
0.032
0.977
-0.145
0.898
1.045
0.406
-0.098
0.931
0.523
0.653
0.157
0.890
-0.254
0.823

Lower 95%
-4.006
-12.950
-12.268
-13.036
-11.776
-9.274
-12.455
-17.299
-24.727
-22.932

Standard Error
Observations

0.085
12

ANOVA
df
Regression
Residual
Total

Intercept
R_IHSG_4
R_IHSG_3
R_IHSG_2
R_IHSG_1

SS
4
7
11

0.012
0.051
0.063

Coefficients Standard Error

0.042
0.036
0.119
0.225
0.103
0.259
-0.131
0.372
0.259
0.372

MS
0.003
0.007

F
Significance F
0.394
0.807

t Stat
P-value
1.192
0.272
0.527
0.615
0.396
0.704
-0.351
0.736
0.697
0.508

Lower 95%
-0.042
-0.414
-0.509
-1.011
-0.620

Upper 95% Lower 95.0% Upper 95.0%

3.666
-4.006
3.666
13.287
-12.950
13.287
14.059
-12.268
14.059
13.232
-13.036
13.232
11.010
-11.776
11.010
15.225
-9.274
15.225
11.900
-12.455
11.900
22.085
-17.299
22.085
26.595
-24.727
26.595
20.371
-22.932
20.371

-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%
3.02%

11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%
3.02%
-2.37%

20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%
3.02%
-2.37%
8.96%

R_IHSG4

R_IHSG3

-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%

R_IHSG2

R_IHSG0

9.17%
-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%

R_IHSG1

R_IHSG_1

R_IHSG_2
-1.21%
9.17%
-1.68%
-3.54%
11.56%
20.13%
11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%

11.26%
5.74%
14.63%
0.79%
5.38%
-4.05%
2.03%
4.91%
3.02%
-2.37%
8.96%
6.98%

Upper 95% Lower 95.0% Upper 95.0%

0.127
-0.042
0.127
0.652
-0.414
0.652
0.714
-0.509
0.714
0.750
-1.011
0.750
1.138
-0.620
1.138

Perhitungan Beta Koreksian untuk Periode 4 Lag dan 4 Lead

Metode Fowler dan Rorke
Studi pada PT Bumi Resource Tbk, Tahun 2009
Parameter
1
2
3
4
21
22
23
24

Nilai
0.259
-0.131
0.103
0.119
0.518
-0.262
0.206
0.238
0.168
0.896
0.098
-0.383
2.976
-0.277
2.393
0.934
-1.280
0.930
0.869
0.946
0.794

<<=(1+C11+C12+C13+C10)/(1+C11+C12+C13+C14)
<<=(1+C11+C12+C9+C10)/(1+C11+C12+C13+C14)
<<=(1+C11+C8+C9+C10)/(1+C11+C12+C13+C14)
<<=(1+C7+C8+C9+C10)/(1+C11+C12+C13+C14)

5.377 <<=(C29*C16)+(C28*C17)+(C27*C18)+(C26*C19)+C20+(C26*C21)+(C27*C22)+(C28*C23)+(C29

27*C22)+(C28*C23)+(C29*C24)