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LAMPIRAN Lampiran I Analisis Statistik Deskriptif HS DER EPS ROA Mean 110699.8 1.036154 4335.971 12.24000 Median 2095.000 1.040000 137.8200 7.780000 Maximum 1200000. 3.030000 55576.08 65.72000 Minimum 180.0000 0.250000 4.610000-0.820000 Std. Dev. 294748.8 0.563596 11477.29 12.97180 Skewness 2.937263 1.409103 3.162278 2.344830 Kurtosis 10.60315 6.038910 12.90606 8.971841 Jarque-Bera 150.0166 27.91304 224.4613 93.69066 Probability 0.000000 0.000001 0.000000 0.000000 Sum 4317292. 40.41000 169102.8 477.3600 Sum Sq. Dev. 3.30E+12 12.07032 5.01E+09 6394.169 Observations 39 39 39 39 Lampiran II Hasil Uji Stasioneritas 1. Uji Stasioner DER Null Hypothesis: DER has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on SIC, MAXLAG=9) t-statistic Prob.* Augmented Dickey-Fuller test statistic -1.917209 0.3211 Test critical values: 1% level -3.621023 5% level -2.943427 10% level -2.610263 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(DER) Method: Least Squares Date: 12/23/15 Time: 19:37 Sample (adjusted): 3 39 Included observations: 37 after adjustments DER(-1) -0.354289 0.184794-1.917209 0.0636 D(DER(-1)) -0.457853 0.156857-2.918920 0.0062 C 0.361712 0.213362 1.695299 0.0992 R-squared 0.467245 Mean dependent var -0.007568 80

81 Adjusted R-squared 0.435907 S.D. dependent var 0.668175 S.E. of regression 0.501840 Akaike info criterion 1.536535 Sum squared resid 8.562687 Schwarz criterion 1.667150 Log likelihood -25.42590 Hannan-Quinn criter. 1.582583 F-statistic 14.90963 Durbin-Watson stat 2.005364 Prob(F-statistic) 0.000022 Setelah di 1 st difference Null Hypothesis: D(DER) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=9) t-statistic Prob.* Augmented Dickey-Fuller test statistic -12.63573 0.0000 Test critical values: 1% level -3.621023 5% level -2.943427 10% level -2.610263 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(DER,2) Method: Least Squares Date: 12/08/15 Time: 10:46 Sample (adjusted): 3 39 Included observations: 37 after adjustments D(DER(-1)) -1.639395 0.129743-12.63573 0.0000 C -0.015517 0.085613-0.181244 0.8572 R-squared 0.820201 Mean dependent var 0.004865 Adjusted R-squared 0.815064 S.D. dependent var 1.210740 S.E. of regression 0.520670 Akaike info criterion 1.585136 Sum squared resid 9.488387 Schwarz criterion 1.672213 Log likelihood -27.32501 Hannan-Quinn criter. 1.615834 F-statistic 159.6616 Durbin-Watson stat 2.162865 Prob(F-statistic) 0.000000 2. Uji Stasioner EPS Null Hypothesis: EPS has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on SIC, MAXLAG=9) t-statistic Prob.* Augmented Dickey-Fuller test statistic -4.342320 0.0015

82 Test critical values: 1% level -3.621023 5% level -2.943427 10% level -2.610263 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(EPS) Method: Least Squares Date: 12/23/15 Time: 19:39 Sample (adjusted): 3 39 Included observations: 37 after adjustments EPS(-1) -0.563994 0.129883-4.342320 0.0001 D(EPS(-1)) 0.491604 0.149353 3.291553 0.0023 C 2573.830 1479.302 1.739895 0.0909 R-squared 0.384996 Mean dependent var -1.398378 Adjusted R-squared 0.348819 S.D. dependent var 10215.63 S.E. of regression 8243.581 Akaike info criterion 20.94986 Sum squared resid 2.31E+09 Schwarz criterion 21.08048 Log likelihood -384.5724 Hannan-Quinn criter. 20.99591 F-statistic 10.64210 Durbin-Watson stat 1.775866 Prob(F-statistic) 0.000258 3. Uji Stasioner ROA Null Hypothesis: ROA has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on SIC, MAXLAG=9) t-statistic Prob.* Augmented Dickey-Fuller test statistic -4.127171 0.0026 Test critical values: 1% level -3.621023 5% level -2.943427 10% level -2.610263 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(ROA) Method: Least Squares Date: 12/23/15 Time: 19:38 Sample (adjusted): 3 39 Included observations: 37 after adjustments ROA(-1) -0.549887 0.133236-4.127171 0.0002 D(ROA(-1)) 0.456736 0.151997 3.004904 0.0050

83 C 6.608896 2.268081 2.913872 0.0063 R-squared 0.357059 Mean dependent var -0.225135 Adjusted R-squared 0.319238 S.D. dependent var 11.51766 S.E. of regression 9.503020 Akaike info criterion 7.418701 Sum squared resid 3070.451 Schwarz criterion 7.549316 Log likelihood -134.2460 Hannan-Quinn criter. 7.464749 F-statistic 9.440977 Durbin-Watson stat 1.875656 Prob(F-statistic) 0.000548 4. Uji Stasioner Harga Saham Null Hypothesis: HS has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on SIC, MAXLAG=9) t-statistic Prob.* Augmented Dickey-Fuller test statistic -3.806897 0.0062 Test critical values: 1% level -3.621023 5% level -2.943427 10% level -2.610263 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(HS) Method: Least Squares Date: 12/23/15 Time: 19:05 Sample (adjusted): 3 39 Included observations: 37 after adjustments HS(-1) -0.505761 0.132854-3.806897 0.0006 D(HS(-1)) 0.406575 0.156667 2.595149 0.0139 C 58955.00 39010.12 1.511275 0.1400 R-squared 0.315436 Mean dependent var 46.48649 Adjusted R-squared 0.275167 S.D. dependent var 255840.2 S.E. of regression 217814.9 Akaike info criterion 27.49828 Sum squared resid 1.61E+12 Schwarz criterion 27.62890 Log likelihood -505.7183 Hannan-Quinn criter. 27.54433 F-statistic 7.833322 Durbin-Watson stat 2.024074 Prob(F-statistic) 0.001592

84 Lampiran III Analisis Regresi Data Panel 1. Common Effect Dependent Variable: HS? Method: Pooled Least Squares Date: 12/23/15 Time: 20:01 Sample: 1 3 Included observations: 3 Cross-sections included: 13 Total pool (balanced) observations: 39 DER? 39003.53 10056.19 3.878560 0.0004 EPS? 27.82828 1.553397 17.91447 0.0000 ROA? -3348.185 1240.946-2.698091 0.0105 R-squared 0.968098 Mean dependent var 110699.8 Adjusted R-squared 0.966325 S.D. dependent var 294748.8 S.E. of regression 54088.48 Akaike info criterion 24.70843 Sum squared resid 1.05E+11 Schwarz criterion 24.83640 Log likelihood -478.8145 Hannan-Quinn criter. 24.75435 Durbin-Watson stat 2.935909 2. Fixed Effect Dependent Variable: HS? Method: Pooled Least Squares Date: 12/23/15 Time: 20:01 Sample: 1 3 Included observations: 3 Cross-sections included: 13 Total pool (balanced) observations: 39 C -13768.08 38319.84-0.359294 0.7227 DER? 74552.57 22139.30 3.367431 0.0027 EPS? 19.82172 1.548009 12.80465 0.0000 ROA? -3163.925 1602.896-1.973881 0.0605 Fixed Effects (Cross) _ADES--C 348.4758 _AISA--C -43548.29 _ALTO--C -75654.62 _CEKA--C -63005.20 _DLTA--C 114940.5 _ICBP--C 8314.161 _INDF--C -38730.14 _MLBI--C 291515.2 _MYOR--C -72423.75 _ROTI--C -36573.99 _SKLT--C -54524.36 _STTP--C -47322.73

85 _ULTJ--C 16664.73 Cross-section fixed (dummy variables) Effects Specification R-squared 0.995010 Mean dependent var 110699.8 Adjusted R-squared 0.991756 S.D. dependent var 294748.8 S.E. of regression 26762.25 Akaike info criterion 23.51982 Sum squared resid 1.65E+10 Schwarz criterion 24.20230 Log likelihood -442.6364 Hannan-Quinn criter. 23.76469 F-statistic 305.7586 Durbin-Watson stat 2.633325 Prob(F-statistic) 0.000000 3. Random Effect Dependent Variable: HS? Method: Pooled EGLS (Cross-section random effects) Date: 12/23/15 Time: 20:02 Sample: 1 3 Included observations: 3 Cross-sections included: 13 Total pool (balanced) observations: 39 Swamy and Arora estimator of component variances C -114670.5 16061.83-7.139314 0.0000 DER? 101591.1 9711.791 10.46060 0.0000 EPS? 21.27165 1.217499 17.47160 0.0000 ROA? 2277.201 1062.168 2.143918 0.0391 Random Effects (Cross) _ADES--C 2665.583 _AISA--C -1421.283 _ALTO--C -6037.493 _CEKA--C -7370.077 _DLTA--C 8040.135 _ICBP--C 10669.12 _INDF--C 809.1985 _MLBI--C 8219.083 _MYOR--C -19353.10 _ROTI--C -6705.082 _SKLT--C -1531.406 _STTP--C -4954.506 _ULTJ--C 16969.82 Effects Specification S.D. Rho Cross-section random 10891.96 0.1421 Idiosyncratic random 26762.25 0.8579 Weighted Statistics R-squared 0.975007 Mean dependent var 90478.89

86 Adjusted R-squared 0.972864 S.D. dependent var 243629.9 S.E. of regression 40132.96 Sum squared resid 5.64E+10 F-statistic 455.1228 Durbin-Watson stat 2.387691 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.979965 Mean dependent var 110699.8 Sum squared resid 6.61E+10 Durbin-Watson stat 2.035045 Lampiran IV Uji Chow Redundant Fixed Effects Tests Pool: POOL Test cross-section fixed effects Effects Test Statistic d.f. Prob. Cross-section F 5.637830 (12,23) 0.0002 Cross-section Chi-square 53.490661 12 0.0000 Cross-section fixed effects test equation: Dependent Variable: HS? Method: Panel Least Squares Date: 12/23/15 Time: 20:03 Sample: 1 3 Included observations: 3 Cross-sections included: 13 Total pool (balanced) observations: 39 C -110242.8 23625.62-4.666240 0.0000 DER? 94014.16 14251.54 6.596774 0.0000 EPS? 21.35435 1.858755 11.48852 0.0000 ROA? 2527.584 1600.649 1.579099 0.1233 R-squared 0.980333 Mean dependent var 110699.8 Adjusted R-squared 0.978647 S.D. dependent var 294748.8 S.E. of regression 43070.71 Akaike info criterion 24.27599 Sum squared resid 6.49E+10 Schwarz criterion 24.44661 Log likelihood -469.3818 Hannan-Quinn criter. 24.33721 F-statistic 581.5351 Durbin-Watson stat 2.437770 Prob(F-statistic) 0.000000

87 Lampiran V Uji Hausmant Correlated Random Effects - Hausman Test Pool: POOL Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 46.709141 3 0.0000 Cross-section random effects test comparisons: Variable Fixed Random Var(Diff.) Prob. 74552.57461 101591.14546 395829878.66 DER? 8 6 8103 0.1741 EPS? 19.821718 21.271653 0.914029 0.1294-1441074.7620 ROA? 3163.925075 2277.201037 83 0.0000 Cross-section random effects test equation: Dependent Variable: HS? Method: Panel Least Squares Date: 12/23/15 Time: 20:04 Sample: 1 3 Included observations: 3 Cross-sections included: 13 Total pool (balanced) observations: 39 C -13768.08 38319.84-0.359294 0.7227 DER? 74552.57 22139.30 3.367431 0.0027 EPS? 19.82172 1.548009 12.80465 0.0000 ROA? -3163.925 1602.896-1.973881 0.0605 Cross-section fixed (dummy variables) Effects Specification R-squared 0.995010 Mean dependent var 110699.8 Adjusted R-squared 0.991756 S.D. dependent var 294748.8 S.E. of regression 26762.25 Akaike info criterion 23.51982 Sum squared resid 1.65E+10 Schwarz criterion 24.20230 Log likelihood -442.6364 Hannan-Quinn criter. 23.76469 F-statistic 305.7586 Durbin-Watson stat 2.633325 Prob(F-statistic) 0.000000

88 Lampiran VI Tabel Sampel Perusahaan Manufaktur di BEI No Kode Nama Perusahaan 1 ADES Akasha Wira International Tbk. 2 AISA Tiga Pilar Sejahtera Food Tbk. 3 ALTO Tri Banyan Tirta Tbk. 4 CEKA Wilmar Cahaya Indonesia Tbk. 5 DLTA Delta Djakarta Tbk. 6 ICBP Indofood CBP Sukses Makmur Tbk. 7 INDF Indofood Sukses Makmur Tbk. 8 MLBI Multi Bintang Indonesia Tbk. 9 MYOR Mayora Indah Tbk. 10 ROTI Nippon Indosari Corpindo Tbk. 11 SKLT Sekar Laut Tbk. 12 STTP Siantar Top Tbk. 13 ULTJ Ultrajaya Milk Industry & Trading Co. Tbk.