Hasil Penelitian dengan Microsoft Excel Lampiran 1 Pengembalian Saham Individual dan Pengembalian Pasar Subsektor NO KODE Ri Rm Energi Jalan Tol, Bandara, Pelabuhan dan Telekomunikasi Transportasi 1 PGAS 0.00162 0.00055 2 LAPD 0.00005 0.00055 3 CMNP 0.00024 0.00055 4 JSMR 0.00121 0.00055 5 BTEL -0.00629 0.00055 6 EXCL 0.00131 0.00055 7 ISAT 0.00090 0.00055 8 FREN -0.00659 0.00055 9 TLKM 0.00121 0.00055 10 BLTA 0.00016 0.00055 11 CMPP 0.00353 0.00055 12 HITS 0.00098 0.00055 13 IATA 0.00720 0.00055 14 WEHA 0.00005 0.00055 15 TMAS 0.00323 0.00055 16 RIGS 0.00053 0.00055 17 SMDR 0.00063 0.00055 18 SAFE 0.00230 0.00055 19 ZBRA 0.00553 0.00055 20 BULL -0.00239 0.00055 21 GIAA 0.00159 0.00055 22 APOL -0.00275 0.00055 23 MIRA -0.00093 0.00055 24 MBSS 0.00111 0.00055 25 RAJA 0.00036 0.00055 26 TRAM 0.00077 0.00055 27 WINS 0.00187 0.00055
Subsektor NO KODE Ri Rm 28 PTRO -0.00325 0.00055 29 INDY -0.00148 0.00055 Konstruksi Nonbangunan 30 TBIG 0.00384 0.00055 31 TOWR 0.00423 0.00055 32 SUPR 0.00078 0.00055
Lampiran 2 Pengukuran Risiko Subsektor NO KODE β β i 2 Energi Jalan Tol, Bandara, Pelabuhan dan Sejenisnya Telekomunikasi Transportasi σ m 2 β² x σ m 2 Risiko (%)(βi2.σm2) 1 PGAS 0.773 0.5969 0.00008 0.0000478 0.0047752 2 LAPD -0.120 0.0144 0.00008 0.0000012 0.0001153 3 CMNP 0.926 0.8581 0.00008 0.0000686 0.0068645 4 JSMR 0.618 0.3822 0.00008 0.0000306 0.0030575 5 BTEL 0.517 0.2674 0.00008 0.0000214 0.0021390 6 EXCL 0.876 0.7682 0.00008 0.0000615 0.0061453 7 ISAT 1.090 1.1890 0.00008 0.0000951 0.0095120 8 FREN 1.492 2.2246 0.00008 0.0001780 0.0177971 9 TLKM 0.721 0.5204 0.00008 0.0000416 0.0041628 10 BLTA 0.025 0.0006 0.00008 0.0000001 0.0000050 11 CMPP -0.265 0.0700 0.00008 0.0000056 0.0005601 12 HITS 0.222 0.0491 0.00008 0.0000039 0.0003927 13 IATA 1.143 1.3066 0.00008 0.0001045 0.0104526 14 WEHA 0.327 0.1072 0.00008 0.0000086 0.0008575 15 TMAS 0.718 0.5161 0.00008 0.0000413 0.0041290 16 RIGS 0.438 0.1917 0.00008 0.0000153 0.0015337 17 SMDR 0.968 0.9370 0.00008 0.0000750 0.0074963 18 SAFE 0.694 0.4821 0.00008 0.0000386 0.0038568 19 ZBRA 0.698 0.4871 0.00008 0.0000390 0.0038970 20 BULL 0.788 0.6206 0.00008 0.0000497 0.0049651 21 GIAA 1.071 1.1460 0.00008 0.0000917 0.0091681 22 APOL 0.817 0.6677 0.00008 0.0000534 0.0053419 23 MIRA 0.182 0.0330 0.00008 0.0000026 0.0002644 24 MBSS 1.677 2.8122 0.00008 0.0002250 0.0224977 25 RAJA 1.133 1.2830 0.00008 0.0001026 0.0102644 26 TRAM 0.962 0.9261 0.00008 0.0000741 0.0074086 27 WINS 0.494 0.2437 0.00008 0.0000195 0.0019493
Subsektor NO KODE β 2 β i 2 σ m 2 β² x σ m Risiko (%)(βi2.σm2) 28 PTRO 1.170 1.3698 0.00008 0.0001096 0.0109587 Konstruksi Nonbangunan 29 INDY 1.714 2.9392 0.00008 0.0002351 0.0235135 30 TBIG 0.391 0.1529 0.00008 0.0000122 0.0012229 31 TOWR 0.291 0.0846 0.00008 0.0000068 0.0006767 32 SUPR 0.066 0.0044 0.00008 0.0000004 0.0000352
Lampiran 3 Pengukuran Risiko Tidak Subsektor NO KODE Total Varians Saham Risiko (β² x σ m 2 ) Risiko Tidak (%) σei² Energi Jalan Tol, Bandara, Pelabuhan dan Sejenisnya Telekomunikasi Transportasi 1 PGAS 0.00034 0.0000478 0.0296099 2 LAPD 0.00042 0.0000012 0.0414820 3 CMNP 0.00049 0.0000686 0.0419712 4 JSMR 0.00023 0.0000306 0.0195546 5 BTEL 0.00128 0.0000214 0.1263266 6 EXCL 0.00067 0.0000615 0.0604889 7 ISAT 0.00069 0.0000951 0.0593610 8 FREN 0.00554 0.0001780 0.5362419 9 TLKM 0.00030 0.0000416 0.0262407 10 BLTA 0.00002 0.0000001 0.0016183 11 CMPP 0.00196 0.0000056 0.1957595 12 HITS 0.00226 0.0000039 0.2257967 13 IATA 0.00355 0.0001045 0.3444810 14 WEHA 0.00011 0.0000086 0.0100810 15 TMAS 0.00130 0.0000413 0.1257078 16 RIGS 0.00191 0.0000153 0.1891932 17 SMDR 0.00055 0.0000750 0.0473136 18 SAFE 0.00486 0.0000386 0.4817714 19 ZBRA 0.00408 0.0000390 0.4038362 20 BULL 0.00059 0.0000497 0.0537033 21 GIAA 0.00068 0.0000917 0.0586149 22 APOL 0.00191 0.0000534 0.1858973 23 MIRA 0.00098 0.0000026 0.0975639 24 MBSS 0.00115 0.0002250 0.0922511 25 RAJA 0.00148 0.0001026 0.1377592 26 TRAM 0.00028 0.0000741 0.0202258 27 WINS 0.00059 0.0000195 0.0573720
Subsektor NO KODE Total Varians Saham Risiko (β² x σ m 2 ) Risiko Tidak (%) σei² Konstruksi Nonbangunan 28 PTRO 0.00125 0.0001096 0.1143818 29 INDY 0.00065 0.0002351 0.0412265 30 TBIG 0.00029 0.0000122 0.0273145 31 TOWR 0.00100 0.0000068 0.0990869 32 SUPR 0.00015 0.0000004 0.0146521
Lampiran 4 Pengukuran Risiko Total Subsektor Energi Jalan Tol, Bandara, Pelabuhan dan Sejenisnya Telekomunikasi Transportasi NO KODE Risiko (%)(βi2.σm2) Risiko Tidak (%) σei² Risiko Total (%)(σi 2 ) 1 PGAS 0.0047752 0.0296099 0.0343851 2 LAPD 0.0001153 0.0414820 0.0415973 3 CMNP 0.0068645 0.0419712 0.0488357 4 JSMR 0.0030575 0.0195546 0.0226121 5 BTEL 0.0021390 0.1263266 0.1284656 6 EXCL 0.0061453 0.0604889 0.0666342 7 ISAT 0.0095120 0.0593610 0.0688730 8 FREN 0.0177971 0.5362419 0.5540390 9 TLKM 0.0041628 0.0262407 0.0304035 10 BLTA 0.0000050 0.0016183 0.0016233 11 CMPP 0.0005601 0.1957595 0.1963196 12 HITS 0.0003927 0.2257967 0.2261894 13 IATA 0.0104526 0.3444810 0.3549336 14 WEHA 0.0008575 0.0100810 0.0109385 15 TMAS 0.0041290 0.1257078 0.1298368 16 RIGS 0.0015337 0.1891932 0.1907269 17 SMDR 0.0074963 0.0473136 0.0548099 18 SAFE 0.0038568 0.4817714 0.4856282 19 ZBRA 0.0038970 0.4038362 0.4077332 20 BULL 0.0049651 0.0537033 0.0586684 21 GIAA 0.0091681 0.0586149 0.0677830 22 APOL 0.0053419 0.1858973 0.1912392 23 MIRA 0.0002644 0.0975639 0.0978283 24 MBSS 0.0224977 0.0922511 0.1147488 25 RAJA 0.0102644 0.1377592 0.1480236 26 TRAM 0.0074086 0.0202258 0.0276344 27 WINS 0.0019493 0.0573720 0.0593213
Subsektor Konstruksi Nonbangunan NO KODE Risiko (%)(βi2.σm2) Risiko Tidak (%) σei² Risiko Total (%)(σi 2 ) 28 PTRO 0.0109587 0.1143818 0.1253405 29 INDY 0.0235135 0.0412265 0.0647400 30 TBIG 0.0012229 0.0273145 0.0285374 31 TOWR 0.0006767 0.0990869 0.0997636 32 SUPR 0.0000352 0.0146521 0.0146873
Hasil Penelitian dengan SPSS Lampiran 5 Hasil Uji Analisis Deskriptif Risiko risiko sistematis Descriptives 95% Confidence Interval for Mean Std. Lower Upper N Mean Deviation Std. Error Bound Bound Minimum Maximum energi 2.002445.0032950.0023300 -.027160.032050.0001.0048 jalan tol, bandara, 2.004961.0026920.0019035 -.019225.029147.0031.0069 telekomunikasi 5.007951.0061395.0027457.000328.015574.0021.0178 transportasi 18.005280.0055403.0013059.002525.008035.0000.0225 5.007281.0101222.0045268 -.005287.019850.0000.0235 Total 32.005813.0061261.0010830.003604.008022.0000.0235 Hasil Uji Test of Homogeneity of Variances Risiko Test of Homogeneity of Variances risiko sistematis Levene Statistic df1 df2 Sig. 1.570 4 27.211
Hasil Uji Anova Risiko risiko sistematis ANOVA Sum of Squares df Mean Square F Sig. Between Groups.000 4.000.386.817 Within Groups.001 27.000 Total.001 31
Hasil Uji Post Hoc Test Risiko Multiple Comparisons Dependent Variable:risiko sistematis 95% Confidence Mean Interval Difference Lower Upper (I) subsektor (J) subsektor (I-J) Std. Error Sig. Bound Bound Tukey HSD energi -.0025158.0063844.995 -.021162.016131 telekomunikasi -.0055060.0053415.839 -.021107.010095 transportasi -.0028348.0047586.975 -.016733.011064 -.0048362.0053415.892 -.020437.010765 energi.0025158.0063844.995 -.016131.021162 telekomunikasi -.0029902.0053415.980 -.018591.012611 transportasi -.0003190.0047586 1.000 -.014217.013579 -.0023204.0053415.992 -.017921.013281 telekomunikasi energi.0055060.0053415.839 -.010095.021107.0029902.0053415.980 -.012611.018591 transportasi.0026712.0032275.920 -.006755.012098.0006698.0040378 1.000 -.011123.012463 transportasi energi.0028348.0047586.975 -.011064.016733.0003190.0047586 1.000 -.013579.014217 telekomunikasi -.0026712.0032275.920 -.012098.006755 -.0020014.0032275.971 -.011428.007425 energi.0048362.0053415.892 -.010765.020437
.0023204.0053415.992 -.013281.017921 telekomunikasi -.0006698.0040378 1.000 -.012463.011123 transportasi.0020014.0032275.971 -.007425.011428 Bonferroni energi -.0025158.0063844 1.000 -.022030.016998 telekomunikasi -.0055060.0053415 1.000 -.021833.010821 transportasi -.0028348.0047586 1.000 -.017380.011710 -.0048362.0053415 1.000 -.021163.011490 energi.0025158.0063844 1.000 -.016998.022030 telekomunikasi -.0029902.0053415 1.000 -.019317.013336 transportasi -.0003190.0047586 1.000 -.014864.014226 -.0023204.0053415 1.000 -.018647.014006 telekomunikasi energi.0055060.0053415 1.000 -.010821.021833.0029902.0053415 1.000 -.013336.019317 transportasi.0026712.0032275 1.000 -.007194.012536.0006698.0040378 1.000 -.011672.013012 transportasi energi.0028348.0047586 1.000 -.011710.017380.0003190.0047586 1.000 -.014226.014864 telekomunikasi -.0026712.0032275 1.000 -.012536.007194 -.0020014.0032275 1.000 -.011866.007863 energi.0048362.0053415 1.000 -.011490.021163.0023204.0053415 1.000 -.014006.018647 telekomunikasi -.0006698.0040378 1.000 -.013012.011672 transportasi.0020014.0032275 1.000 -.007863.011866
Hasil Uji Homogeneous Risiko risiko sistematis subsektor N Subset for alpha = 0.05 1 Tukey HSD a energi 2.002445 2.004961 transportasi 18.005280 5.007281 telekomunikasi 5.007951 Sig..789 Means for groups in homogeneous subsets are displayed. a. Uses Harmonic Mean Sample Size = 3.435.
Lampiran 6 Hasil Uji Analisis Deskriptif Risiko Tidak Descriptives risikotidaksistematis 95% Confidence Interval for Mean Std. Std. Lower Upper Maximu N Mean Deviation Error Bound Bound Minimum m energi 2.035545.0083934.005935 0 -.039866.110956.0296.0415 2.030760.0158533.011210 0 -.111677.173197.0196.0420 telekomunikasi 5.161732.2124839.095025 7 -.102102.425566.0262.5362 transportasi 18.151608.1382574.032587 6.082854.220362.0016.4818 5.059332.0446110.019950 6.003940.114724.0146.1144 Total 32.123965.1377961.024359 1.074284.173645.0016.5362
Hasil Uji Test of Homogeneity of Variances Risiko Tidak Test of Homogeneity of Variances risikotidaksistematis Levene Statistic df1 df2 Sig. 2.287 4 27.086 Hasil Uji Anova Risiko Tidak ANOVA risikotidaksistematis Sum of Squares df Mean Square F Sig. Between Groups.075 4.019.982.434 Within Groups.514 27.019 Total.589 31
Hasil Uji Post Hoc Test Risiko Tidak Dependent Variable:risikotidaksistematis Multiple Comparisons 95% Confidence Mean Interval Difference Lower Upper (I) subsektor (J) subsektor (I-J) Std. Error Sig. Bound Bound Tukey HSD energi.0047850.1379529 1.000 -.398132.407702 telekomunikasi -.1261870.1154197.808 -.463291.210917 transportasi -.1160628.1028240.790 -.416379.184253 -.0237870.1154197 1.000 -.360891.313317 energi -.0047850.1379529 1.000 -.407702.398132 telekomunikasi -.1309720.1154197.787 -.468076.206132 transportasi -.1208478.1028240.765 -.421164.179468 -.0285720.1154197.999 -.365676.308532 telekomunikasi energi.1261870.1154197.808 -.210917.463291.1309720.1154197.787 -.206132.468076 transportasi.0101242.0697386 1.000 -.193560.213809.1024000.0872491.766 -.152427.357227 transportasi energi.1160628.1028240.790 -.184253.416379.1208478.1028240.765 -.179468.421164 telekomunikasi -.0101242.0697386 1.000 -.213809.193560
.0922758.0697386.680 -.111409.295960 energi.0237870.1154197 1.000 -.313317.360891.0285720.1154197.999 -.308532.365676 telekomunikasi -.1024000.0872491.766 -.357227.152427 transportasi -.0922758.0697386.680 -.295960.111409 Bonferroni energi.0047850.1379529 1.000 -.416871.426441 telekomunikasi -.1261870.1154197 1.000 -.478970.226596 transportasi -.1160628.1028240 1.000 -.430346.198221 -.0237870.1154197 1.000 -.376570.328996 energi -.0047850.1379529 1.000 -.426441.416871 telekomunikasi -.1309720.1154197 1.000 -.483755.221811 transportasi -.1208478.1028240 1.000 -.435131.193436 -.0285720.1154197 1.000 -.381355.324211 telekomunikasi energi.1261870.1154197 1.000 -.226596.478970.1309720.1154197 1.000 -.221811.483755 transportasi.0101242.0697386 1.000 -.203033.223282.1024000.0872491 1.000 -.164279.369079 transportasi energi.1160628.1028240 1.000 -.198221.430346.1208478.1028240 1.000 -.193436.435131 telekomunikasi -.0101242.0697386 1.000 -.223282.203033.0922758.0697386 1.000 -.120882.305433
energi.0237870.1154197 1.000 -.328996.376570.0285720.1154197 1.000 -.324211.381355 telekomunikasi -.1024000.0872491 1.000 -.369079.164279 transportasi -.0922758.0697386 1.000 -.305433.120882 Hasil Uji Homogeneous Risiko Tidak risikotidaksistematis Subset for alpha = 0.05 subsektor N 1 Tukey HSD a 2.030760 energi 2.035545 5.059332 transportasi 18.151608 telekomunikasi 5.161732 Sig..726 Means for groups in homogeneous subsets are displayed. a. Uses Harmonic Mean Sample Size = 3.435.