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DAFTAR PUSTAKA Alwi, Iskandar Z. 2008. Pasar Modal Teori dan Aplikasi, Jakarta: Yayasan Pancur Siwah. Amanda, Astrid dan DKK. 2012. Pengaruh Debt To Equity Ratio, Return On Equity, Earning Per Share Dan Price Earning Ratio Terhadap Harga Saham (Studi Pada Perusahaan food and baveragesyang terdaftar di BEI tahun 2009-2011). Arifin, Ali. 2002. Membaca saham. Yogyakarta: Andi. Astuti, P. 2002. “Analisis Variabel-variabel yang Mempengaruhi Harga Pasar Saham Perusahaan Perbankan di PT Bursa Efek Jakarta.” KOMPAS, Vol. 1, No. 6, September, h. 301-327 Brigham and Houston. 2009. Fundamental of Financial Management. Salemba Empat, Jakarta. Darsono. 2005. Pedoman Praktis Dalam Memahami Laporan Keuangan. Yogyakarta: ANDI. Devi N.L.P.A.C.D dan Sudjiami I, K. 2012. Pengaruh kinerja keuangan terhadap pendapatan saham dengan DPR sebagai variabel moderasi di BEI. Jurnal Manajemen 1(1): 1 10. Dwiatma Patriawan. 2011. Analisis Pengaruh Earning Per Share (EPS), Return On Equity (ROE), dan Debt to Equity Ratio (DER) Terhadap Harga Saham Pada Perusahaan WholeSale and Retail Trade Yang Terdaftar di Bursa Efek Indonesia (BEI) Tahun 2006-2008. Skripsi Strata-1, Fakultas Ekonomi, Universitas Diponegoro, Semarang Fahmi, Irham dan Lavianti, Yovi Hadi. 2009. Teori portofolio dan analisis invetasi. Bandung:ALFABETA. Ghozali, Imam. 2006. Aplikasi Analisis Multivariate dengan Program SPSS Cetakan IV. Badan Penerbit Universitas Dipenogoro, Semarang Ghozali, Imam. 2011. Aplikasi Analisis Multivariate dengan Program SPSS 19 Cetakan V. Badan Penerbit Universitas Dipenogoro, Semarang Gujarati. 2004. Basic Econometrics, fourth edition. The Mcgraw-Hill Companies. Harahap, Sofyan Safri. 2007. Analisis Kritis Atas Laporan Keuangan Edisi Keempat. PT RajaGrafindo Persada, Jakarta

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http://digilib.mercubuana.ac.id/

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Harmono. 2009. Manajemen Keuangan, Jakarta; Bumi Aksara. Hendy M, Fakhruddin. 2008. Istilah Pasar Modal A-Z, Jakarta: Elex Media Komputindo. Husnan, Said M.B.A. 1998. Manajemen keuangan: teori dan penerapan (keputusan jangka panjang) buku 1. Yogyakarta: BPFE. Husnan, Suad dan Enny Pudjiastuti. 2006. Dasar-dasar Manajamen Keuangan. Edisi Kelima. Yogyakarta: UPP STIM YPKN. Jogiyanto, H.M. 2010. Teori Portofolio dan Analisis Investasi. Edisi Ketujuh. BPFE, Yogyakarta.

Karnadjaja, Agustino. 2009. Smart investment for mega profit, Jakarta: Elex Media Komputindo. Kasmir. 2010. Pengantar Manajemen Keuangan. Edisi Pertama. Jakarta: Kencana.

Martono & Harjito, Agus. 2007. Manajemen Keuangan. Yogyakarta: Ekonisia. Nachrowi, Djalal Nachrowi, Hardius Usman. 2006. Pendekatan Populer dan Praktis Ekonometruka untuk Analisis Ekonomi dan Keuangan, Lembaga Penerbit Universitas Indonesia, Jakarta. Novasari, Ema. 2013. Pengaruh Per, Eps, Roa Dan Der Terhadap Harga Saham Perusahaan Sub-Sektor Industri Textile Yang Go Public Di Bursa Efek Indonesia (Bei) Tahun 2009-2011, Universitas Negeri Semarang. Rusdin. 2008. Pasar Modal: Teori, Masalah, dan Kebijakan Dalam Praktik, Bandung: Alfabeta. Priana, Gede Dwipratama. (2009). Pengaruh PBV, DER, EPS, DPR dan ROA Terhadap Harga Saham(studi empiris pada perusahaan food and beverage yang terdaftar di BEI, Universitas Gunadarma, Depok. Putri, Tiara Rachman, 2011,”Analisis Pengaruh Kinerja Keuangan Terhadap Harga Saham Pada Perusahaan Manufaktur di Bursa Efek Indonesia”, Jurnal Universitas Gunadarma. Sawidji, Widoatmodjo. 2005. Cara Sehat Investasi di Pasar Modal, Jakarta: Elex Media Komputindo.


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Subiyantoro, Edi. (2003). faktor-faktor yang mempengaruhi harga saham perusahaan jasa hotel yang terdaftar di pasar modal Indonesia didasarkan atas suatu pendekatan terhadap pertumbuhan tetap dari dividend discount model. Jurnal Manajemen dan Kewirausahaan Vol 5:2. Sugiyono. 2007. Metode penelitian kuantitatif, kualitatif dan R&D. Bandung: ALFABETA. Sutrisno, 2008. Manajemen Keuangan: Teori Konsep dan Aplikasi, Edisi Pertama, EKONISIA, Yogyakarta. Syamsuddin, Lukman. 2011. Manajemen keuangan perusahaan: konsep aplikasi dalam perencanaan, pengawasan, dan pengambilan keputusan. Jakarta: Raja Grafindo Persada. Wibisono, Yusuf (2005). Metode Statistika. Gadjah Mada University Press, Yogyakarta. Widarjono, Agus. 2007. Ekonometrika Teori dan Aplikasi untuk Ekonomi dan Bisnis. Edisi Kedua, Cetakan Kesatu, Penerbit Ekonisia Fakultas Ekonomi UII, Yogyakarta. Widoatmodjo, Sawidji. 2005. Seri Membuat Uang Bekerja Untuk Anda: Cara Sehat Investasi di Pasar Modal Pengantar Menjadi Investor Profesional. Elex Media Komputindo, Jakarta.

www.idx.co.id www.kompas.com


LAMPIRAN Lampiran I

Analisis Statistik Deskriptif

Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis

HS 110699.8 2095.000 1200000. 180.0000 294748.8 2.937263 10.60315

DER 1.036154 1.040000 3.030000 0.250000 0.563596 1.409103 6.038910

EPS 4335.971 137.8200 55576.08 4.610000 11477.29 3.162278 12.90606

ROA 12.24000 7.780000 65.72000 -0.820000 12.97180 2.344830 8.971841

Jarque-Bera Probability

150.0166 0.000000

27.91304 0.000001

224.4613 0.000000

93.69066 0.000000

Sum Sum Sq. Dev.

4317292. 3.30E+12

40.41000 12.07032

169102.8 5.01E+09

477.3600 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)

Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level

t-Statistic

Prob.*

-1.917209 -3.621023 -2.943427 -2.610263

0.3211

*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 Variable

Coefficient

Std. Error

t-Statistic

Prob.

DER(-1) D(DER(-1)) C

-0.354289 -0.457853 0.361712

0.184794 0.156857 0.213362

-1.917209 -2.918920 1.695299

0.0636 0.0062 0.0992

R-squared

0.467245

Mean dependent var

80


-0.007568

81

Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)

0.435907 0.501840 8.562687 -25.42590 14.90963 0.000022

S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat

0.668175 1.536535 1.667150 1.582583 2.005364

Setelah di 1st difference Null Hypothesis: D(DER) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=9)


t-Statistic

Prob.*

-12.63573 -3.621023 -2.943427 -2.610263

0.0000


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 Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(DER(-1)) C

-1.639395 -0.015517

0.129743 0.085613

-12.63573 -0.181244

0.0000 0.8572

R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)

0.820201 0.815064 0.520670 9.488387 -27.32501 159.6616 0.000000

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat

0.004865 1.210740 1.585136 1.672213 1.615834 2.162865

2. Uji Stasioner EPS Null Hypothesis: EPS has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on SIC, MAXLAG=9)

Augmented Dickey-Fuller test statistic

t-Statistic

Prob.*

-4.342320

0.0015


82

Test critical values:

1% level 5% level 10% level

-3.621023 -2.943427 -2.610263


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 Variable

Coefficient

Std. Error

t-Statistic

Prob.

EPS(-1) D(EPS(-1)) C

-0.563994 0.491604 2573.830

0.129883 0.149353 1479.302

-4.342320 3.291553 1.739895

0.0001 0.0023 0.0909


0.384996 0.348819 8243.581 2.31E+09 -384.5724 10.64210 0.000258


-1.398378 10215.63 20.94986 21.08048 20.99591 1.775866

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.*

-4.127171 -3.621023 -2.943427 -2.610263

0.0026


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 Variable

Coefficient

Std. Error

t-Statistic

Prob.

ROA(-1) D(ROA(-1))

-0.549887 0.456736

0.133236 0.151997

-4.127171 3.004904

0.0002 0.0050


83

C

6.608896


0.357059 0.319238 9.503020 3070.451 -134.2460 9.440977 0.000548

2.268081

2.913872


0.0063 -0.225135 11.51766 7.418701 7.549316 7.464749 1.875656

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.*

-3.806897 -3.621023 -2.943427 -2.610263

0.0062


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 Variable

Coefficient

Std. Error

t-Statistic

Prob.

HS(-1) D(HS(-1)) C

-0.505761 0.406575 58955.00

0.132854 0.156667 39010.12

-3.806897 2.595149 1.511275

0.0006 0.0139 0.1400


0.315436 0.275167 217814.9 1.61E+12 -505.7183 7.833322 0.001592



46.48649 255840.2 27.49828 27.62890 27.54433 2.024074

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 Variable

Coefficient

Std. Error

t-Statistic

Prob.

DER? EPS? ROA?

39003.53 27.82828 -3348.185

10056.19 1.553397 1240.946

3.878560 17.91447 -2.698091

0.0004 0.0000 0.0105

R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

0.968098 0.966325 54088.48 1.05E+11 -478.8145 2.935909

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter.

110699.8 294748.8 24.70843 24.83640 24.75435

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 Variable

Coefficient

Std. Error

t-Statistic

Prob.

C DER? EPS? ROA? Fixed Effects (Cross) _ADES--C _AISA--C _ALTO--C _CEKA--C _DLTA--C _ICBP--C _INDF--C _MLBI--C _MYOR--C _ROTI--C _SKLT--C _STTP--C

-13768.08 74552.57 19.82172 -3163.925

38319.84 22139.30 1.548009 1602.896

-0.359294 3.367431 12.80465 -1.973881

0.7227 0.0027 0.0000 0.0605

348.4758 -43548.29 -75654.62 -63005.20 114940.5 8314.161 -38730.14 291515.2 -72423.75 -36573.99 -54524.36 -47322.73


85

_ULTJ--C

16664.73 Effects Specification

Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)

0.995010 0.991756 26762.25 1.65E+10 -442.6364 305.7586 0.000000


110699.8 294748.8 23.51982 24.20230 23.76469 2.633325

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 Variable

Coefficient

Std. Error

t-Statistic

Prob.

C DER? EPS? ROA? Random Effects (Cross) _ADES--C _AISA--C _ALTO--C _CEKA--C _DLTA--C _ICBP--C _INDF--C _MLBI--C _MYOR--C _ROTI--C _SKLT--C _STTP--C _ULTJ--C

-114670.5 101591.1 21.27165 2277.201

16061.83 9711.791 1.217499 1062.168

-7.139314 10.46060 17.47160 2.143918

0.0000 0.0000 0.0000 0.0391

2665.583 -1421.283 -6037.493 -7370.077 8040.135 10669.12 809.1985 8219.083 -19353.10 -6705.082 -1531.406 -4954.506 16969.82 Effects Specification S.D.

Cross-section random Idiosyncratic random

10891.96 26762.25

Rho 0.1421 0.8579

Weighted Statistics R-squared

0.975007

Mean dependent var


90478.89

86

Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic)

0.972864 40132.96 455.1228 0.000000

S.D. dependent var Sum squared resid Durbin-Watson stat

243629.9 5.64E+10 2.387691

Unweighted Statistics R-squared Sum squared resid

0.979965 6.61E+10

Mean dependent var Durbin-Watson stat

110699.8 2.035045

Lampiran IV Uji Chow

Redundant Fixed Effects Tests Pool: POOL Test cross-section fixed effects Effects Test

Statistic

Cross-section F Cross-section Chi-square

d.f.

Prob.

5.637830 53.490661

(12,23) 12

0.0002 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 Variable

Coefficient

Std. Error

t-Statistic

Prob.

C DER? EPS? ROA?

-110242.8 94014.16 21.35435 2527.584

23625.62 14251.54 1.858755 1600.649

-4.666240 6.596774 11.48852 1.579099

0.0000 0.0000 0.0000 0.1233


0.980333 0.978647 43070.71 6.49E+10 -469.3818 581.5351 0.000000



110699.8 294748.8 24.27599 24.44661 24.33721 2.437770

87

Lampiran V

Uji Hausmant

Correlated Random Effects - Hausman Test Pool: POOL Test cross-section random effects Chi-Sq. Statistic

Chi-Sq. d.f.

Prob.

46.709141

3

0.0000

Var(Diff.)

Prob.

Test Summary Cross-section random

Cross-section random effects test comparisons: Variable

DER? EPS? ROA?

Fixed

Random

74552.57461 101591.14546 395829878.66 8 6 8103 19.821718 21.271653 0.914029 1441074.7620 3163.925075 2277.201037 83

0.1741 0.1294 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 Variable

Coefficient

Std. Error

t-Statistic

Prob.

C DER? EPS? ROA?

-13768.08 74552.57 19.82172 -3163.925

38319.84 22139.30 1.548009 1602.896

-0.359294 3.367431 12.80465 -1.973881

0.7227 0.0027 0.0000 0.0605

Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)

0.995010 0.991756 26762.25 1.65E+10 -442.6364 305.7586 0.000000



110699.8 294748.8 23.51982 24.20230 23.76469 2.633325

88

Lampiran VI Tabel Sampel Perusahaan Manufaktur di BEI

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

Kode ADES AISA ALTO CEKA DLTA ICBP INDF MLBI MYOR ROTI SKLT STTP ULTJ

Nama Perusahaan Akasha Wira International Tbk. Tiga Pilar Sejahtera Food Tbk. Tri Banyan Tirta Tbk. Wilmar Cahaya Indonesia Tbk. Delta Djakarta Tbk. Indofood CBP Sukses Makmur Tbk. Indofood Sukses Makmur Tbk. Multi Bintang Indonesia Tbk. Mayora Indah Tbk. Nippon Indosari Corpindo Tbk. Sekar Laut Tbk. Siantar Top Tbk. Ultrajaya Milk Industry & Trading Co. Tbk.


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