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Date Adj Close Ri

3/1/2019 444.380646
3/4/2019 425.426056 -0.04265395
3/5/2019 427.532074 0.0049503738
3/6/2019 421.213898 -0.01477825
3/7/2019 421.213898 0
3/8/2019 427.532074 0.0149999229
3/11/2019 423.319916 -0.009852262
3/12/2019 429.638214 0.0149255864
3/13/2019 425.426056 -0.009803965
3/14/2019 425.426056 0
3/15/2019 429.638214 0.0099010344
3/18/2019 425.426056 -0.009803965
3/19/2019 429.638214 0.0099010344
3/20/2019 427.532074 -0.004902124
3/21/2019 429.638214 0.0049262737
3/22/2019 423.319916 -0.014706089
3/25/2019 421.213898 -0.004975003
3/26/2019 421.213898 0
3/27/2019 425.426056 0.0100000452
3/28/2019 423.319916 -0.004950661
3/29/2019 425.426056 0.0049752915
4/1/2019 423.319916 -0.004950661
4/2/2019 421.213898 -0.004975003
4/3/2019 421.213898 0
4/4/2019 419.107819 -0.005000023
4/5/2019 423.319916 0.0100501513
4/8/2019 423.319916 0
4/9/2019 423.319916 0
4/10/2019 427.532074 0.0099502949
4/11/2019 429.638214 0.0049262737
4/12/2019 431.744232 0.0049018405
4/15/2019 425.426056 -0.014634072
4/16/2019 425.426056 0
4/17/2019 425.426056 0
4/18/2019 446.229797 0.0489009564
4/19/2019 446.229797 0
4/22/2019 446.678772 0.001006152
4/23/2019 446.678772 0
4/24/2019 435.455658 -0.025125694
4/25/2019 451.167969 0.0360824592
4/26/2019 444.434113 -0.014925386
4/29/2019 448.92337 0.0101010631
4/30/2019 457.901886 0.0200001083
5/1/2019 457.901886 0
5/2/2019 448.92337 -0.019607947
5/3/2019 442.189514 -0.015000012
Date Adj Close Rm
3/1/2019 6499.883789
3/4/2019 6488.419922 -0.001764
3/5/2019 6441.279785 -0.007265
3/6/2019 6457.956055 0.002589
3/7/2019 -1
3/8/2019 6383.067871 0
3/11/2019 6366.434082 -0.002606
3/12/2019 6353.773926 -0.001989
3/13/2019 6377.575195 0.003746
3/14/2019 6413.266113 0.005596
3/15/2019 6461.183105 0.007472
3/18/2019 6509.446777 0.00747
3/19/2019 6480.275879 -0.004481
3/20/2019 6482.709961 0.000376
3/21/2019 6501.775879 0.002941
3/22/2019 6525.273926 0.003614
3/25/2019 6411.250977 -0.017474
3/26/2019 6469.999023 0.009163
3/27/2019 6444.737793 -0.003904
3/28/2019 6480.788086 0.005594
3/29/2019 6468.754883 -0.001857
4/1/2019 6452.61084 -0.002496
4/2/2019 6476.065918 0.003635
4/3/2019 -1
4/4/2019 6494.629883 0
4/5/2019 6474.018066 -0.003174
4/8/2019 6425.733887 -0.007458
4/9/2019 6484.348145 0.009122
4/10/2019 6478.326172 -0.000929
4/11/2019 6410.166016 -0.010521
4/12/2019 6405.866211 -0.000671
4/15/2019 6435.150879 0.004572
4/16/2019 6481.541016 0.007209
4/17/2019 -1
4/18/2019 6507.221191 0
4/19/2019 -1
4/22/2019 6414.743164 0
4/23/2019 6462.821777 0.007495
4/24/2019 6447.884766 -0.002311
4/25/2019 6372.787109 -0.011647
4/26/2019 6401.080078 0.00444
4/29/2019 6425.89502 0.003877
4/30/2019 6455.352051 0.004584
5/1/2019 -1
5/2/2019 6374.421875 0
5/3/2019 6319.458984 -0.008622
Date Adj Close
2/27/2019 427.532074
2/28/2019 435.95636
3/1/2019 444.380646
3/4/2019 425.426025
3/5/2019 427.532074
3/6/2019 421.213898
3/7/2019 421.213898
3/8/2019 427.532074
3/11/2019 423.319916
3/12/2019 429.638153
3/13/2019 425.426025
3/14/2019 425.426025
3/15/2019 429.638153
3/18/2019 425.426025
3/19/2019 429.638153
3/20/2019 427.532074
3/21/2019 429.638153
3/22/2019 423.319916
3/25/2019 421.213898
3/26/2019 421.213898
3/27/2019 425.426025
3/28/2019 423.319916
3/29/2019 425.426025
4/1/2019 423.319916
4/2/2019 421.213898
4/3/2019 421.213898
4/4/2019 419.107788
4/5/2019 423.319916
4/8/2019 423.319916
4/9/2019 423.319916
4/10/2019 427.532074
4/11/2019 429.638153
4/12/2019 431.744232
4/15/2019 425.426025
4/16/2019 425.426025
4/17/2019 425.426025
4/18/2019 446.229828
4/19/2019 446.229828
4/22/2019 446.678741
4/23/2019 446.678741
4/24/2019 435.455688
4/25/2019 451.167969
4/26/2019 444.434143
4/29/2019 448.92334
4/30/2019 457.901855
5/1/2019 457.901855
5/2/2019 448.92334
5/3/2019 442.189514
5/6/2019 442.189514
5/7/2019 437.700287
5/8/2019 439.944916
5/9/2019 444.434143
Date Adj Close
2/27/2019 6525.683105
2/28/2019 6443.348145
3/1/2019 6499.883789
3/4/2019 6488.419922
3/5/2019 6441.279785
3/6/2019 6457.956055
3/7/2019
3/8/2019 6383.067871
3/11/2019 6366.434082
3/12/2019 6353.773926
3/13/2019 6377.575195
3/14/2019 6413.266113
3/15/2019 6461.183105
3/18/2019 6509.446777
3/19/2019 6480.275879
3/20/2019 6482.709961
3/21/2019 6501.775879
3/22/2019 6525.273926
3/25/2019 6411.250977
3/26/2019 6469.999023
3/27/2019 6444.737793
3/28/2019 6480.788086
3/29/2019 6468.754883
4/1/2019 6452.61084
4/2/2019 6476.065918
4/3/2019
4/4/2019 6494.629883
4/5/2019 6474.018066
4/8/2019 6425.733887
4/9/2019 6484.348145
4/10/2019 6478.326172
4/11/2019 6410.166016
4/12/2019 6405.866211
4/15/2019 6435.150879
4/16/2019 6481.541016
4/17/2019
4/18/2019 6507.221191
4/19/2019
4/22/2019 6414.743164
4/23/2019 6462.821777
4/24/2019 6447.884766
4/25/2019 6372.787109
4/26/2019 6401.080078
4/29/2019 6425.89502
4/30/2019 6455.352051
5/1/2019
5/2/2019 6374.421875
5/3/2019 6319.458984
5/6/2019 6256.352051
5/7/2019 6297.317871
5/8/2019 6270.202148
5/9/2019 6198.804199
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.0022531785375
R Square 5.076813522E-06
Adjusted R Squar -0.023250619075
Standard Error 0.0149654568999
Observations 45

ANOVA
df SS MS F Significance F
Regression 1 4.88925E-08 4.8892E-08 0.0002183 0.98827993
Residual 43 0.009630491 0.00022396
Total 44 0.00963054

Coefficients Standard Error t Stat P-value Lower 95%


Intercept -1.48897143E-05 0.00236595 -0.0062933 0.99500779 -0.0047863
X Variable 1 -0.00010485696 0.007096861 -0.0147751 0.98827993 -0.014417

ER = Kons+(Koef*Rm)

8.996724592E-05
-1.46473667E-05
nificance F

Upper 95% Lower 95.0%Upper 95.0%


0.0047565 -0.0047863 0.0047565
0.01420733 -0.014417 0.01420733
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.0391945428
R Square 0.0015362122
Adjusted R Square -0.030672297
Standard Error 0.011234021
Observations 33

ANOVA
df SS MS F Significance F
Regression 1 6.0193701E-06 6.01937E-06 0.047695849 0.8285536734
Residual 31 0.00391230006 0.0001262032
Total 32 0.00391831943

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%


Intercept -0.001394645 0.00205056163 -0.680128528 0.501471179 -0.005576793 0.002787503
X Variable 1 -0.00148502 0.00679973696 -0.218393793 0.828553673 -0.015353175 0.012383135
Lower 95.0% Upper 95.0%
-0.005576793 0.0027875026
-0.015353175 0.0123831346
Date Ri Rm
3/1/2019
3/4/2019 -0.04265395 -0.001763703
3/5/2019 0.0049503738 -0.007265272
3/6/2019 -0.01477825 0.002588968
3/7/2019 0 -1
3/8/2019 0.0149999229 0
3/11/2019 -0.009852262 -0.002605924
3/12/2019 0.0149255864 -0.001988579
3/13/2019 -0.009803965 0.003746005
3/14/2019 0 0.005596315
3/15/2019 0.0099010344 0.007471543
3/18/2019 -0.009803965 0.007469789
3/19/2019 0.0099010344 -0.004481318
3/20/2019 -0.004902124 0.000375614
3/21/2019 0.0049262737 0.002941041
3/22/2019 -0.014706089 0.003614097
3/25/2019 -0.004975003 -0.017474048
3/26/2019 0 0.009163273
3/27/2019 0.0100000452 -0.003904364
3/28/2019 -0.004950661 0.005593756
3/29/2019 0.0049752915 -0.00185675
4/1/2019 -0.004950661 -0.002495696
4/2/2019 -0.004975003 0.003634975
4/3/2019 0 -1
4/4/2019 -0.005000023 0
4/5/2019 0.0100501513 -0.003173671
4/8/2019 0 -0.007458147
4/9/2019 0 0.0091218
4/10/2019 0.0099502949 -0.000928694
4/11/2019 0.0049262737 -0.01052126
4/12/2019 0.0049018405 -0.000670779
4/15/2019 -0.014634072 0.004571539
4/16/2019 0 0.007208865 Expected Return Periode Jen
4/17/2019 0 -1 t Tanggal Konstanta
4/18/2019 0.0489009564 0 t-2 4/18/2019 -0.00139464546
4/19/2019 0 -1 t-1 4/19/2019 -0.00139464546
4/22/2019 0.001006152 0 t0 4/22/2019 -0.00139464546
4/23/2019 0 0.007495018 t+1 4/23/2019 -0.00139464546
4/24/2019 -0.025125694 -0.002311221 t+1 4/24/2019 -0.00139464546
4/25/2019 0.0360824592 -0.011646867
4/26/2019 -0.014925386 0.004439654
4/29/2019 0.0101010631 0.00387668 Abnormal Return
4/30/2019 0.0200001083 0.004584113 t Tanggal Actual R
5/1/2019 0 -1 t-2 4/29/2019 0.048900956363
5/2/2019 -0.019607947 0 t-1 4/30/2019 0
5/3/2019 -0.015000012 -0.008622412 t0 5/1/2019 0.001006151994
t+1 5/2/2019 0
t+2 5/3/2019 -0.02512569368
reaksi
pected Return Periode Jendela
Koeffisien Rm ER
-0.0014850203 0 -0.0013946455
-0.0014850203 -1 9.037488E-05
-0.0014850203 0 -0.0013946455
-0.0014850203 0.007495018 -0.0014057757
-0.0014850203 -0.002311221 -0.0013912133

bnormal Return
ER Ab R
-0.0013946455 0.050295602
9.037488E-05 -9.03749E-05
-0.0013946455 0.002400797
-0.0014057757 0.001405776
-0.0013912133 -0.02373448
Date SIDO JK Ri JKSE Rm
2/27/2019 427.532074 6525.683105
2/28/2019 435.95636 0.0197044538 6443.348145 -0.012617064
3/1/2019 444.380646 0.019323691 6499.883789 0.008774265
3/4/2019 425.426025 -0.04265402 6488.419922 -0.001763703
3/5/2019 427.532074 0.004950447 6441.279785 -0.007265272
3/6/2019 421.213898 -0.01477825 6457.956055 0.0025889684
3/7/2019 421.213898 0 -1
3/8/2019 427.532074 0.0149999229 6383.067871 0
3/11/2019 423.319916 -0.009852262 6366.434082 -0.002605924
3/12/2019 429.638153 0.0149254423 6353.773926 -0.001988579
3/13/2019 425.426025 -0.009803897 6377.575195 0.003746005
3/14/2019 425.426025 0 6413.266113 0.0055963147
3/15/2019 429.638153 0.0099009646 6461.183105 0.0074715428
3/18/2019 425.426025 -0.009803897 6509.446777 0.0074697886
3/19/2019 429.638153 0.0099009646 6480.275879 -0.004481318
3/20/2019 427.532074 -0.004901983 6482.709961 0.0003756139
3/21/2019 429.638153 0.004926131 6501.775879 0.0029410413
3/22/2019 423.319916 -0.01470595 6525.273926 0.0036140967
3/25/2019 421.213898 -0.004975003 6411.250977 -0.017474048
3/26/2019 421.213898 0 6469.999023 0.0091632735
3/27/2019 425.426025 0.0099999716 6444.737793 -0.003904364
3/28/2019 423.319916 -0.004950588 6480.788086 0.0055937564
3/29/2019 425.426025 0.0049752183 6468.754883 -0.00185675
4/1/2019 423.319916 -0.004950588 6452.61084 -0.002495696
4/2/2019 421.213898 -0.004975003 6476.065918 0.0036349748
4/3/2019 421.213898 0 -1
4/4/2019 419.107788 -0.005000096 6494.629883 0
4/5/2019 423.319916 0.010050226 6474.018066 -0.003173671
4/8/2019 423.319916 0 6425.733887 -0.007458147
4/9/2019 423.319916 0 6484.348145 0.0091217998
4/10/2019 427.532074 0.0099502949 6478.326172 -0.000928694
4/11/2019 429.638153 0.004926131 6410.166016 -0.01052126
4/12/2019 431.744232 0.0049019832 6405.866211 -0.000670779
4/15/2019 425.426025 -0.014634143 6435.150879 0.0045715391
4/16/2019 425.426025 0 6481.541016 0.0072088655 Ex
4/17/2019 425.426025 0 -1 t
4/18/2019 446.229828 0.0489011057 6507.221191 0 t-2
4/19/2019 446.229828 0 -1 t-1
4/22/2019 446.678741 0.001006013 6414.743164 0 t0
4/23/2019 446.678741 0 6462.821777 0.0074950176 t+1
4/24/2019 435.455688 -0.025125559 6447.884766 -0.002311221 t+2
4/25/2019 451.167969 0.0360823878 6372.787109 -0.011646867
4/26/2019 444.434143 -0.014925319 6401.080078 0.0044396539 A
Abnormal
Return Efisiensi Pasar
0.04
4/29/2019 448.92334 0.0101009274 6425.89502Abnormal
0.0038766805 t
4/30/2019 457.901855 0.0200001074 Return
6455.352051 0.0045841133 Efisiensi
t-2 Pasar
5/1/2019 457.901855 0 0.04 -1 t-1
5/2/2019 448.92334 -0.019607946 6374.421875 0 t0
0.03
5/3/2019 442.189514 -0.014999946 6319.458984 -0.008622412 t+1
5/6/2019 442.189514 0 6256.352051 0.02
-0.009986129 t+2
5/7/2019 437.700287 -0.010152269 6297.317871 0.0065478764 Reaksi
0.01
5/8/2019 439.944916 0.0051282329 6270.202148 -0.004305916 Reaksi
5/9/2019 444.434143 0.0102040661 6198.804199 -0.011386866
0 Reaksi
1 2 3 4 5 6 7
Reaksi
-0.01
Reaksi
-0.02 Reaksi
Reaksi
-0.03
Reaksi
Reaksi
Expected Return Periode Jendela
Tanggal Konstanta Koeffisien Rm ER
4/18/2019 -9.092506E-05 -0.0002110338 0 -9.092506E-05
4/19/2019 -9.092506E-05 -0.0002110338 -1 0.0001201087
4/22/2019 -9.092506E-05 -0.0002110338 0 -9.092506E-05
4/23/2019 -9.092506E-05 -0.0002110338 0.0074950176 -9.250676E-05
4/24/2019 -9.092506E-05 -0.0002110338 -0.002311221 -9.043731E-05

Abnormal Return

Efisiensi Pasar
Tanggal Actual R ER Ab R
Efisiensi Pasar
#NAME? 0.0489011057 -9.092506E-05 0.0489920307
#NAME? 0 0.0001201087 -0.000120109
#NAME? 0.001006013 -9.092506E-05 0.001096938
#NAME? 0 -9.250676E-05 9.250676E-05
#NAME? -0.0251255589 -9.043731E-05 -0.025035122
4/25/2019 0.0360823878 -8.846717E-05 0.036170855
4/26/2019 -0.0149253193 -9.186197E-05 -0.014833457
4/29/2019 0.0101009274 -9.174317E-05 0.0101926705
4 5 6 7 8 9
4/30/2019 0.0200001074 -9.189246E-05 0.0200919998
5/1/2019 0 0.0001201087 -0.000120109
5/2/2019 -0.0196079463 -9.092506E-05 -0.019517021
5/3/2019 -0.0149999463 -8.910544E-05 -0.014910841
5/6/2019 0 -8.881765E-05 8.881765E-05
5/7/2019 -0.0101522692 -9.230688E-05 -0.010059962
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.0050823207
R Square 2.5829984E-05
Adjusted R Square -0.0302764176
Standard Error 0.0119747945
Observations 35

ANOVA
df SS MS F
Regression 1 1.2223215E-07 1.222321E-07 0.000852411
Residual 33 0.00473205821 0.0001433957
Total 34 0.00473218044

Coefficients Standard Error t Stat P-value


Intercept -9.092506E-05 0.00211664538 -0.042957152 0.965994565
X Variable 1 -0.0002110338 0.00722815326 -0.029196087 0.976884061
Significance F
0.97688406105

Lower 95% Upper 95% Lower 95.0% Upper 95.0%


-0.0043972725 0.004215422 -0.004397272 0.0042154223
-0.0149168222 0.014494755 -0.014916822 0.0144947546

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