Lampiran 1. Data Penelitian Tahun 2008 2009 2010 Suku bunga ORI Inflasi BI Rate IHSG Bulan Deposito Rupiah % % Poin % Mei 93,00 10,38 8,25 2444,35 7,04 Jun 90,50 11,03 8,50 2349,10 7,26 Jul 90,50 11,90 8,75 2304,51 7,59 Agu 90,50 11,85 9,00 2120,49 8,11 Sep 90,50 12,14 9,25 1901,35 9,41 Okt 90,50 11,77 9,50 1698,21 10,14 Nov 90,50 11,68 9,50 1478,54 10,42 Des 90,50 11,06 9,25 1355,41 10,71 Jan 96,50 9,17 8,75 1332,67 10,37 Feb 96,50 8,60 8,25 1285,48 9,81 Mar 96,50 7,92 7,75 1406,65 9,25 Apr 96,50 7,31 7,50 1722,77 8,97 Mei 96,50 6,04 7,25 1916,83 8,61 Jun 96,50 3,65 7,00 2026,78 8,31 Jul 108,50 2,71 6,75 2323,24 8,11 Agu 100,00 2,75 6,50 2341,54 7,69 Sep 100,50 2,83 6,50 2467,59 7,27 Okt 100,30 2,57 6,50 2367,70 7,24 Nov 100,80 2,41 6,50 2415,84 7,01 Des 102,41 2,78 6,50 2534,36 6,77 Jan 102,71 3,72 6,50 2610,80 5,62 Feb 101,80 3,81 6,50 2549,03 5,68 Mar 103,00 3,43 6,50 2777,30 5,60 Apr 103,55 3,91 6,50 2971,25 5,85 Mei 102,70 4,16 6,50 2796,96 5,83 Jun 103,35 5,05 6,50 2913,68 6,57 Jul 104,25 6,22 6,50 3069,28 6,60 Agu 101,00 6,44 6,50 3081,88 6,60 Sep 102,00 5,80 6,50 3501,30 6,61 Okt 104,30 5,67 6,50 3635,32 6,59
Nov 103,75 6,33 6,50 3531,21 6,58 Des 102,17 6,96 6,50 3703,51 6,64
Suku bunga ORI Inflasi BI Rate IHSG Tahun Bulan Deposito Rupiah % % Poin % Jan 101,05 7,02 6,50 3409,17 6,67 Feb 100,00 6,84 6,75 3470,35 6,65 2011 Mar 102,10 6,65 6,75 3678,67 6,77 Apr 102,50 6,16 6,75 3819,62 6,77 Mei 102,75 5,98 6,75 3836,97 6,78 Jun 102,84 5,54 6,75 3888,57 6,80 Sumber : BI, BEI, BPS dan Bloomberg, data diolah (2008-2011)
Lampiran 2. Hasil Regresi Dependent Variable: ORI Date: 08/03/11 Time: 14:45 Sample (adjusted): 2008M05 2011M06 Included observations: 38 after adjustments C 110.9987 7.887840 14.07213 0.0000 INF -0.555513 0.399918-1.389067 0.1741 SBD 0.789470 0.413990 1.906979 0.0653 BIR -2.706394 1.115032-2.427190 0.0208 IHSG 0.002086 0.000629 3.317924 0.0022 R-squared 0.862042 Mean dependent var 99.04816 Adjusted R-squared 0.845319 S.D. dependent var 5.033063 S.E. of regression 1.979476 Akaike info criterion 4.325621 Sum squared resid 129.3048 Schwarz criterion 4.541093 Log likelihood -77.18680 Hannan-Quinn criter. 4.402284 F-statistic 51.55064 Durbin-Watson stat 1.900238
Lampiran 3. Pengujian Normalitas Data 14 12 10 8 6 4 2 0-5 -4-3 -2-1 0 1 2 3 4 5 6 7 Series: Residuals Sample 2008M05 2011M06 Observations 38 Mean -5.03e-15 Median -0.118198 Maximum 6.026497 Minimum -4.314260 Std. Dev. 1.869418 Skewness 0.603155 Kurtosis 4.697662 Jarque-Bera 6.867294 Probability 0.032269
Lampiran 4. Pengujian Linieritas Data Ramsey RESET Test: F-statistic 0.055918 Prob. F(1,32) 0.8146 Log likelihood ratio 0.066344 Prob. Chi-Square(1) 0.7967 Test Equation: Dependent Variable: ORI Date: 08/03/11 Time: 14:50 Sample: 2008M05 2011M06 Included observations: 38 C 239.0951 567.4128 0.421378 0.6763 INF -1.788873 5.540110-0.322895 0.7489 SBD 2.449705 7.495337 0.326830 0.7459 BIR -8.029837 23.55137-0.340950 0.7354 IHSG 0.006687 0.020412 0.327586 0.7454 FITTED^2-0.010758 0.047743-0.225326 0.8232 R-squared 0.862282 Mean dependent var 99.04816 Adjusted R-squared 0.840764 S.D. dependent var 5.033063 S.E. of regression 2.008414 Akaike info criterion 4.376507 Sum squared resid 129.0792 Schwarz criterion 4.635073 Log likelihood -77.15362 Hannan-Quinn criter. 4.468502 F-statistic 40.07186 Durbin-Watson stat 1.892742
Lampiran 5. Pengujian Multikolinieritas Dependent Variable: INF Date: 08/03/11 Time: 14:51 Sample (adjusted): 2008M05 2011M06 Included observations: 38 after adjustments C -23.36837 2.121636-11.01432 0.0000 SBD -0.084611 0.168235-0.502934 0.6183 BIR 3.590417 0.224852 15.96788 0.0000 IHSG 0.001730 0.000333 5.203811 0.0000 R-squared 0.807268 Mean dependent var 6.585263 Adjusted R-squared 0.799086 S.D. dependent var 3.087182 S.E. of regression 0.980703 Akaike info criterion 2.898207 Sum squared resid 32.70047 Schwarz criterion 3.070584 Log likelihood -51.06593 Hannan-Quinn criter. 2.959537 F-statistic 110.8831 Durbin-Watson stat 0.525791 Dependent Variable: SBD Date: 08/03/11 Time: 14:51 Sample (adjusted): 2008M05 2011M06 Included observations: 38 after adjustments C 3.404005 2.584421 1.317125 0.1966 INF -0.048906 0.099416-0.491929 0.6259 BIR 0.865645 0.349055 2.479965 0.0183 IHSG -0.000714 0.000254-2.809161 0.0082 R-squared 0.755253 Mean dependent var 7.507895 Adjusted R-squared 0.733657 S.D. dependent var 1.444715 S.E. of regression 0.745594 Akaike info criterion 2.350031 Sum squared resid 18.90097 Schwarz criterion 2.522408 Log likelihood -40.65058 Hannan-Quinn criter. 2.411361 F-statistic 34.97290 Durbin-Watson stat 0.206459
Dependent Variable: BIR Date: 08/03/11 Time: 14:52 Sample (adjusted): 2008M05 2011M06 Included observations: 38 after adjustments C 6.106876 0.444413 13.74145 0.0000 INF 0.235912 0.011660 20.23287 0.0000 SBD 0.098405 0.040945 2.403330 0.0218 IHSG -0.000436 8.05E-05-5.414959 0.0000 R-squared 0.847904 Mean dependent var 7.263158 Adjusted R-squared 0.843307 S.D. dependent var 1.055787 S.E. of regression 0.251386 Akaike info criterion 0.175643 Sum squared resid 2.148619 Schwarz criterion 0.348020 Log likelihood 0.662790 Hannan-Quinn criter. 0.236973 F-statistic 206.2136 Durbin-Watson stat 0.485517 Dependent Variable: IHSG Date: 08/03/11 Time: 14:52 Sample (adjusted): 2008M05 2011M06 Included observations: 38 after adjustments C 9399.208 651.0117 14.43785 0.0000 INF 255.2307 37.21521 6.858235 0.0000 SBD -182.2012 78.40485-2.323851 0.0262 BIR -978.2474 170.8697-5.725107 0.0000 R-squared 0.791405 Mean dependent var 2606.856 Adjusted R-squared 0.772999 S.D. dependent var 790.5081 S.E. of regression 376.6345 Akaike info criterion 14.79973 Sum squared resid 4823022. Schwarz criterion 14.97211 Log likelihood -277.1948 Hannan-Quinn criter. 14.86106 F-statistic 42.99831 Durbin-Watson stat 0.439906
Lampiran 6. Pengujian Autokorelasi Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.051353 Prob. F(2,31) 0.9500 Obs*R-squared 0.125483 Prob. Chi-Square(2) 0.9392 Test Equation: Dependent Variable: RESID Date: 08/03/11 Time: 14:50 Sample: 2008M05 2011M06 Included observations: 38 Presample missing value lagged residuals set to zero. C -1.858963 11.64834-0.159590 0.8742 INF -0.072597 0.440550-0.164786 0.8702 SBD -0.007588 0.470721-0.016119 0.9872 BIR 0.278909 1.711249 0.162986 0.8716 IHSG 0.000141 0.001047 0.134648 0.8938 RESID(-1) 0.062964 0.201019 0.313223 0.7562 RESID(-2) 0.024057 0.202319 0.118905 0.9061 R-squared 0.003302 Mean dependent var -5.03E-15 Adjusted R-squared -0.189607 S.D. dependent var 1.869418 S.E. of regression 2.038957 Akaike info criterion 4.427576 Sum squared resid 128.8778 Schwarz criterion 4.729237 Log likelihood -77.12395 Hannan-Quinn criter. 4.534905 F-statistic 0.017118 Durbin-Watson stat 2.011292 Prob(F-statistic) 0.999974