chapter 4 data collection and analysis ...digilib.itb.ac.id/files/disk1/552/jbptitbpp-gdl...chapter...

CHAPTER 4

DATA COLLECTION AND ANALYSIS

4.1 Data Collection

4.1.1 IHSG

IHSG (Indeks Harga Saham Gabungan) is the Indonesian Composite

Index that contains all the stocks listed in the stock market. It represents

the holistic representative about the Indonesian economy.

0

200

400

600

800

10001200

1400

1600

1800

2000

IHSG

Jan 03 Jan 05 Jan 06 Jan 02 Dec 06Jan 04

Figure 4.1 IHSG Trend from Year 2002 to 2006

The IHSG chart shows the movement of the actual value of the IHSG

from year 2002 to 2006. The IHSG index value contains of all stock

value in the Indonesia stock market. The trend of this index is increasing;

this shows that the economy of Indonesia is increasing too. The historical

data of IHSG from year 2002 to 2006 is collected from Jakarta Stock

Exchange, directly from the office and also from the daily data of Jakarta

Stock Exchange Website. The value of IHSG index is 383.458 in the

beginning of 2002 and 1805.523 at the end of year 2006.

4.1.2 LQ45

Unlike IHSG that contains all the stocks listed in the stock market, LQ45

contains only 45 most liquid stocks that pass the certain requirements.

15

The stocks listed in the LQ45 can be considered the most influential

stocks that influence the Indonesian economy.

0

50

100

150

200

250

300

350

400

450

LQ45

Dec 06Jan 06Jan 04 Jan 05Jan 02 Jan 03

Figure 4.2 LQ45 Trend from Year 2002 to 2006

The LQ45 chart shows the movement of the actual LQ45 value from year

2002 to 2006. The value of LQ45 is smaller than IHSG because it only

contains of 45 most liquid stock portfolio. However, the member of

LQ45 is changed every 6 months due to the performance of the stock, the

more liquid the stock is the higher odds it can enter the LQ45 index. The

historical data of LQ45 from year 2002 to 2006 is collected from Jakarta

Stock Exchange, directly from the office and also from the daily data of

Jakarta Stock Exchange Website. The value of LQ45 index is 78.123 in

the beginning of 2002 and 393.112 at the end of year 2006.

Below is the list of stocks that in the LQ45 list: Table 4.1 LQ45 List from February 2004 to January 2005

Feb 04-Jul 04 Name Note

Aug 04-Jan 05 Name Note

AALI Astra Agro AALI Astra Agro ANTM Aneka Tambang AUTO Astra Otoparts Out ASII Astra BLTA Berlian Laju Out AUTO Astra Otoparts ANTM Aneka Tambang BBCA Bank Central Asia ASII Astra BLTA Berlian Laju BBCA Bank Central Asia BNBR Bakrie & Brothers DNKS Dankos Out ASGR Astra Graphia Tbk Out BDMN Bank Danamon Tbk New BRPT Barito Pacific BNBR Bakrie & Brothers BUMI Bumi Resources IDSR Indosiar Visual Out BBNI Bank Negara Out BNGA Bank Niaga Tbk New INAF Indofarma Tbk Out BNII Bank Int’l Indonesia Out DNKS Dankos BRPT Barito Pacific EPMT Enseval Putra BUMI Bumi Resources

16

Table 4.1 LQ45 List from February 2004 to January 2005 (Contd) KAEF Kimia Farma Tbk Out CTRS Ciputra Surya Tbk New GGRM Gudang Garam Tbk EPMT Enseval Putra GJTL Gajah Tunggal Tbk GGRM Gudang Garam Tbk HMSP H M Sampoerna Tbk LMAS Limas Stokhomindo Out IDSR Indosiar Visual GJTL Gajah Tunggal Tbk INCO International Nickel HMSP H M Sampoerna Tbk INDF Indofood Sukses INCO International Nickel INKP Indah Kiat Pulp & INDF Indofood Sukses INTP Indocement INKP Indah Kiat Pulp & ISAT Indosat Tbk INTP Indocement JIHD Jakarta Int l ISAT Indosat Tbk KLBF Kalbe Farma Tbk JIHD Jakarta Int l MEDC Medco Energi Out KIJA Kawasan Industri New LMAS Limas Stokhomindo KLBF Kalbe Farma Tbk MPPA Matahari Putra PNBN Bank Pan TRST Trias Sentosa Tbk Out LPBN Bank Lippo Tbk New NISP Bank NISP Tbk MPPA Matahari Putra Out PNBN Bank Pan NISP Bank NISP Tbk Out PNIN Panin Insurance SMGR Semen Gresik Out PTBA Tambang Batubara PNIN Panin Insurance RALS Ramayana Lestari PTBA Tambang Batubara RMBA Bentoel RALS Ramayana Lestari SMCB Semen Cibinong RMBA Bentoel SMGR Semen Gresik SMCB Semen Cibinong SMRA Summarecon Agung SMRA Summarecon Agung Out TINS Timah Tbk TINS Timah Tbk TKIM Pabrik Kertas TKIM Pabrik Kertas TLKM Telekomunikasi TLKM Telekomunikasi TSPC Tempo Scan TSPC Tempo Scan UNTR United Tractors UNTR United Tractors UNVR Unilever UNVR Unilever

Table 4.2 LQ45 List from February 2005 to January 2006



AALI Astra Agro AALI Astra Agro ADHI Adhi Karya New ADHI Adhi Karya BFIN BFI Finance Out ADMG GT Petrochem New ANTM Aneka Tambang ANTM Aneka Tambang ASII Astra ASII Astra BBCA Bank Central Asia BBCA Bank Central Asia BBRI Bank Rakyat New BBRI Bank Rakyat BDMN Bank Danamon Tbk BDMN Bank Danamon Tbk CTRS Ciputra Surya Tbk Out BLTA Berlian Laju New BMRI Bank Mandiri New BMRI Bank Mandiri BNBR Bakrie & Brothers BNBR Bakrie & Brothers BNGA Bank Niaga Tbk New BNGA Bank Niaga Tbk BNII Bank Int’l Indonesia BNII Bank Int’l Indonesia ELTY Bakrieland Out BNLI Bank Permata Tbk New BRPT Barito Pacific BUMI Bumi Resources EPMT Enseval Putra Out CMNP Citra Marga New BUMI Bumi Resources ENRG Energi Mega

17

Table 4.2 LQ45 List from February 2005 to January 2006 (Contd) ENRG Energi Mega New GGRM Gudang Garam Tbk GGRM Gudang Garam Tbk BRPT Barito Pacific Out GJTL Gajah Tunggal Tbk GJTL Gajah Tunggal Tbk INCO International Nickel INCO International Nickel INDF Indofood Sukses INDF Indofood Sukses INKP Indah Kiat Pulp & INKP Indah Kiat Pulp & INTP Indocement INTP Indocement ISAT Indosat Tbk ISAT Indosat Tbk JIHD Jakarta Int l JIHD Jakarta Int l KIJA Kawasan Industri KIJA Kawasan Industri KLBF Kalbe Farma Tbk KLBF Kalbe Farma Tbk HMSP H M Sampoerna Tbk Out LPBN Bank Lippo Tbk New LSIP PP London New RALS Ramayana Lestari Out MEDC Medco Energi New LSIP PP London PGAS Perusahaan Gas New MEDC Medco Energi PLAS Palm Asia Corpora New PGAS Perusahaan Gas PNBN Bank Pan PLAS Palm Asia Corpora PTBA Tambang Batubara PNBN Bank Pan RMBA Bentoel Out PNLF Panin Life Tbk New RALS Ramayana Lestari PTBA Tambang Batubara SMCB Semen Cibinong SMCB Semen Cibinong TRIM Trimegah Out SMRA Summarecon Agung New TINS Timah Tbk TINS Timah Tbk TKIM Pabrik Kertas TKIM Pabrik Kertas TLKM Telekomunikasi TLKM Telekomunikasi UNSP Bakrie Sumatra New UNSP Bakrie Sumatra UNTR United Tractors UNTR United Tractors UNVR Unilever UNVR Unilever

Table 4.3 LQ45 List from February 2006 to January 2007



AALI Astra Agro AALI Astra Agro ADHI Adhi Karya ADHI Adhi Karya ADMG Polychem ADMG Polychem ANTM Aneka Tambang ANTM Aneka Tambang BNLI Bank Permata Tbk Out APOL Arpeni Pratama New ASII Astra ASII Astra BBCA Bank Central Asia BBCA Bank Central Asia BBRI Bank Rakyat BBRI Bank Rakyat BDMN Bank Danamon Tbk BDMN Bank Danamon Tbk BLTA Berlian Laju BLTA Berlian Laju BMRI Bank Mandiri BMRI Bank Mandiri BNBR Bakrie & Brothers BNBR Bakrie & Brothers BNGA Bank Niaga Tbk BNGA Bank Niaga Tbk BNII Bank Int’l Indonesia BNII Bank Int’l Indonesia JIHD Jakarta Int'l Out BRPT Barito Pacific New LPBN Bank Lippo Tbk Out BTEL Bakrie Telecom New BUMI Bumi Resources BUMI Bumi Resources CMNP Citra Marga CMNP Citra Marga CTRS Ciputra Surya Tbk New CTRS Ciputra Surya Tbk ENRG Energi Mega ENRG Energi Mega

18

Table 4.3 LQ45 List from February 2006 to January 2007 (Contd) GGRM Gudang Garam Tbk GGRM Gudang Garam Tbk GJTL Gajah Tunggal Tbk GJTL Gajah Tunggal Tbk INCO International Nickel INCO International Nickel INDF Indofood Sukses INDF Indofood Sukses INKP Indah Kiat Pulp & INKP Indah Kiat Pulp & INTP Indocement INTP Indocement ISAT Indosat Tbk ISAT Indosat Tbk KIJA Kawasan Industri KIJA Kawasan Industri KLBF Kalbe Farma Tbk KLBF Kalbe Farma Tbk MLPL Multipolar Tbk Out LPKR Lippo Karawaci New LSIP PP London LSIP PP London MEDC Medco Energi MEDC Medco Energi PLAS Palm Asia Corpora Out MPPA Matahari Putra New PGAS Perusahaan Gas PGAS Perusahaan Gas PNBN Bank Pan PNBN Bank Pan PNLF Panin Life Tbk PNLF Panin Life Tbk PTBA Tambang Batubara PTBA Tambang Batubara TINS Timah Tbk Out RALS Ramayana Lestari New SMCB Holcim Indonesia SMCB Holcim Indonesia SMRA Summarecon Agung SMRA Summarecon Agung TKIM Pabrik Kertas TKIM Pabrik Kertas TLKM Telekomunikasi TLKM Telekomunikasi UNSP Bakrie Sumatra UNSP Bakrie Sumatra UNTR United Tractors UNTR United Tractors UNVR Unilever UNVR Unilever

19

4.1.3 Agricultural

This agricultural industry sectoral index shows the actual agricultural

stock value from year 2002 to 2006. This industry is divided into 4 sub

sectors: farm, ranch, fishery, and others.

0

200

400

600

800

1000

1200

1400

Agriculture

Dec 06Jan 06Jan 04 Jan 05Jan 03Jan 02

Figure 4.3 Agricultural Index Trend from Year 2002 to 2006

In the beginning of year 2002, the value tended to be decreasing but in

the 2003 the value was beginning to increase again. The historical data of

Agricultural index from year 2002 to 2006 is collected from Jakarta

Stock Exchange, directly from the office and also from the daily data of

Jakarta Stock Exchange Website. The value of Agricultural index is

115.324 in the beginning of 2002 and 1218.450 at the end of year 2006.

20

4.1.4 Basic Industry

The Basic Industry index chart shows the movement of the actual value

of the Basic Industry index from year 2002 to 2006.The basic industry

sector is one of the big sectors of the industry because it consists of a lot

of stocks that are divided into 8 sub sectors: cement; ceramic, porcelain

and glass; metal; chemical; plastic and package; cattle food; wood and

processing; pulp and paper.

0

20

40

60

80

100

120

140

160

Basic Industry

Dec 06Jan 06 Jan 04 Jan 05Jan 03Jan 02

Figure 4.4 Basic Industry Index Trend from 2002 to 2006 The basic industry index is increasing but it is declining slightly around

the end of year 2002. The historical data of Basic Industry index from

year 2002 to 2006 is collected from Jakarta Stock Exchange, directly

from the office and also from the daily data of Jakarta Stock Exchange

Website. The value of Basic Industry index is 40.563 in the beginning of

2002 and 147.101 at the end of year 2006.

21

4.1.5 Consumer Goods

The Consumer Goods index chart shows the movement of the actual

value of the Consumer Goods index from year 2002 to 2006.The

consumer goods sector is one of the counter-cyclical sectors because the

product of consumer goods will be used by the consumer in a daily basis.

It is the basic needs of people, like soap, shampoo, cigarettes, etc.

0

50

100

150

200

250

300

350

400

450

Consumer Goods

Dec 06Jan 06Jan 04 Jan 05Jan 03 Jan 02

Figure 4.5 Consumer Goods Index Trend from Year 2002 to 2006

The Consumer Goods sector consists of 5 sub sectors: food and

beverages; cigarettes; pharmacy; cosmetic; and household utilities. The

historical data of Consumer Goods index from year 2002 to 2006 is

collected from Jakarta Stock Exchange, directly from the office and also

from the daily data of Jakarta Stock Exchange Website. The value of

Consumer Goods index is 128.97 in the beginning of 2002 and 392.459

at the end of year 2006.

22

4.1.6 Manufacture

The Manufacture index chart shows the movement of the actual value of

the Manufacture index from year 2002 to 2006. The trend of this index is

increasing steadily throughout 5 years.

0

50

100

150

200

250

300

350

Manufacture

Dec 06Jan 06 Jan 04 Jan 05Jan 03Jan 02

Figure 4.6 Manufacture Index Trend from Year 2002 to 2006

The historical data of the Manufacture index from year 2002 to 2006 is

collected from Jakarta Stock Exchange, directly from the office and also

from the daily data of Jakarta Stock Exchange Website. The value of the

Manufacture index is 85.999 in the beginning of 2002 and 284.829 at the

end of year 2006.

4.2 Data Analysis

First, the Beta (β) of each sector (Agriculture, Basic Industry, Consumer

Goods, and Infrastructure) will be calculated using the formula

)(),(cov

2M

MiiM R

RRarσ

β = where covar is covariance, σ2 is the variance, is

the daily return of the sector and is the daily return of the index,

which we calculate using IHSG and LQ45. The β generated from this

calculation is monthly β.

iR

MR

After the β has been generated, the expected return of each sector can be

calculated using the CAPM method:

[ ] NiifMfi RRERRE ,...,1,)()( =−+= β , where is the risk-free rate, fR

23

)( MRE is the monthly return of the market index, and iβ is the β acquired

from the previous calculation. Below is the example of the data

(Agriculture only):

[ ] 0922.172590.02752.175685.162752.17))(( =×−+=JanuaryRiE

(IHSG)

[ ] 7937.219686.02752.179399.212752.17))(( =×−+=JanuaryRiE

(LQ45)

The calculation goes through until December 2006. Table 4.4 Agriculture Expected Return Calculation

Monthly Return IHSG

Monthly Return LQ45

Beta Using IHSG

Beta Using LQ45

Expected Return Using IHSG

Expected Return Using LQ45

16.5686 21.9399 0.2590 0.9686 17.0922 21.7937 0.5172 0.9536 0.2133 0.7991 13.4126 4.1594 6.2295 7.0809 0.3591 1.3380 13.0152 3.7903

10.5241 11.0275 0.5360 2.0939 13.3805 4.8436 -0.4898 -0.3282 0.5143 2.0524 7.5568 -17.5931 -4.8278 -5.4974 0.5537 2.2086 4.1041 -30.4943 -8.2070 -8.1509 0.5332 2.1355 2.6283 -34.4459 -4.3026 -4.9591 0.4736 1.9252 5.7089 -23.1620 -5.4826 -4.8509 0.4533 1.7324 5.0208 -18.4589

-11.8676 -13.7654 0.4605 1.9049 1.5906 -38.0547 5.8394 7.1824 0.4443 1.8527 9.8633 2.1536 8.5994 10.0537 0.4426 1.8522 11.0657 7.5228

-8.7243 -10.2182 0.4148 1.7520 3.8929 -27.5550 2.7711 3.7012 0.4013 1.7072 8.6178 -2.5481

-0.1659 -0.4731 0.4136 1.7605 6.7620 -9.6923 12.7366 15.5342 0.4162 1.7603 11.8876 18.7671

9.4529 10.6924 0.4073 1.6997 10.2459 10.6234 2.2976 2.5859 0.3694 1.5097 7.1324 -1.1752 0.5884 -1.5270 0.3139 1.2639 6.5174 -4.3657 4.3062 2.3659 0.2846 1.1656 7.6787 1.2640

12.3176 15.6179 0.2434 1.0170 9.6206 15.7346 4.6836 4.3487 0.2183 0.9200 7.6922 4.6834

-1.2896 -1.3290 0.2078 0.8793 6.4468 -0.1456 11.5418 11.3591 0.1968 0.8418 9.0268 10.8926

8.7045 8.3261 0.1828 0.7932 8.2261 8.2833 1.2290 0.5773 0.1767 0.7768 6.5407 2.1628

-3.2040 -3.0804 0.1857 0.8217 5.4518 -1.2070 6.4903 6.7710 0.2039 0.9046 7.1754 6.8264

-5.9600 -6.0766 0.2160 0.9596 4.4523 -5.5356 0.1198 0.9051 0.2236 0.9947 5.7212 0.9392 3.4175 3.1020 0.2295 1.0211 6.4558 3.0123

-0.2329 -0.7765 0.2332 1.0397 5.5963 -1.1002 8.4077 8.1089 0.2408 1.0762 7.6316 8.1640 4.9372 5.5516 0.2506 1.1234 6.7845 5.3232

12.8821 13.5578 0.2627 1.1796 8.8526 14.6606 2.4158 1.6029 0.2733 1.2297 6.0564 0.2652 4.4904 4.8803 0.2734 1.2325 6.6196 4.2896

24

Table 4.4 Agriculture Expected Return Calculation (Contd) 2.7321 2.3828 0.2713 1.2268 6.1513 1.2392 0.7487 0.5182 0.2849 1.2927 5.5300 -1.5066

-4.6339 -4.5074 0.3017 1.3708 3.8907 -8.9874 5.6239 6.4767 0.3103 1.4113 7.1702 5.9053 3.1452 3.6912 0.3188 1.4491 6.5050 1.7212 5.2640 5.7245 0.3280 1.4890 7.4010 4.3947

-11.4229 -11.8278 0.3357 1.5235 1.9352 -22.5676 2.9902 2.5877 0.3479 1.5789 7.5032 -1.6518

-1.1585 -3.3543 0.3695 1.6767 6.4474 -13.0041 2.8938 4.1951 0.3846 1.7451 8.4418 -1.5525 5.9443 7.0618 0.4011 1.8205 9.9661 2.4691 6.0113 6.8224 0.4092 1.8563 9.9905 1.7492

-0.0674 -0.3510 0.4259 1.9317 7.2866 -12.5499 7.3603 8.0459 0.4445 2.0151 10.3421 3.2929

10.2669 10.6852 0.4572 2.0681 11.6075 8.4942 -8.9651 -9.2453 0.4731 2.1365 2.3825 -34.0422 -1.0701 -0.9168 0.4882 2.2040 5.8745 -17.0709 3.2266 3.3218 0.5086 2.2950 7.7015 -8.3484 5.8225 6.1449 0.5334 2.4051 8.6494 -1.9138 7.0524 5.8656 0.5535 2.4947 8.9584 -2.2892 3.1039 2.7804 0.5659 2.5520 6.4526 -9.6941 8.3782 8.7527 0.5869 2.6478 9.1890 6.1357 5.0406 4.3514 0.6135 2.7699 6.8977 -5.3724

After the expected return has been calculated, the expected return will be

compared with the actual return. The gap from each index will be

calculated using Paired sample t-test in SPSS software. The purpose is to

see if the mean from each gap is different or not. Using the confidence

level 95%, the significance should not be more than 0.25 (Paired sample

t-test). If the significance is higher than 0.25, the mean can be said the

same. If not, the result can show which one is better.

4.2.1 Mean Analysis

The hypothesis of the mean analysis is:

H0: μ1=μ2

H1: μ1≠μ2

The test criteria:

Accept H0 if the significance generated from the SPSS is higher than

0.25, if not, accept H1. If the t is negative, the mean gap 1 is smaller than

the mean gap 2. In this case, the mean gap IHSG is smaller than mean

gap LQ45.

25

4.2.1.1 Agricultural

In each of the sector, the data that will be analyzed are from January

2002 to November 2006, the December 2006 data will not be concluded

because the December 2006 data gives the January 2007 expected return.

The January 2007 is not in the context of this research. This is the

Agricultural sector monthly expected return from January 2002 to

November 2006. Table 4.5 Agriculture Sector Gap IHSG and Gap LQ45



Actual Return Gap IHSG Gap LQ45

17.0922 21.7937 7.9281 -9.1641 -13.8655 13.4126 4.1594 14.7479 1.3353 10.5885 13.0152 3.7903 11.1331 -1.8820 7.3428 13.3805 4.8436 4.7913 -8.5892 -0.0522

7.5568 -17.5931 -0.9209 -8.4778 16.6722 4.1041 -30.4943 -4.5424 -8.6465 25.9518 2.6283 -34.4459 -5.6017 -8.2301 28.8442 5.7089 -23.1620 -27.2976 -33.0065 -4.1356 5.0208 -18.4589 1.6697 -3.3511 20.1286 1.5906 -38.0547 -2.6893 -4.2799 35.3654 9.8633 2.1536 19.0364 9.1731 16.8829

11.0657 7.5228 5.6338 -5.4319 -1.8891 3.8929 -27.5550 -16.9806 -20.8735 10.5744 8.6178 -2.5481 -5.1206 -13.7384 -2.5725 6.7620 -9.6923 17.7145 10.9526 27.4069

11.8876 18.7671 7.7735 -4.1141 -10.9936 10.2459 10.6234 -10.7644 -21.0103 -21.3878

7.1324 -1.1752 -2.4223 -9.5547 -1.2471 6.5174 -4.3657 8.3322 1.8147 12.6978 7.6787 1.2640 11.3428 3.6641 10.0788 9.6206 15.7346 12.0494 2.4287 -3.6853 7.6922 4.6834 -6.2610 -13.9532 -10.9444 6.4468 -0.1456 8.1329 1.6861 8.2785 9.0268 10.8926 0.5522 -8.4746 -10.3405 8.2261 8.2833 18.0920 9.8659 9.8087 6.5407 2.1628 -3.0263 -9.5670 -5.1891 5.4518 -1.2070 15.6489 10.1971 16.8559 7.1754 6.8264 3.3791 -3.7963 -3.4473 4.4523 -5.5356 -10.3583 -14.8106 -4.8227 5.7212 0.9392 2.5123 -3.2089 1.5732 6.4558 3.0123 6.7890 0.3332 3.7767 5.5963 -1.1002 2.2743 -3.3220 3.3746 7.6316 8.1640 12.4536 4.8219 4.2895 6.7845 5.3232 15.3453 8.5608 10.0221 8.8526 14.6606 -7.0787 -15.9314 -21.7394 6.0564 0.2652 -1.5570 -7.6134 -1.8222

26

Table 4.5 Agriculture Sector Gap IHSG and Gap LQ45 (Contd) 6.6196 4.2896 5.1752 -1.4444 0.8856 6.1513 1.2392 21.8200 15.6687 20.5808 5.5300 -1.5066 -3.2186 -8.7486 -1.7120 3.8907 -8.9874 0.1907 -3.7000 9.1781 7.1702 5.9053 7.9118 0.7416 2.0065 6.5050 1.7212 3.8198 -2.6852 2.0986 7.4010 4.3947 -4.0666 -11.4676 -8.4613 1.9352 -22.5676 19.4725 17.5373 42.0401 7.5032 -1.6518 7.6096 0.1064 9.2614 6.4474 -13.0041 1.9772 -4.4701 14.9814 8.4418 -1.5525 -6.7287 -15.1704 -5.1762 9.9661 2.4691 1.5234 -8.4427 -0.9457 9.9905 1.7492 18.6866 8.6961 16.9374 7.2866 -12.5499 7.5801 0.2935 20.1300

10.3421 3.2929 5.3452 -4.9969 2.0524 11.6075 8.4942 0.6946 -10.9130 -7.7996

2.3825 -34.0422 -1.9802 -4.3627 32.0621 5.8745 -17.0709 23.5934 17.7188 40.6642 7.7015 -8.3484 6.6737 -1.0278 15.0221 8.6494 -1.9138 -2.9611 -11.6105 -1.0473 8.9584 -2.2892 5.4831 -3.4753 7.7723 6.4526 -9.6941 15.9966 9.5440 25.6907 9.1890 6.1357 14.6503 5.4613 8.5147

Table 4.6 Agriculture Sector t-test Result

Paired Samples Test

Paired Differences 95%

Confidence Interval of the

Difference

Mean

Std. Deviati

on

Std. Error Mean

Lower

Upper t df

Sig. (2-tailed)

Pair 1

Gap IHSG – Gap LQ45

-10.17

046

11.06318

1.44030

-13.05

354

-7.287

38

-7.061 58 .000

The Agricultural sector’s significance is lower than 0.25, so the mean of

each index’s gap is different, which means that the gap can be compared.

The H0 is rejected, accept H1. The t value is negative which means that

mean gap IHSG is closer to the actual return than the mean gap LQ45.

27

Agriculture

-60

-40

-20

0

20

40

60

80

Gap IHSG Gap LQ45

Figure 4.7 Agriculture Gap IHSG and Gap LQ45 Trend

4.2.1.2 Basic Industry

This is the Basic Industry sector monthly expected return from January

2002 to November 2006. Table 4.7 Basic Industry Gap IHSG and Gap LQ45




17.2630 17.5550 -0.0551 -17.3181 -17.6101 16.3740 15.0314 4.5378 -11.8362 -10.4936 16.4259 15.4861 11.4096 -5.0163 -4.0765 16.2285 15.0674 -5.2206 -21.4491 -20.2880 14.9256 11.5418 2.4473 -12.4784 -9.0945 13.8162 9.5627 -10.6073 -24.4236 -20.1701 13.3863 8.5833 -4.7716 -18.1579 -13.3549 13.3334 9.0158 -3.6713 -17.0047 -12.6871 12.2961 7.3642 -12.6798 -24.9758 -20.0440 11.1134 4.4385 2.9068 -8.2066 -1.5317 12.4813 11.0703 6.1548 -6.3265 -4.9155 12.6519 11.9934 -5.2070 -17.8589 -17.2003 10.9756 4.5940 6.2042 -4.7714 1.6102 11.6918 9.3522 -0.5041 -12.1959 -9.8563 10.6357 7.3019 17.7197 7.0840 10.4178 11.4069 12.8080 6.4573 -4.9497 -6.3508 10.6752 10.7554 3.5628 -7.1124 -7.1926

9.2679 7.1824 7.1316 -2.1363 -0.0508 8.3992 4.9531 8.5476 0.1485 3.5945 8.5335 6.1788 6.0894 -2.4441 -0.0894 9.1477 11.9228 3.0148 -6.1329 -8.9080 8.0995 6.5532 -4.7152 -12.8147 -11.2684

28

Table 4.7 Basic Industry Gap IHSG and Gap LQ45 (Contd) 7.3892 3.8675 8.9477 1.5585 5.0802 8.7494 9.7720 8.2751 -0.4743 -1.4969 8.1782 8.2095 1.6779 -6.5003 -6.5316 7.0535 4.6518 -6.0103 -13.0638 -10.6621 6.4044 2.9558 0.6050 -5.7995 -2.3508 7.2720 7.1142 -12.5588 -19.8308 -19.6730 6.1500 2.0354 -6.1449 -12.2949 -8.1803 6.7253 4.8975 7.8527 1.1274 2.9552 7.0434 5.8234 3.2395 -3.8038 -2.5839 6.7762 4.5118 13.1318 6.3556 8.6200 7.4637 7.6350 6.5116 -0.9520 -1.1234 7.2147 6.7652 15.5684 8.3537 8.8032 7.8359 9.5481 14.2897 6.4538 4.7416 7.0295 5.3407 6.8710 -0.1585 1.5303 7.1719 6.4431 2.5014 -4.6705 -3.9417 7.0090 5.3991 -4.3162 -11.3252 -9.7153 6.8213 4.5453 -6.3109 -13.1322 -10.8562 6.4423 2.4695 7.9768 1.5345 5.5073 7.6568 7.2747 7.0369 -0.6199 -0.2378 7.6117 6.1903 1.9708 -5.6409 -4.2195 8.1398 7.2611 -18.9996 -27.1394 -26.2607 6.7629 -0.2311 4.1614 -2.6015 4.3924 9.2522 6.7432 3.2074 -6.0448 -3.5358 9.7624 4.7547 -2.5775 -12.3400 -7.3322

11.0567 8.5815 7.4689 -3.5878 -1.1126 12.0286 10.2614 6.0340 -5.9945 -4.2273 12.1186 10.2300 6.5323 -5.5863 -3.6977 11.5473 7.1852 4.0230 -7.5243 -3.1623 12.2268 10.7420 7.7199 -4.5070 -3.0221 12.5067 11.8725 -17.0748 -29.5815 -28.9473 10.5959 3.5347 1.1707 -9.4253 -2.3640 11.2694 7.0135 1.7089 -9.5605 -5.3046 11.5158 8.6898 2.2579 -9.2579 -6.4319 11.3443 9.5991 5.8554 -5.4889 -3.7437 10.9497 9.1878 3.8934 -7.0563 -5.2945 10.1560 7.7149 5.1734 -4.9826 -2.5414 10.1761 9.7403 9.6093 -0.5668 -0.1310

Table 4.8 Basic Industry Sector t-test Result

Paired Samples Test



Difference

Mean

Std. Deviati

on

Std. Error Mean

Lower

Upper t df

Sig. (2-tailed)

Pair 1


-2.167

69 2.09533 .2727

9

-2.713

74

-1.621

65

-7.946 58 .000

The Basic Industry sector’s significance is lower than 0.25, so the mean

of each index’s gap is different, which means that the gap can be

29

compared. The H0 is rejected, accept H1. The t value is negative which

means that mean gap IHSG is closer to the actual return than the mean

gap LQ45.

Basic Industry

-70

-60

-50

-40

-30

-20

-10

0

10

20

30

Gap IHSG Gap LQ45

Figure 4.8 Basic Industry Gap IHSG and Gap LQ45 Trend

4.2.1.3 Consumer Goods

This is the Consumer Goods sector monthly expected return from

January 2002 to November 2006. Table 4.9 Consumer Goods Sector Gap IHSG and Gap LQ45




16.9251 25.8076 2.6113 -14.3137 -23.1963 9.3326 -10.3719 0.4259 -8.9067 10.7978

12.5745 1.8918 9.2037 -3.3708 7.3119 14.9683 10.4450 1.4899 -13.4784 -8.9550 11.5096 -2.1511 -6.4426 -17.9523 -4.2915

9.6119 -8.0017 -6.7920 -16.4039 1.2096 8.4779 -11.2326 -6.2332 -14.7111 4.9994 9.2117 -8.2888 -8.0524 -17.2641 0.2364 7.7089 -10.5294 -10.3284 -18.0373 0.2010 4.7548 -23.7007 2.3598 -2.3950 26.0605

10.5555 4.5760 6.7265 -3.8291 2.1505 11.4408 8.6249 -7.5531 -18.9939 -16.1780

4.8697 -22.5335 -0.1888 -5.0585 22.3447 8.8372 -1.4013 0.3072 -8.5300 1.7085 7.0823 -7.9127 15.8566 8.7743 23.7693

11.8467 18.1512 12.0979 0.2512 -6.0532 10.2756 10.6344 3.8214 -6.4543 -6.8130

7.0437 -1.5184 -2.9233 -9.9669 -1.4049 6.0074 -7.0797 0.4520 -5.5554 7.5317

30

Table 4.9 Consumer Goods Sector Gap IHSG and Gap LQ45 (Contd) 7.3196 -0.8497 13.5299 6.2103 14.3795 9.9669 18.5156 3.5206 -6.4463 -14.9950 7.3309 3.0283 -2.6907 -10.0216 -5.7190 5.5137 -4.1046 9.2605 3.7469 13.3651 9.3233 12.0834 7.6528 -1.6705 -4.4306 8.2803 8.3659 -4.5598 -12.8400 -12.9257 5.9974 -0.4622 -4.0114 -10.0088 -3.5492 4.7851 -4.1705 8.2757 3.4906 12.4462 7.1461 6.7350 -3.6043 -10.7504 -10.3393 4.1841 -6.8527 1.7438 -2.4403 8.5965 5.6261 0.5041 2.1580 -3.4680 1.6539 6.4248 2.8296 -6.4874 -12.9121 -9.3170 5.5843 -1.2244 3.8389 -1.7453 5.0633 7.6190 8.1304 0.4086 -7.2104 -7.7218 6.8660 5.5797 8.0450 1.1791 2.4654 8.5525 13.2007 -0.7735 -9.3261 -13.9743 6.4446 2.2503 11.5406 5.0960 9.2902 6.8690 5.2473 2.0985 -4.7705 -3.1488 6.5447 3.1220 11.3743 4.8296 8.2523 6.1483 1.3593 -3.5039 -9.6522 -4.8632 5.1636 -3.3242 2.3935 -2.7701 5.7178 7.4203 6.6034 -4.2803 -11.7006 -10.8837 7.1014 4.1154 4.0774 -3.0239 -0.0379 7.8175 6.0044 -9.2747 -17.0922 -15.2792 4.7328 -9.6630 -1.9081 -6.6409 7.7548 8.5629 3.4213 2.4756 -6.0873 -0.9458 8.5751 -1.6519 2.1786 -6.3965 3.8304

10.1702 5.1131 3.6102 -6.5600 -1.5029 11.3749 7.7706 2.8424 -8.5325 -4.9282 11.4706 7.6297 1.3831 -10.0876 -6.2466 10.3330 1.5309 0.5389 -9.7941 -0.9921 11.7316 8.7788 11.2694 -0.4623 2.4906 12.2870 11.0469 -10.2210 -22.5080 -21.2679

8.6994 -5.1332 1.8045 -6.8949 6.9377 10.0739 1.6838 4.6109 -5.4630 2.9271 10.7118 5.1061 5.6143 -5.0975 0.5082 10.8078 7.3147 3.7633 -7.0446 -3.5515 10.5656 6.9814 1.8167 -8.7489 -5.1647

9.4547 4.4268 6.7487 -2.7060 2.3219 9.9967 9.0863 4.9811 -5.0155 -4.1052

Table 4.10 Consumer Goods Sector t-test Result

Paired Samples Test



Difference

Mean

Std. Deviatio

n

Std. Error Mean

Lower

Upper t df

Sig. (2-tailed)

Pair 1


-6.628

36 7.57392 .9860

4

-8.602

13

-4.654

58

-6.722 58 .000

31

The significance of the test is lower than 0.25, so the mean of these two

variables can be considered different. Reject H0, accept H1. The t value is

negative which means that the mean gap IHSG is closer to the actual

return than the mean gap LQ45.

Consumer Goods

-50

-40

-30

-20

-10

0

10

20

30

40

Gap IHSG Gap LQ45

Figure 4.9 Consumer Goods Gap IHSG and Gap LQ45 Trend

4.2.1.4 Manufacture

This is the Manufacture sector monthly expected return from January

2002 to November 2006. Table 4.11 Manufacture Sector Gap IHSG and Gap LQ45




17.1128 21.2554 1.1577 -15.9551 -20.0977 13.0354 2.9346 1.8944 -11.1410 -1.0402 14.6914 9.3181 10.5366 -4.1548 1.2185 15.5746 12.6629 -0.0760 -15.6506 -12.7390 13.0251 3.9419 -5.6496 -18.6747 -9.5915 11.4036 -0.4934 -7.3364 -18.7400 -6.8430 10.6143 -2.5994 -5.1467 -15.7610 -2.5473 11.0333 -0.6515 -7.5783 -18.6116 -6.9268

9.8346 -2.1020 -9.0059 -18.8405 -6.9039 7.8162 -10.2068 3.2091 -4.6072 13.4159

11.5073 7.7739 3.7278 -7.7795 -4.0460 12.0478 10.3052 -3.2878 -15.3356 -13.5930

7.9962 -8.7219 1.1912 -6.8050 9.9131 10.3193 4.1466 1.3264 -8.9929 -2.8202

8.9468 0.0210 15.0516 6.1049 15.0306 11.6152 15.3611 11.2201 -0.3951 -4.1410 10.4845 10.6970 1.1039 -9.3806 -9.5931

32

Table 4.11 Manufacture Sector Gap IHSG and Gap LQ45 (Contd) 8.1947 2.9365 0.0647 -8.1299 -2.8717 7.2293 -1.0072 3.9188 -3.3105 4.9260 7.9340 2.6636 10.3209 2.3869 7.6573 9.5588 15.2634 1.6111 -7.9477 -13.6523 7.7043 4.7265 0.3210 -7.3833 -4.4055 6.4206 -0.2779 6.9972 0.5766 7.2751 9.0426 10.9606 2.6876 -6.3549 -8.2730 8.2302 8.2897 1.2952 -6.9350 -6.9945 6.5157 2.0335 -3.7517 -10.2674 -5.7852 5.5733 -0.7156 5.4919 -0.0814 6.2075 7.2067 6.9171 -4.0219 -11.2286 -10.9390 5.1213 -2.6260 -0.7017 -5.8230 1.9242 6.1480 2.5866 2.3255 -3.8226 -0.2611 6.7193 4.2525 1.8573 -4.8621 -2.3953 6.1477 1.4833 4.7360 -1.4117 3.2526 7.5470 7.9010 2.6557 -4.8913 -5.2454 7.0204 6.1048 10.3360 3.3156 4.2312 8.2491 11.6521 3.8329 -4.4162 -7.8193 6.6724 3.4570 8.5384 1.8660 5.0814 6.9776 5.6777 5.6521 -1.3255 -0.0255 6.7020 3.8966 4.1161 -2.5859 0.2195 6.3748 2.4354 -5.1558 -11.5305 -7.5912 5.5959 -1.3593 2.9527 -2.6432 4.3120 7.4986 6.8265 4.7091 -2.7895 -2.1175 7.2583 4.7555 3.1047 -4.1536 -1.6508 7.9108 6.3691 -17.9770 -25.8879 -24.3461 5.3218 -6.9229 3.0113 -2.3105 9.9342 8.7603 4.3740 -1.0205 -9.7808 -5.3945 8.9172 0.1944 2.2856 -6.6316 2.0913

10.4296 6.1277 4.2490 -6.1806 -1.8787 11.5674 8.5041 3.8960 -7.6713 -4.6080 11.6649 8.4101 1.0020 -10.6629 -7.4081 10.7073 3.2757 3.5649 -7.1424 0.2892 11.8866 9.3940 9.2016 -2.6850 -0.1925 12.3558 11.3058 -14.7125 -27.0683 -26.0183

9.3215 -2.2836 3.0245 -6.2970 5.3081 10.4821 3.5081 1.7991 -8.6830 -1.7089 10.9967 6.3798 7.1478 -3.8488 0.7680 11.0030 8.1484 3.6200 -7.3830 -4.5285 10.7095 7.8101 4.4545 -6.2550 -3.3555

9.7214 5.6801 8.0129 -1.7085 2.3329 10.0651 9.3363 4.3974 -5.6677 -4.9388

33

Table 4.12 Manufacture Sector t-test Result

Paired Samples Test



Difference

Mean

Std. Deviatio

n

Std. Error Mean

Lower

Upper t df

Sig. (2-tailed)

Pair 1


-4.651

42 4.86739 .6336

8

-5.919

87

-3.382

98

-7.340 58 .000

The Manufacture sector’s significance is lower than 0.25, so the mean of

each index’s gap is different, which means that the gap can be compared.

H0 is rejected, accept H1. The t value is negative which means that the

mean gap IHSG is closer to the actual return than the average gap LQ45.

Manufacture

-60

-50

-40

-30

-20

-10

0

10

20

30

Gap IHSG Gap LQ45

Figure 4.10 Manufacture Sector Gap IHSG and Gap LQ45 Trend

4.2.2 Variance Analysis

After the calculation using the average, the variance will be calculated

too. If the variance of the expected return using IHSG is smaller than the

LQ45, the IHSG will have the smaller volatility than the LQ45.

To calculate the variance:

[ ]1

22

−−

=n

GapMGapM μσ (Where M is the market index, IHSG and

LQ45 index.)

34

[ ]58

)2702.3(1641.9 22 −−−=σ = 0.5989 (IHSG)

[ ]58

)9003.6(8655.13 22 −−=σ = 7.4348 (LQ45)

After the variance from January 2002 until December 2006 has been

calculated, the variance is summed. The next step is to test the hypothesis

using F-test:

H0 : < (Variance gap IHSG has the smaller volatility than the

variance gap LQ45)

21σ

22σ

H1 : > (Variance gap IHSG has the bigger volatility than the

variance gap LQ45)

21σ

22σ

The test criteria:

Reject H0 if the F > FU.

4.2.2.1 Agricultural

∑ = 9514.93pIHSGVarianceGa

∑ = 8905.19845pLQVarianceGa

8905.1989514.93

45==

∑∑

pLQVarianceGapIHSGVarianceGa

F

4724.0=F

Using df(degree of freedom)=58, the FU value can be achieved through

interpolation.

405869.1

406069.153.1

−−

=−− UF

1869.1

2016.0 −

=− UF

69.120

1816.0−=

×−UF

69.1144.0 +−=UF

546.1=UF

The F value is smaller than the FU value, so there is no significant

evidence to reject H0.

35

4.2.2.2 Basic Industry



2202.691153.69

45==

∑∑


F

9985.0=F

Using df(degree of freedom)=58, the X value can be achieved through

interpolation.

405869.1

406069.153.1

−−

=−− UF

1869.1

2016.0 −

=− UF

69.120

1816.0−=

×−UF

69.1144.0 +−=UF

546.1=UF



4.2.2.3 Consumer Goods



5019.1000637.44

45==

∑∑


F

4384.0=F


interpolation.

405869.1

406069.153.1

−−

=−− UF

1869.1

2016.0 −

=− UF

36

69.120

1816.0−=

×−UF

69.1144.0 +−=UF

546.1=UF



4.2.2.4 Manufacture



2509.632125.44

45==

∑∑


F

6990.0=F


interpolation.

405869.1

406069.153.1

−−

=−− UF

1869.1

2016.0 −

=− UF

69.120

1816.0−=

×−UF

69.1144.0 +−=UF

546.1=UF



37

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