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Tugas 2

The document presents the results of a regression analysis examining the relationship between various stock returns and an index return. It includes regression statistics, an ANOVA table, coefficient estimates, and residual outputs. However, the regression results indicate a very weak relationship between the stock returns and the index return, as the multiple R and R-square values are both very low.

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Adi Prasetyo
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98 views9 pages

Tugas 2

The document presents the results of a regression analysis examining the relationship between various stock returns and an index return. It includes regression statistics, an ANOVA table, coefficient estimates, and residual outputs. However, the regression results indicate a very weak relationship between the stock returns and the index return, as the multiple R and R-square values are both very low.

Uploaded by

Adi Prasetyo
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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SUMMARY OUTPUT

Regression Statistics
Multiple R 0.122862
R Square 0.015095
Adjusted R-0.021383
Standard E 0.02815
Observatio 29

ANOVA
df SS MS F Significance F
Regression 1 0.000328 0.000328 0.413816 0.525465
Residual 27 0.021395 0.000792
Total 28 0.021723

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.002239 0.005312 0.421454 0.67676 -0.00866 0.013137 -0.00866 0.013137
-0.013844 -0.018387 0.028583 -0.643285 0.525465 -0.077034 0.04026 -0.077034 0.04026

RESIDUAL OUTPUT

ObservationPredicted Residuals
1 0.002118 -0.006251
2 0.002059 0.014538
3 0.002147 -0.002147
4 0.002274 0.014053
5 0.002244 0.001772
6 0.002195 -0.006195
7 0.002285 -0.022366
8 0.002204 -0.0104
9 0.002102 0.00203
10 0.002196 0.001919
11 0.002158 0.032678
12 0.002187 0.017615
13 0.002211 -0.01192
14 0.001857 -0.021465
15 0.002294 0.007706
16 0.002239 0.007662
17 0.002113 -0.021721
18 0.002183 0.087817
19 0.002528 0.052518
20 0.002154 -0.036937
21 0.002259 -0.011268
22 0.002154 0.016028
23 0.002347 -0.020204
24 0.002549 -0.029821
25 0.002079 -0.058154
26 0.002211 0.00769
27 0.002349 0.017259
28 0.002188 -0.021419
29 0.020626 -0.001018
-0,0138437446055275 Residual Plot
0.1
0.05

Residuals
0
-1.2 -1 -0.8 -0.6 -0.4 -0.2 0 0.2
-0.05
-0.1
-0,0138437446055275
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.029187
R Square 0.000852
Adjusted R-0.036154
Standard E 0.062475
Observatio 29

ANOVA
df SS MS F Significance F
Regression 1 8.985E-05 8.985E-05 0.023021 0.880531
Residual 27 0.105384 0.003903
Total 28 0.105474

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.011896 0.011789 1.009098 0.321886 -0.012292 0.036084 -0.012292 0.036084
-0.013844 0.009625 0.063436 0.151727 0.880531 -0.120534 0.139784 -0.120534 0.139784
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.027454
R Square 0.000754
Adjusted R-0.036255
Standard E 0.017928
Observatio 29

ANOVA
df SS MS F Significance F
Regression 1 6.545E-06 6.545E-06 0.020365 0.887581
Residual 27 0.008678 0.000321
Total 28 0.008684

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.00359 0.003383 1.061251 0.297977 -0.003351 0.010531 -0.003351 0.010531
-0.013844 0.002598 0.018203 0.142707 0.887581 -0.034752 0.039948 -0.034752 0.039948
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.060742
R Square 0.00369
Adjusted R-0.033211
Standard E 0.02794
Observatio 29

ANOVA
df SS MS F Significance F
Regression 1 7.805E-05 7.805E-05 0.099987 0.754277
Residual 27 0.021078 0.000781
Total 28 0.021156

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.004394 0.005272 0.833409 0.411926 -0.006424 0.015211 -0.006424 0.015211
-0.013844 -0.008971 0.02837 -0.316208 0.754277 -0.067181 0.049239 -0.067181 0.049239
LPKR return (R) LPKR PGAS return (R) PGAS SCMA Return (R) SCMA WSBP

484 1765 2450 404


482 -0.00413223140496 1755 -0.0056657223796 2470 0.0081632653061 400
490 0.01659751037344 1760 0.002849002849 2490 0.0080971659919 406
490 0 1790 0.0170454545455 2500 0.004016064257 412
498 0.01632653061224 1840 0.0279329608939 2480 -0.008 426
500 0.00401606425703 1805 -0.0190217391304 2470 -0.0040322580645 434
498 -0.004 1825 0.01108033241 2420 -0.0202429149798 430
488 -0.02008032128514 1800 -0.013698630137 2380 -0.0165289256198 430
484 -0.00819672131148 1780 -0.0111111111111 2370 -0.0042016806723 426
486 0.00413223140496 1765 -0.0084269662921 2420 0.0210970464135 432
488 0.00411522633745 1880 0.0651558073654 2490 0.0289256198347 438
505 0.03483606557377 2360 0.25531914893617 2510 0.0080321285141 452
515 0.01980198019802 2200 -0.0677966101695 2530 0.00796812749 440
510 -0.00970873786408 2350 0.0681818181818 2520 -0.00395256917 438
500 -0.01960784313725 2470 0.0510638297872 2520 0 434
505 0.01 2690 0.0890688259109 2540 0.0079365079365 436
510 0.00990099009901 2690 0 2530 -0.003937007874 448
500 -0.01960784313725 2650 -0.0148698884758 2520 -0.00395256917 494
545 0.09 2630 -0.0075471698113 2520 0 494
575 0.05504587155963 2490 -0.0532319391635 2620 0.0396825396825 492
555 -0.03478260869565 2380 -0.0441767068273 2580 -0.0152671755725 474
550 -0.00900900900901 2610 0.0966386554622 2690 0.0426356589147 474
560 0.01818181818182 2510 -0.0383141762452 2710 0.0074349442379 472
550 -0.01785714285714 2460 -0.0199203187251 2810 0.0369003690037 472
535 -0.02727272727273 2400 -0.0243902439024 2830 0.0071174377224 468
505 -0.05607476635514 2400 0 2760 -0.0247349823322 452
510 0.00990099009901 2370 -0.0125 2800 0.0144927536232 448
520 0.01960784313725 2410 0.0168776371308 2760 -0.0142857142857 468
510 -0.01923076923077 2340 -0.0290456431535 2700 -0.0217391304348 452
520 0.01960784313725 2350 0.0042735042735 2700 0 458

ERi 0.00284518080725 0.0115782797318 0.003504300026


proporsi
70%
30%
Resiko 0.02736928489396 0.0603078814021 0.0173048862749
korel 0.11179652099795

resiko porto1.75784573841E-05
proporsi 25% 25% 25% 25%
alpha porto 0.00552955160555
beta porto -0.00378375901391
ER porto 0.00565195739601
Return (R) WSBP IHSG R

6,339,237,793 -0.0138437446
-0.00990099009901 6,251,479,004 0.0065331415
0.015 6,292,320,801 0.0097606263
0.014778325123153 6,353,737,793 0.0049838405
0.033980582524272 6,385,403,809 -0.0019199672
0.018779342723005 6,373,144,043 -0.0003091433
-0.00921658986175 6,371,173,828 0.0023802582
0 6,386,338,867 -0.0025482403
-0.0093023255814 6,370,064,941 0.0019042008
0.014084507042254 6,382,194,824 0.0074421218
0.013888888888889 6,429,691,895 0.0023058914
0.031963470319635 6,444,518,066 0.0043677354
-0.02654867256637 6,472,666,016 0.0028164561
-0.00454545454545 6,490,895,996 0.0014840498
-0.00913242009132 6,500,528,809 0.0207375706
0.004608294930876 6,635,333,984 -0.0029903236
0.027522935779817 6,615,492,188 -2.479982E-05
0.102678571428571 6,615,328,125 0.0068462271
0 6,660,618,164 0.003002871
-0.00404858299595 6,680,619,141 -0.0157361093
-0.03658536585366 6,575,492,188 0.0045834852
0 6,605,630,859 -0.0010857214
-0.0042194092827 6,598,458,984 0.0046012016
0 6,628,819,824 -0.0059052773
-0.00847457627119 6,589,674,805 -0.0168645403
-0.03418803418803 6,478,542,969 0.0086942654
-0.00884955752212 6,534,869,141 0.0014942377
0.044642857142857 6,544,633,789 -0.0059760166
-0.03418803418803 6,505,522,949 0.0027562969
0.013274336283186 6,523,454,102 -1

0.004689727556535 Erm -0.0323503135

saham LPKR model Indeks


Intercept 0.0022386243 alpha
0.027009296284305 X Variable 1 -0.0183869234 beta
saham PGAS model Indeks
Intercept 0.0118957899 alpha
X Variable 1 0.0096248815 beta
saham SCMA model Indeks
Intercept 0.0035899953 alpha
X Variable 1 0.0025977335 beta
saham WSBP model Indeks
Intercept 0.004393797 alpha
X Variable 1 -0.0089707276 beta

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