TUGAS EFISIENSI PASAR MODAL

Andi Nurlailiah Hamdiyani (461 11 037)

Risma Rahmadani (46111030)

Periode
Januari
Pebruari
Maret
April
Mei
Juni
Juli
Agustus
September
Oktober
November
Desember
rata-rata :

Harga Saham Gajah Tunggal Harga Saham Bank BNI

(GJTL)
(BNII)
460
570
800
1040
860
970
1230
1720
1980
2325
2300
2300

Pertanyaan :
1. Metode Mean Adjusted Return
2. Metode Market Adjusted Return
3. Metode Market Model

305
260
315
315
275
285
300
305
325
345
660
780

IHSG
2,611
2,549
2,777
2,971
2,797
2,914
3,069
3,082
3,501
3,635
3,531
3,704

Return Aktual Gajah

Tunggal (GJTL)
0
23.91%
40.35%
30.00%
-17.31%
12.79%
26.80%
39.84%
15.12%
17.42%
-1.08%
0.00%
0.171

Return Aktual Bank

Abnormal Return
Return Aktual IHSG
BNI (BNII)
GJTL
0
-14.75%
21.15%
0.00%
-12.70%
3.64%
5.26%
1.67%
6.56%
6.15%
91.30%
18.18%
0.115

0
-2.37%
8.94%
6.99%
-5.86%
4.18%
5.32%
0.42%
13.60%
3.83%
-2.86%
4.90%
0.034

6.84%
23.27%
12.92%
-34.39%
-4.29%
9.73%
22.76%
-1.96%
0.35%
-18.15%
-17.08%

Abnormal
Return BNII

-26.25%
9.66%
-11.50%
-24.20%
-7.86%
-6.23%
-9.83%
-4.94%
-5.34%
79.81%
6.69%

Periode

Harga Saham Gajah

Tunggal (GJTL)

Harga Saham Bank

BNI (BNII)

IHSG

Return Aktual Gajah

Tunggal (GJTL)

Januari
Pebruari
Maret
April
Mei
Juni
Juli
Agustus
September
Oktober
November
Desember

460
570
800
1040
860
970
1230
1720
1980
2325
2300
2300

305
260
315
315
275
285
300
305
325
345
660
780

2,611
2,549
2,777
2,971
2,797
2,914
3,069
3,082
3,501
3,635
3,531
3,704

0
23.91%
40.35%
30.00%
-17.31%
12.79%
26.80%
39.84%
15.12%
17.42%
-1.08%
0.00%

Return Aktual Bank

Abnormal Return
Return Aktual IHSG
BNI (BNII)
GJTL
0
-14.75%
21.15%
0.00%
-12.70%
3.64%
5.26%
1.67%
6.56%
6.15%
91.30%
18.18%

0
-2.37%
8.94%
6.99%
-5.86%
4.18%
5.32%
0.42%
13.60%
3.83%
-2.86%
4.90%

0
0.2628761261
0.31406193
0.2301404393
-0.1145107837
0.086076444
0.2148497478
0.3941380763
0.0152121093
0.1359676456
0.0178580409
-0.0489946191

Abnormal Return
BNII
0
-0.1237952923
0.1220916196
-0.0698595607
-0.0684179876
-0.0054668963
-0.0005599104
0.0124307592
-0.0703769109
0.0232636829
0.9416542073
0.1328235627

Periode

Harga Saham Gajah

Tunggal (GJTL)

Harga Saham Bank

BNI (BNII)

IHSG

Januari
Pebruari
Maret
April
Mei
Juni
Juli
Agustus
September
Oktober
November
Desember

460
570
800
1040
860
970
1230
1720
1980
2325
2300
2300

305
260
315
315
275
285
300
305
325
345
660
780

2,611
2,549
2,777
2,971
2,797
2,914
3,069
3,082
3,501
3,635
3,531
3,704

Hasil Eviews GJTL

Return Aktual
Gajah Tunggal
(GJTL)

Return Aktual Bank

BNI (BNII)

Return Aktual
IHSG

Y1
0
23.91%
40.35%
30.00%
-17.31%
12.79%
26.80%
39.84%
15.12%
17.42%
-1.08%
0.00%

Y2
0
-14.75%
21.15%
0.00%
-12.70%
3.64%
5.26%
1.67%
6.56%
6.15%
91.30%
18.18%

X
0
-2.37%
8.94%
6.99%
-5.86%
4.18%
5.32%
0.42%
13.60%
3.83%
-2.86%
4.90%

Hasil Eviews BNII

X. Y1

0.00%
-0.57%
3.61%
2.10%
1.01%
0.54%
1.43%
0.17%
2.06%
0.67%
0.03%
0.00%

X.Y2

0.00%
0.35%
1.89%
0.00%
0.74%
0.15%
0.28%
0.01%
0.89%
0.24%
-2.61%
0.89%

X^2

0
0.00056
0.00800
0.00488
0.00343
0.00175
0.00283
0.00002
0.01848
0.00146
0.00082
0.00240

Return
Normal
GJTL

Return
Abnormal
GJTL

Return
Normal
BNII

Return
Abnormal

10.78
10.74272
10.92043
10.88968
10.68805
10.84567
10.86351
10.78665
10.99344
10.84009
10.73508
10.85692

-10.78
-10.50359
-10.51692
-10.58968
-10.86113
-10.71777
-10.59547
-10.38828
-10.84228
-10.66585
-10.74583
-10.85692

11.54
11.5476
11.51138
11.51764
11.55874
11.52661
11.52298
11.53864
11.4965
11.52775
11.54916
11.52432

-11.54
-11.6951396
-11.2998385
-11.5176449
-11.6857253
-11.4902506
-11.4703471
-11.5219778
-11.430922
-11.4662136
-10.636112
-11.3425035