TPAI - PRAKTIKUM - M - KEL

BMRI.
JK
Langkah 1 Tabulasi Perhitungan Pengembalian [E(Ri)] dan Resiko (σi)
Bulan ke (t) (Close 2020) Pit (Open 2020) Pit - 1 Rit (Rit – E(Ri))2
Januari 6575 6325 0.0395256916996 0.00085089567132
Februari 6,150 6575 -0.06463878326996 0.00562415386732
Maret 6,150 6,150 0 0.0001072379467
April
6175 6,150 0.00406504065041 3.95708303721E-05
Mei 6000 6175 -0.02834008097166 0.0014973538401
Juni 5900 6000 -0.01666666666667 0.00073020157892
Juli 5700 5900 -0.03389830508475 0.00195840595861
Agustus 6100 5700 0.07017543859649 0.00357841600493
September 6150 6100 0.00819672131148 4.66065198322E-06
Oktober 7175 6150 0.16666666666667 0.02443315718002
November 7000 7175 -0.02439024390244 0.00120727197522
Desember 7025 7000 0.00357142857143 4.60246513582E-05
Total 76,100 75,400 0.0103555756334 0.0036433954688
BSDE.JK
Januari 1125 1,225 -0.08163265306122 0.00460320315622
Februari 1,160 1125 0.03111111111111 0.00201572754126
Maret 1,120 1,160 -0.03448275862069 0.00042836644077
April 1175 1,120 0.04910714285714 0.00395551513652
Mei 1120 1175 -0.0468085106383 0.00109050315882
Juni 965 1120 -0.13839285714286 0.01552693280569
Juli 935 965 -0.03108808290155 0.00029937095367
Agustus 960 935 0.02673796791444 0.00164217117533
September 1000 960 0.04166666666667 0.00307496977759
Oktober 1110 1000 0.11 0.01532291025879
November 1085 1110 -0.02252252252252 7.63313101625E-05
Desember 1,010 1085 -0.06912442396313 0.00306236957107
Total 12,765 12,980 -0.013785743358 0.0046453064805
DSNG.JK
Januari 555 580 -0.04310344827586 0.00113308079545
Februari 560 555 0.00900900900901 0.00034044647807
Maret 575 560 0.02678571428571 0.00131246052508
April 635 575 0.10434782608696 0.01294816611568
Mei 530 635 -0.16535433070866 0.02430859787483
Juni 500 530 -0.05660377358491 0.00222421564819
Juli 540 500 0.08 0.00799990405867
Agustus 530 540 -0.01851851851852 8.2379870619E-05
September 540 530 0.0188679245283 0.00080146217524
Oktober 580 540 0.07407407407407 0.00697496515725
November 530 580 -0.08620689655172 0.00589282128198
Desember 500 530 -0.05660377358491 0.00222421564819
Total 6,575 6,655 -0.00944218277 0.0060220650572
WIKA.JK
Januari 1800 1985 -0.09319899244332 0.00701520316665
Februari 1,740 1800 -0.03333333333333 0.00057078707524
Maret 1,535 1,740 -0.11781609195402 0.01174490419182
April 1440 1,535 -0.06188925081433 0.00275069494644
Mei 1250 1440 -0.13194444444445 0.01500680411534
Juni 990 1250 -0.208 0.03942520678312
Juli 920 990 -0.07070707070707 0.00375338649394
Agustus 940 920 0.02173913043478 0.00097227429318
September 1210 940 0.28723404255319 0.08801678267204
Oktober 1245 1210 0.02892561983471 0.00147208827672
November 1160 1245 -0.06827309236948 0.0034610759243
Desember 1105 1160 -0.04741379310345 0.00144184319131
Total 15,335 16,215 -0.041223106362 0.0159664591936
Langkah 2 Tabulasi Pengembangan Pasar Saham [E(Rm)] dan Risiko Pasar Saham (σm)2
Bulan ke (t) (Close 2020) Iit (Open 2020) Iit - 1 Rmt

Januari 359.64 369.46 -0.026579331998
Februari 367.36 359.64 0.0214659103548
Maret 350.01 367.36 -0.047228876307
April
342.83 350.01 -0.020513699609
Mei 343.31 342.83 0.0014001108421
Juni 318.28 343.31 -0.072907867525
Juli 309.3 318.28 -0.028214151062
Agustus 329.1 309.3 0.0640155189137
September 342.4 329.1 0.0404132482528
Oktober 373.68 342.4 0.0913551401869
November 366.13 373.68 -0.020204453008
Desember 365.43 366.13 -0.00191188922
Total 4167.47 4171.5 9.080498521E-05

Januari 359.64 369.46 -0.026579331998
Februari 367.36 359.64 0.0214659103548
Maret 350.01 367.36 -0.047228876307
April 342.83 350.01 -0.020513699609
Mei 343.31 342.83 0.0014001108421
Juni 318.28 343.31 -0.072907867525
Juli 309.3 318.28 -0.028214151062
Agustus 329.1 309.3 0.0640155189137
September 342.4 329.1 0.0404132482528
Oktober 373.68 342.4 0.0913551401869
November 366.13 373.68 -0.020204453008
Desember 365.43 366.13 -0.00191188922
Total 4167.47 4171.5 9.080498521E-05
Januari 359.64 369.46 -0.026579331998
Februari 367.36 359.64 0.0214659103548
Maret 350.01 367.36 -0.047228876307
April 342.83 350.01 -0.020513699609
Mei 343.31 342.83 0.0014001108421
Juni 318.28 343.31 -0.072907867525
Juli 309.3 318.28 -0.028214151062
Agustus 329.1 309.3 0.0640155189137
September 342.4 329.1 0.0404132482528
Oktober 373.68 342.4 0.0913551401869
November 366.13 373.68 -0.020204453008
Desember 365.43 366.13 -0.00191188922
Total 4167.47 4171.5 9.080498521E-05
Januari 359.64 369.46 -0.026579331998
Februari 367.36 359.64 0.0214659103548
Maret 350.01 367.36 -0.047228876307
April 342.83 350.01 -0.020513699609
Mei 343.31 342.83 0.0014001108421
Juni 318.28 343.31 -0.072907867525
Juli 309.3 318.28 -0.028214151062
Agustus 329.1 309.3 0.0640155189137
September 342.4 329.1 0.0404132482528
Oktober 373.68 342.4 0.0913551401869
November 366.13 373.68 -0.020204453008
Desember 365.43 366.13 -0.00191188922
Total 4167.47 4171.5 9.080498521E-05
Risiko Pasar Saham (σm)2 Langkah 3 Tabulasi
(Rmt – E(Rm))2 Bulan ke (t) Rit E(Ri)

0.0007112962067 Januari 0.0395256916996047 0.01035557563338
0.0004568951296 Februari -0.064638783269962 0.01035557563338
0.0022391522376 Maret 0 0.01035557563338
April 0.0040650406504065
0.0004245456096 0.01035557563338
1.714281827E-06 Mei -0.02834008097166 0.01035557563338
0.0053288061882 Juni -0.016666666666667 0.01035557563338
0.0008011705368 Juli -0.033898305084746 0.01035557563338
0.0040863690508 Agustus 0.0701754385964912 0.01035557563338
0.0016258994311 September 0.0081967213114754 0.01035557563338
0.0083291788798 Oktober 0.166666666666667 0.01035557563338
0.000411897497 November -0.024390243902439 0.01035557563338
4.010784078E-06 Desember 0.0035714285714286 0.01035557563338
0.0022200850757 Total

0.0007112962067 Januari -0.081632653061225 -0.01378574335841
0.0004568951296 Februari 0.0311111111111111 -0.01378574335841
0.0022391522376 Maret -0.03448275862069 -0.01378574335841
0.0004245456096 April 0.0491071428571429 -0.01378574335841
1.714281827E-06 Mei -0.046808510638298 -0.01378574335841
0.0053288061882 Juni -0.138392857142857 -0.01378574335841
0.0008011705368 Juli -0.031088082901554 -0.01378574335841
0.0040863690508 Agustus 0.0267379679144385 -0.01378574335841
0.0016258994311 September 0.0416666666666667 -0.01378574335841
0.0083291788798 Oktober 0.11 -0.01378574335841
0.000411897497 November -0.022522522522523 -0.01378574335841
4.010784078E-06 Desember -0.069124423963134 -0.01378574335841
0.0022200850757 Total

0.0007112962067 Januari -0.043103448275862 -0.00944218277004
0.0004568951296 Februari 0.009009009009009 -0.00944218277004
0.0022391522376 Maret 0.0267857142857143 -0.00944218277004
0.0004245456096 April 0.104347826086957 -0.00944218277004
1.714281827E-06 Mei -0.165354330708661 -0.00944218277004
0.0053288061882 Juni -0.056603773584906 -0.00944218277004
0.0008011705368 Juli 0.08 -0.00944218277004
0.0040863690508 Agustus -0.018518518518519 -0.00944218277004
0.0016258994311 September 0.0188679245283019 -0.00944218277004
0.0083291788798 Oktober 0.0740740740740741 -0.00944218277004
0.000411897497 November -0.086206896551724 -0.00944218277004
4.010784078E-06 Desember -0.056603773584906 -0.00944218277004
0.0022200850757 Total

0.0007112962067 Januari -0.093198992443325 -0.04122310636223
0.0004568951296 Februari -0.033333333333333 -0.04122310636223
0.0022391522376 Maret -0.117816091954023 -0.04122310636223
0.0004245456096 April -0.061889250814332 -0.04122310636223
1.714281827E-06 Mei -0.131944444444444 -0.04122310636223
0.0053288061882 Juni -0.208 -0.04122310636223
0.0008011705368 Juli -0.070707070707071 -0.04122310636223
0.0040863690508 Agustus 0.0217391304347826 -0.04122310636223
0.0016258994311 September 0.287234042553192 -0.04122310636223
0.0083291788798 Oktober 0.0289256198347107 -0.04122310636223
0.000411897497 November -0.068273092369478 -0.04122310636223
4.010784078E-06 Desember -0.047413793103448 -0.04122310636223
0.0022200850757 Total
Langkah 3 Tabulasi Perhitungan Beta Saham
[Rit – E(Ri)] Rmt E(Rm) [Rmt – E(Rm)] βi

0.0291701160662 -0.026579331998 9.08049852103E-05 -0.026670136983 -0.000777970991
-0.074994358903 0.0214659103548 9.08049852103E-05 0.0213751053696 -0.001603012324
-0.010355575633 -0.047228876307 9.08049852103E-05 -0.047319681292 0.0004900225386
-0.020513699609 0.000129613357
-0.006290534983 9.08049852103E-05 -0.020604504594
-0.038695656605 0.0014001108421 9.08049852103E-05 0.0013093058569 -5.066444983E-05
-0.0270222423 -0.072907867525 9.08049852103E-05 -0.07299867251 0.0019725878162
-0.044253880718 -0.028214151062 9.08049852103E-05 -0.028304956047 0.0012526041486
0.0598198629631 0.0640155189137 9.08049852103E-05 0.0639247139285 0.0038239676272
-0.002158854322 0.0404132482528 9.08049852103E-05 0.0403224432676 -8.705028092E-05
0.1563110910333 0.0913551401869 9.08049852103E-05 0.0912643352017 0.0142656278078
-0.034745819536 -0.020204453008 9.08049852103E-05 -0.020295257993 0.0007051753717
-0.006784147062 -0.00191188922 9.08049852103E-05 -0.002002694205 1.358657201E-05
7.008282843E-16 4.857225733E-17 0.0201344871932
9.0692412706478

-0.067846909703 -0.026579331998 9.08049852103E-05 -0.026670136983 0.0018094863757
0.0448968544695 0.0214659103548 9.08049852103E-05 0.0213751053696 0.000959674995
-0.020697015262 -0.047228876307 9.08049852103E-05 -0.047319681292 0.0009793761659
0.0628928862156 -0.020513699609 9.08049852103E-05 -0.020604504594 -0.001295876763
-0.03302276728 0.0014001108421 9.08049852103E-05 0.0013093058569 -4.323690261E-05
-0.124607113784 -0.072907867525 9.08049852103E-05 -0.07299867251 0.0090961538916
-0.017302339543 -0.028214151062 9.08049852103E-05 -0.028304956047 0.0004897419603
0.0405237112728 0.0640155189137 9.08049852103E-05 0.0639247139285 0.0025904666504
0.0554524100251 0.0404132482528 9.08049852103E-05 0.0403224432676 0.0022359766573
0.1237857433584 0.0913551401869 9.08049852103E-05 0.0912643352017 0.0112972235751
-0.008736779164 -0.020204453008 9.08049852103E-05 -0.020295257993 0.0001773151872
-0.055338680605 -0.00191188922 9.08049852103E-05 -0.002002694205 0.000110826455
-3.955169525E-16 4.857225733E-17 0.0284071282478
12.795513360414

-0.033661265506 -0.026579331998 9.08049852103E-05 -0.026670136983 0.0008977505621
0.0184511917791 0.0214659103548 9.08049852103E-05 0.0213751053696 0.0003943961685
0.0362278970558 -0.047228876307 9.08049852103E-05 -0.047319681292 -0.001714292543
0.113790008857 -0.020513699609 9.08049852103E-05 -0.020604504594 -0.00234458676
-0.155912147939 0.0014001108421 9.08049852103E-05 0.0013093058569 -0.000204136688
-0.047161590815 -0.072907867525 9.08049852103E-05 -0.07299867251 0.003442733523
0.08944218277 -0.028214151062 9.08049852103E-05 -0.028304956047 -0.002531657052
-0.009076335748 0.0640155189137 9.08049852103E-05 0.0639247139285 -0.000580202166
0.0283101072983 0.0404132482528 9.08049852103E-05 0.0403224432676 0.0011415326954
0.0835162568441 0.0913551401869 9.08049852103E-05 0.0912643352017 0.0076220556594
-0.076764713782 -0.020204453008 9.08049852103E-05 -0.020295257993 0.001557959671
-0.047161590815 -0.00191188922 9.08049852103E-05 -0.002002694205 9.445024462E-05
-7.840950111E-16 4.857225733E-17 0.0077760033144
3.5025699687728

-0.051975886081 -0.026579331998 9.08049852103E-05 -0.026670136983 0.0013862040016
0.0078897730289 0.0214659103548 9.08049852103E-05 0.0213751053696 0.0001686447298
-0.076592985592 -0.047228876307 9.08049852103E-05 -0.047319681292 0.0036243556674
-0.020666144452 -0.020513699609 9.08049852103E-05 -0.020604504594 0.0004258156683
-0.090721338082 0.0014001108421 9.08049852103E-05 0.0013093058569 -0.000118781979
-0.166776893638 -0.072907867525 9.08049852103E-05 -0.07299867251 0.0121744918409
-0.029483964345 -0.028214151062 9.08049852103E-05 -0.028304956047 0.0008345423149
0.062962236797 0.0640155189137 9.08049852103E-05 0.0639247139285 0.0040248429755
0.3284571489154 0.0404132482528 9.08049852103E-05 0.0403224432676 0.013244194753
0.0701487261969 0.0913551401869 9.08049852103E-05 0.0912643352017 0.0064020768616
-0.027049986007 -0.020204453008 9.08049852103E-05 -0.020295257993 0.0005489864447
-0.006190686741 -0.00191188922 9.08049852103E-05 -0.002002694205 1.239805246E-05
-3.989863995E-17 4.857225733E-17 0.042727771331
19.246006289562
Langkah 4 Menghitung Alpha αi= E(Ri)-[βi x E(Rm)]
Bulan ke (t) E(Ri) βi E(Rm)

Januari 0.01035557563338 9.0692412706478 9.08049852103E-05

Januari -0.01378574335841 12.795513360414 9.08049852103E-05

Januari -0.00944218277004 3.5025699687728 9.08049852103E-05

Januari -0.04122310636223 19.246006289562 9.08049852103E-05
x E(Rm)] Langkah 5 Tabulasi Variance Error Residua
αi Bulan ke (t) βi βi2

0.0095320433139 Januari 9.0692412706478 82.25113722522
Februari 9.0692412706478 82.25113722522
Maret 9.0692412706478 82.25113722522
April 9.0692412706478 82.25113722522
Mei 9.0692412706478 82.25113722522

Juni 9.0692412706478 82.25113722522
Juli 9.0692412706478 82.25113722522
Agustus 9.0692412706478 82.25113722522
September 9.0692412706478 82.25113722522
Oktober 9.0692412706478 82.25113722522
November 9.0692412706478 82.25113722522
Desember 9.0692412706478 82.25113722522

-0.01494763976 Januari 13.793274837615 190.25443074598
Februari 13.793274837615 190.25443074598
Maret 13.793274837615 190.25443074598
April 13.793274837615 190.25443074598
Mei 13.793274837615 190.25443074598
Juni 13.793274837615 190.25443074598
Juli 13.793274837615 190.25443074598
Agustus 13.793274837615 190.25443074598
September 13.793274837615 190.25443074598
Oktober 13.793274837615 190.25443074598
November 13.793274837615 190.25443074598
Desember 13.793274837615 190.25443074598

-0.009760233584 Januari 3.5025699687728 12.267996386149
Februari 3.5025699687728 12.267996386149
Maret 3.5025699687728 12.267996386149
April 3.5025699687728 12.267996386149
Mei 3.5025699687728 12.267996386149
Juni 3.5025699687728 12.267996386149
Juli 3.5025699687728 12.267996386149
Agustus 3.5025699687728 12.267996386149
September 3.5025699687728 12.267996386149
Oktober 3.5025699687728 12.267996386149
November 3.5025699687728 12.267996386149
Desember 3.5025699687728 12.267996386149

-0.042970739679 Januari 19.246006289562 370.40875809786
Februari 19.246006289562 370.40875809786
Maret 19.246006289562 370.40875809786
April 19.246006289562 370.40875809786
Mei 19.246006289562 370.40875809786
Juni 19.246006289562 370.40875809786
Juli 19.246006289562 370.40875809786
Agustus 19.246006289562 370.40875809786
September 19.246006289562 370.40875809786
Oktober 19.246006289562 370.40875809786
November 19.246006289562 370.40875809786
Desember 19.246006289562 370.40875809786
ulasi Variance Error Residual Saham Langkah 6
σ m2 σi 2 σei2 Bulan ke (t)

0.00222008507574 0.0036433954688 0.1862479176848 1
0.00222008507574 0.0036433954688 0.1862479176848 3,75% di bagi 12 bulan
0.00222008507574 0.0036433954688 0.1862479176848
0.00222008507574 0.0036433954688
0.1862479176848
0.00222008507574 0.0036433954688 0.1862479176848
0.00222008507574 0.0036433954688 0.1862479176848
0.00222008507574 0.0036433954688 0.1862479176848
0.00222008507574 0.0036433954688 0.1862479176848
0.00222008507574 0.0036433954688 0.1862479176848
0.00222008507574 0.0036433954688 0.1862479176848
0.00222008507574 0.0036433954688 0.1862479176848
0.00222008507574 0.0036433954688 0.1862479176848
2.2349750122176

0.00222008507574 0.4270263287723
0.00464530648054 2
0.00222008507574 0.4270263287723
0.00464530648054 3,75% di bagi 12 bulan
0.00222008507574 0.4270263287723
0.00464530648054
0.00222008507574 0.4270263287723
0.00464530648054
0.00222008507574 0.4270263287723
0.00464530648054
0.00222008507574 0.4270263287723
0.00464530648054
0.00222008507574 0.4270263287723
0.00464530648054
0.00222008507574 0.4270263287723
0.00464530648054
0.00222008507574 0.4270263287723
0.00464530648054
0.00222008507574 0.4270263287723
0.00464530648054
0.00222008507574 0.4270263287723
0.00464530648054
0.00222008507574 0.00464530648054 0.4270263287723
5.1243159452671

0.00222008507574 0.0332580607433
0.00602206505721 3
0.00222008507574 0.0332580607433
0.00602206505721 3,75% di bagi 12 bulan
0.00222008507574 0.0332580607433
0.00602206505721
0.00222008507574 0.0332580607433
0.00602206505721
0.00222008507574 0.0332580607433
0.00602206505721
0.00222008507574 0.0332580607433
0.00602206505721
0.00222008507574 0.0332580607433
0.00602206505721
0.00222008507574 0.0332580607433
0.00602206505721
0.00222008507574 0.0332580607433
0.00602206505721
0.00222008507574 0.0332580607433
0.00602206505721
0.00222008507574 0.0332580607433
0.00602206505721
0.00222008507574 0.00602206505721 0.0332580607433
0.3990967289193
ulasi Variance Error Residual Saham

σ m2 σi 2 σei2
0.00222008507574 0.8383054149685
0.01596645919365
0.00222008507574 0.8383054149685
0.01596645919365
0.00222008507574 0.8383054149685
0.01596645919365
0.00222008507574 0.8383054149685
0.01596645919365
0.00222008507574 0.8383054149685
0.01596645919365
0.00222008507574 0.8383054149685
0.01596645919365
0.00222008507574 0.8383054149685
0.01596645919365
0.00222008507574 0.8383054149685
0.01596645919365
0.00222008507574 0.8383054149685
0.01596645919365
0.00222008507574 0.8383054149685
0.01596645919365
0.00222008507574 0.8383054149685
0.01596645919365
0.00222008507574 0.01596645919365 0.8383054149685
10.059664979622
Langkah 6 Menghitung Excess Return to Beta
E(Ri) RBR βi ERBi

-0.007384447682 0.0375 21.628104641473 -0.002075283453
3,75% di bagi 12 bulan 0.003125
BELOM SELESAI LK 6 DAN 7
E(Ri) RBR βi ERBi

0.00780866037494 0.0375 -16.03062101178 0.00185216403053
3,75% di bagi 12 bulan 0.003125

E(Ri) RBR βi ERBi
0.008859079 0.0375 -17.25427320573 0.00165993204457
3,75% di bagi 12 bulan 0.003125
Langkah 7
Bulan ke (t) E(Ri) RBR βi βi2

1 -0.007341324 0.003125 21.628104641473 467.77491038252
Langkah 7

2 0.00780866037494 0.003125 -16.03062101178 256.98081002332
Langkah 7
3 0.008859079 0.003125 -17.25427320573 297.70994385787
σei2 Ai Bi
0.087559356 -2.585294833411 5342.3749528551
σei2 Ai Bi
0.6833703118565 -0.109870129147 376.04912821744
σei2 Ai Bi
0.131375556 -0.753088083214 2266.0984502921

TPAI - PRAKTIKUM - M - KEL

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Bulan ke (t) (Close 2020) Iit (Open 2020) Iit - 1 Rmt

Bulan ke (t) (Close 2020) Iit (Open 2020) Iit - 1 Rmt

(Rmt – E(Rm))2 Bulan ke (t) Rit E(Ri)

Risiko Pasar Saham (σm)2 Langkah 3 Tabulasi

(Rmt – E(Rm))2 Bulan ke (t) Rit E(Ri)

Risiko Pasar Saham (σm)2 Langkah 3 Tabulasi

Risiko Pasar Saham (σm)2 Langkah 3 Tabulasi

[Rit – E(Ri)] Rmt E(Rm) [Rmt – E(Rm)] βi

Langkah 3 Tabulasi Perhitungan Beta Saham

[Rit – E(Ri)] Rmt E(Rm) [Rmt – E(Rm)] βi

Langkah 3 Tabulasi Perhitungan Beta Saham

Langkah 3 Tabulasi Perhitungan Beta Saham

Bulan ke (t) E(Ri) βi E(Rm)

Langkah 4 Menghitung Alpha αi= E(Ri)-[βi x E(Rm)]

Bulan ke (t) E(Ri) βi E(Rm)

Langkah 4 Menghitung Alpha αi= E(Ri)-[βi x E(Rm)]

Langkah 4 Menghitung Alpha αi= E(Ri)-[βi x E(Rm)]

αi Bulan ke (t) βi βi2

April 9.0692412706478 82.25113722522

Mei 9.0692412706478 82.25113722522

x E(Rm)] Langkah 5 Tabulasi Variance Error Residua

αi Bulan ke (t) βi βi2

x E(Rm)] Langkah 5 Tabulasi Variance Error Residua

x E(Rm)] Langkah 5 Tabulasi Variance Error Residua

σ m2 σi 2 σei2 Bulan ke (t)

ulasi Variance Error Residual Saham Langkah 6

σ m2 σi 2 σei2 Bulan ke (t)

ulasi Variance Error Residual Saham Langkah 6

ulasi Variance Error Residual Saham

E(Ri) RBR βi ERBi

BELOM SELESAI LK 6 DAN 7

Langkah 6 Menghitung Excess Return to Beta

E(Ri) RBR βi ERBi

Langkah 6 Menghitung Excess Return to Beta

Bulan ke (t) E(Ri) RBR βi βi2

Bulan ke (t) E(Ri) RBR βi βi2

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