SUMMARY OUTPUT

Regression Statistics
Multiple R 0.150233
R Square 0.02257
Adjusted R 0.011946
Standard E 0.072357
Observatio 94

ANOVA
df SS MS F Significance F
Regression 1 0.011122 0.011122 2.124394 0.148375
Residual 92 0.481666 0.005235
Total 93 0.492788

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.006784 0.007602 0.892434 0.374489 -0.008314 0.021882 -0.008314 0.021882
0.008665 1.053197 0.72259 1.45753 0.148375 -0.381929 2.488323 -0.381929 2.488323
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.035504
R Square 0.001261
Adjusted R-0.009595
Standard E 0.109531
Observatio 94

ANOVA
df SS MS F Significance F
Regression 1 0.001393 0.001393 0.116115 0.734064
Residual 92 1.103731 0.011997
Total 93 1.105124

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.012062 0.011508 1.048148 0.297316 -0.010793 0.034917 -0.010793 0.034917
0.008665 0.37273 1.093832 0.340757 0.734064 -1.799714 2.545175 -1.799714 2.545175
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.152625
R Square 0.023294
Adjusted R 0.012678
Standard E 0.030998
Observatio 94

ANOVA
df SS MS F Significance F
Regression 1 0.002108 0.002108 2.194203 0.141948
Residual 92 0.0884 0.000961
Total 93 0.090508

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept -0.000464 0.003257 -0.142383 0.887089 -0.006932 0.006004 -0.006932 0.006004
0.008665 0.458546 0.30956 1.481284 0.141948 -0.156266 1.073359 -0.156266 1.073359
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.594864
R Square 0.353864
Adjusted R 0.31348
Standard E 0.040835
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.014611 0.014611 8.762578 0.009213
Residual 16 0.026679 0.001667
Total 17 0.041291

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept -0.012209 0.01148 -1.063556 0.303319 -0.036545 0.012126 -0.036545 0.012126
0.008665 2.88923 0.976037 2.960165 0.009213 0.820124 4.958335 0.820124 4.958335
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.042486
R Square 0.001805
Adjusted R-0.060582
Standard E 0.050754
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 7.453E-05 7.453E-05 0.028933 0.867065
Residual 16 0.041216 0.002576
Total 17 0.041291

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.005842 0.012276 0.475883 0.64059 -0.020183 0.031867 -0.020183 0.031867
-0.010131 0.189381 1.113364 0.170098 0.867065 -2.170846 2.549607 -2.170846 2.549607
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.079104
R Square 0.006257
Adjusted R-0.055851
Standard E 0.050641
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.000258 0.000258 0.10075 0.755036
Residual 16 0.041032 0.002565
Total 17 0.041291

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.00598 0.011982 0.499137 0.624476 -0.019419 0.03138 -0.019419 0.03138
0.021044 -0.306807 0.966589 -0.317412 0.755036 -2.355883 1.742269 -2.355883 1.742269
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.304366
R Square 0.092639
Adjusted R 0.035929
Standard E 0.04839
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.003825 0.003825 1.633554 0.219444
Residual 16 0.037465 0.002342
Total 17 0.041291

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.002147 0.011862 0.180961 0.858671 -0.023 0.027293 -0.023 0.027293
0.014744 2.619542 2.04955 1.278106 0.219444 -1.725311 6.964395 -1.725311 6.964395
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.019743
R Square 0.00039
Adjusted R-0.062086
Standard E 0.05079
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 1.609E-05 1.609E-05 0.006239 0.938022
Residual 16 0.041274 0.00258
Total 17 0.041291

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.006175 0.012094 0.510639 0.616576 -0.019462 0.031813 -0.019462 0.031813
0.015495 -0.110148 1.394491 -0.078988 0.938022 -3.066336 2.84604 -3.066336 2.84604
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.154632
R Square 0.023911
Adjusted R-0.037094
Standard E 0.098546
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.003806 0.003806 0.391951 0.540105
Residual 16 0.155382 0.009711
Total 17 0.159188

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept -0.005592 0.027704 -0.201844 0.842583 -0.064321 0.053137 -0.064321 0.053137
0.008665 1.474669 2.355475 0.62606 0.540105 -3.518716 6.468054 -3.518716 6.468054
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.270163
R Square 0.072988
Adjusted R 0.01505
Standard E 0.096037
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.011619 0.011619 1.259757 0.278258
Residual 16 0.147569 0.009223
Total 17 0.159188

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept -0.001993 0.023229 -0.085778 0.932707 -0.051236 0.047251 -0.051236 0.047251
-0.010131 2.364534 2.106697 1.122389 0.278258 -2.101464 6.830532 -2.101464 6.830532
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.060525
R Square 0.003663
Adjusted R-0.058608
Standard E 0.099563
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.000583 0.000583 0.058827 0.811441
Residual 16 0.158605 0.009913
Total 17 0.159188

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.004357 0.023556 0.184975 0.855573 -0.04558 0.054295 -0.04558 0.054295
0.021044 0.460922 1.900368 0.242544 0.811441 -3.567678 4.489522 -3.567678 4.489522
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.101393
R Square 0.010281
Adjusted R-0.051577
Standard E 0.099232
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.001637 0.001637 0.166198 0.688916
Residual 16 0.157552 0.009847
Total 17 0.159188

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.001137 0.024325 0.046741 0.963298 -0.050429 0.052703 -0.050429 0.052703
0.014744 1.713435 4.202952 0.407674 0.688916 -7.196426 10.6233 -7.196426 10.6233
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.166932
R Square 0.027866
Adjusted R-0.032892
Standard E 0.098346
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.004436 0.004436 0.458639 0.507935
Residual 16 0.154752 0.009672
Total 17 0.159188

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.001612 0.023417 0.06885 0.945963 -0.04803 0.051254 -0.04803 0.051254
0.015495 -1.828643 2.700183 -0.677229 0.507935 -7.552775 3.89549 -7.552775 3.89549
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.288756
R Square 0.08338
Adjusted R 0.026091
Standard E 0.031519
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.001446 0.001446 1.455436 0.245194
Residual 16 0.015896 0.000993
Total 17 0.017342

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.005193 0.008861 0.586031 0.566031 -0.013591 0.023977 -0.013591 0.023977
0.008665 -0.908896 0.753386 -1.206414 0.245194 -2.506004 0.688212 -2.506004 0.688212
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.030543
R Square 0.000933
Adjusted R-0.061509
Standard E 0.032907
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 1.618E-05 1.618E-05 0.01494 0.904239
Residual 16 0.017325 0.001083
Total 17 0.017342

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept -0.000415 0.007959 -0.052127 0.959073 -0.017288 0.016458 -0.017288 0.016458
-0.010131 -0.088232 0.721848 -0.12223 0.904239 -1.618482 1.442018 -1.618482 1.442018
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.367701
R Square 0.135204
Adjusted R 0.081154
Standard E 0.030616
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.002345 0.002345 2.501476 0.133304
Residual 16 0.014997 0.000937
Total 17 0.017342

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.000362 0.007244 0.050008 0.960735 -0.014993 0.015718 -0.014993 0.015718
0.021044 0.924227 0.58436 1.581605 0.133304 -0.314561 2.163015 -0.314561 2.163015
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.013438
R Square 0.000181
Adjusted R-0.062308
Standard E 0.032919
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 3.131E-06 3.131E-06 0.00289 0.957796
Residual 16 0.017338 0.001084
Total 17 0.017342

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept -0.000514 0.008069 -0.063717 0.949985 -0.017621 0.016592 -0.017621 0.016592
0.014744 -0.074949 1.394275 -0.053755 0.957796 -3.03068 2.880781 -3.03068 2.880781
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.285121
R Square 0.081294
Adjusted R 0.023875
Standard E 0.031555
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.00141 0.00141 1.415795 0.251454
Residual 16 0.015932 0.000996
Total 17 0.017342

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept 0.000634 0.007514 0.084422 0.933768 -0.015294 0.016562 -0.015294 0.016562
0.015495 1.030879 0.866379 1.189872 0.251454 -0.805761 2.86752 -0.805761 2.86752
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.359655
R Square 0.129352
Adjusted R 0.074936
Standard E 0.012221
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 0.000355 0.000355 2.377111 0.142669
Residual 16 0.00239 0.000149
Total 17 0.002745

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept -0.0021 0.002956 -0.710534 0.487602 -0.008367 0.004166 -0.008367 0.004166
-0.010131 0.413343 0.268093 1.541788 0.142669 -0.154989 0.981676 -0.154989 0.981676
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.007989
R Square 6.382E-05
Adjusted R-0.062432
Standard E 0.013097
Observatio 18

ANOVA
df SS MS F Significance F
Regression 1 1.752E-07 1.752E-07 0.001021 0.974902
Residual 16 0.002745 0.000172
Total 17 0.002745

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95,0%
Upper 95,0%
Intercept -0.001013 0.003682 -0.275133 0.786735 -0.008819 0.006792 -0.008819 0.006792
0.008665 -0.010004 0.313058 -0.031956 0.974902 -0.673658 0.65365 -0.673658 0.65365
 Closing Saham Return
Date
IHSG JAST AIMS BKSL IHSG JAST AIMS BKSL
2020-11-02 5,115 101 126 50
2020-11-03 5,159 103 119 50 0.0087 0.0198 -0.0556 0.0000
2020-11-04 5,105 99 113 50 -0.0105 -0.0388 -0.0504 0.0000
2020-11-05 5,260 100 125 50 0.0304 0.0101 0.1062 0.0000
2020-11-06 5,336 101 118 50 0.0143 0.0100 -0.0560 0.0000
2020-11-09 5,356 100 120 50 0.0038 -0.0099 0.0169 0.0000
2020-11-10 5,463 102 155 50 0.0199 0.0200 0.2917 0.0000
2020-11-11 5,510 100 145 50 0.0086 -0.0196 -0.0645 0.0000
2020-11-12 5,459 100 136 50 -0.0092 0.0000 -0.0621 0.0000
2020-11-13 5,461 99 130 50 0.0004 -0.0100 -0.0441 0.0000
2020-11-16 5,495 104 130 50 0.0062 0.0505 0.0000 0.0000
2020-11-17 5,530 101 149 50 0.0064 -0.0288 0.1462 0.0000
2020-11-18 5,558 101 142 50 0.0050 0.0000 -0.0470 0.0000
2020-11-19 5,594 101 144 50 0.0066 0.0000 0.0141 0.0000
2020-11-20 5,572 101 144 50 -0.0040 0.0000 0.0000 0.0000
2020-11-23 5,653 105 145 50 0.0146 0.0396 0.0069 0.0000
2020-11-24 5,701 105 135 50 0.0085 0.0000 -0.0690 0.0000
2020-11-25 5,679 105 131 60 -0.0038 0.0000 -0.0296 0.2000
2020-11-26 5,760 120 123 56 0.0142 0.1429 -0.0611 -0.0667
2020-11-27 5,783 114 153 53 0.0041 -0.0500 0.2439 -0.0536
2020-12-01 5,725 110 155 51 -0.0101 -0.0351 0.0131 -0.0377
2020-12-02 5,814 112 155 51 0.0156 0.0182 0.0000 0.0000
2020-12-03 5,823 110 155 55 0.0015 -0.0179 0.0000 0.0784
2020-12-04 5,810 113 152 52 -0.0021 0.0273 -0.0194 -0.0545
2020-12-07 5,931 116 143 54 0.0207 0.0265 -0.0592 0.0385
2020-12-08 5,944 156 136 53 0.0023 0.3448 -0.0490 -0.0185
2020-12-10 5,934 146 149 52 -0.0018 -0.0641 0.0956 -0.0189
2020-12-11 5,938 144 139 51 0.0008 -0.0137 -0.0671 -0.0192
2020-12-14 6,013 144 133 51 0.0125 0.0000 -0.0432 0.0000
2020-12-15 6,010 165 144 51 -0.0004 0.1458 0.0827 0.0000
2020-12-16 6,118 163 142 50 0.0180 -0.0121 -0.0139 -0.0196
2020-12-17 6,113 163 144 51 -0.0008 0.0000 0.0141 0.0200
2020-12-18 6,104 169 136 53 -0.0015 0.0368 -0.0556 0.0392
2020-12-21 6,166 195 128 54 0.0100 0.1538 -0.0588 0.0189
2020-12-22 6,023 183 132 52 -0.0231 -0.0615 0.0313 -0.0370
2020-12-23 6,009 232 133 51 -0.0024 0.2678 0.0076 -0.0192
2020-12-28 6,094 266 159 52 0.0141 0.1466 0.1955 0.0196
2020-12-29 6,036 266 148 51 -0.0094 0.0000 -0.0692 -0.0192
2020-12-30 5,979 252 148 50 -0.0095 -0.0526 0.0000 -0.0196
2021-01-04 6,105 262 149 51 0.0210 0.0397 0.0068 0.0200
2021-01-05 6,137 258 139 51 0.0053 -0.0153 -0.0671 0.0000
2021-01-06 6,066 308 139 50 -0.0117 0.1938 0.0000 -0.0196
2021-01-07 6,154 308 137 50 0.0145 0.0000 -0.0144 0.0000
2021-01-08 6,258 308 136 50 0.0169 0.0000 -0.0073 0.0000
2021-01-11 6,383 308 136 50 0.0200 0.0000 0.0000 0.0000
2021-01-12 6,396 308 155 50 0.0020 0.0000 0.1397 0.0000
2021-01-13 6,435 308 149 55 0.0062 0.0000 -0.0387 0.1000
2021-01-14 6,428 308 147 53 -0.0011 0.0000 -0.0134 -0.0364
2021-01-15 6,373 308 144 51 -0.0085 0.0000 -0.0204 -0.0377
2021-01-18 6,390 308 192 52 0.0026 0.0000 0.3333 0.0196
2021-01-19 6,322 308 179 50 -0.0106 0.0000 -0.0677 -0.0385
2021-01-20 6,430 308 167 52 0.0171 0.0000 -0.0670 0.0400
2021-01-21 6,414 308 156 51 -0.0025 0.0000 -0.0659 -0.0192
2021-01-22 6,307 308 146 51 -0.0166 0.0000 -0.0641 0.0000
2021-01-25 6,259 308 141 50 -0.0077 0.0000 -0.0342 -0.0196
2021-01-26 6,140 308 142 50 -0.0189 0.0000 0.0071 0.0000
2021-01-27 6,109 308 150 50 -0.0050 0.0000 0.0563 0.0000
2021-01-28 5,979 288 149 50 -0.0212 -0.0649 -0.0067 0.0000
2021-02-01 6,068 250 138 50 0.0147 -0.1319 -0.0738 0.0000
2021-02-02 6,044 234 130 50 -0.0039 -0.0640 -0.0580 0.0000
2021-02-03 6,078 218 129 50 0.0056 -0.0684 -0.0077 0.0000
2021-02-04 6,107 204 174 50 0.0048 -0.0642 0.3488 0.0000
2021-02-05 6,152 190 162 50 0.0073 -0.0686 -0.0690 0.0000
2021-02-08 6,209 242 151 50 0.0093 0.2737 -0.0679 0.0000
2021-02-09 6,182 226 141 50 -0.0044 -0.0661 -0.0662 0.0000
2021-02-10 6,202 220 138 50 0.0033 -0.0265 -0.0213 0.0000
2021-02-11 6,223 228 142 50 0.0033 0.0364 0.0290 0.0000
2021-02-15 6,270 228 143 50 0.0077 0.0000 0.0070 0.0000
2021-02-16 6,292 228 143 50 0.0035 0.0000 0.0000 0.0000
2021-02-17 6,228 226 141 50 -0.0103 -0.0088 -0.0140 0.0000
2021-02-18 6,200 228 137 50 -0.0044 0.0088 -0.0284 0.0000
2021-02-19 6,232 222 133 50 0.0051 -0.0263 -0.0292 0.0000
2021-02-22 6,255 224 130 50 0.0038 0.0090 -0.0226 0.0000
2021-02-23 6,273 224 131 50 0.0028 0.0000 0.0077 0.0000
2021-02-24 6,251 218 140 50 -0.0035 -0.0268 0.0687 0.0000
2021-02-25 6,290 220 138 50 0.0062 0.0092 -0.0143 0.0000
2021-02-26 6,242 206 138 50 -0.0076 -0.0636 0.0000 0.0000
2021-03-01 6,339 202 133 50 0.0155 -0.0194 -0.0362 0.0000
2021-03-02 6,359 202 179 53 0.0033 0.0000 0.3459 0.0600
2021-03-03 6,377 200 240 54 0.0028 -0.0099 0.3408 0.0189
2021-03-04 6,291 186 300 52 -0.0135 -0.0700 0.2500 -0.0370
2021-03-05 6,259 181 300 50 -0.0051 -0.0269 0.0000 -0.0385
2021-03-08 6,248 204 280 50 -0.0016 0.1271 -0.0667 0.0000
2021-03-09 6,200 190 262 50 -0.0078 -0.0686 -0.0643 0.0000
2021-03-10 6,265 190 244 50 0.0105 0.0000 -0.0687 0.0000
2021-03-12 6,358 189 228 50 0.0149 -0.0053 -0.0656 0.0000
2021-03-15 6,324 193 214 50 -0.0053 0.0212 -0.0614 0.0000
2021-03-16 6,310 195 200 50 -0.0023 0.0104 -0.0654 0.0000
2021-03-17 6,277 197 186 50 -0.0051 0.0103 -0.0700 0.0000
2021-03-18 6,348 204 176 50 0.0112 0.0355 -0.0538 0.0000
2021-03-19 6,356 202 236 50 0.0013 -0.0098 0.3409 0.0000
2021-03-22 6,301 202 294 50 -0.0087 0.0000 0.2458 0.0000
2021-03-23 6,253 197 300 50 -0.0077 -0.0248 0.0204 0.0000
2021-03-24 6,156 197 280 50 -0.0154 0.0000 -0.0667 0.0000
2021-03-25 6,123 189 262 50 -0.0054 -0.0406 -0.0643 0.0000
2021-03-26 6,196 190 244 50 0.0119 0.0053 -0.0687 0.0000
 PENGUJIAN BETA
JAST 1.0531965659
AIMS 0.3727304222
BKSL 0.4585462783
Rata-rata 0.6281578

KOREKSI BIAS
Beta dihitung dengan 2 lag 2 lead Sebelum di koreksi
JAST AIMS BKSL (β0)
β-2 (November) 2.8892295182 1.47466926 -0.90889608 JAST -0.30681
β-1 (Desember) 0.1893807488 2.36453376 -0.08823186 AIMS 0.46092
β0 (Januari) -0.306806771 0.46092204 0.92422716 BKSL 0.92423
β+1 (Februari) 2.6195417738 1.71343513 -0.07494927 Rata-rata 0.35945
β+2 (Maret) -0.110147986 -1.82864260 1.03087942

KORELASI
r1 r2
0.4133433233971 -0.010004072
Korelasi 1.8066785021
Sesudah dikoreksi Metode
William & Scholes
1.59919
1.30877
0.51156
1.13984