Journal of Economics & Business, Vol. 02 No. 02 (2018) 128 - 141
Journal Of Economics & Business
Journal homepage: www.jebi-atmajaya.com
INVESTMENT DECISION MAKING BASED ON VALUE AT RISK (VAR)
ANALYSIS FOR STOCKS OF STATE OWN BANK IN INDONESIA
Suandi Sitorus1
Risk Management Division of China Construction Bank Indonesia
Email: suandi.sitorus@gmail.com
Received: September 20, 2018 Accepted: September 29, 2018 Published: October 04, 2018
To link to this article DOI: http://dx.doi.org/10.25170/jebi.v2i2.42
ABSTRACT
The purpose of this journal is how to measurement the probability of the maximum risk level
for stocks of state-owned banks in Indonesia. One consideration for investors to make an
investments decision in stock instruments by monitoring the daily volatility movement and the
trend. From the risk perspective by measuring the maximum probability of risk level in the
future, it can be a consideration in making stock investment decisions that have the same
movements and characteristics. Risk projection based on historical data with a certain time
period can be calculated with Value at Risk (VaR) with a certain level of confidence. Thus the
investment decision will be optimal. The Value at Risk model will calculate the expected
losses. This research will show that volatility that looks the same but has a different level of
risk. This research will measuring a useful value for prospective investors in determining
investments among the stocks of state-owned banks in Indonesia. The data used in this study
is the stock closing price that has been adjusted taken from the source of the website
www.yahoo finance for the period 2015-2018. This study stipulates that the VAR model is the
maximum risk estimate that may arise with a 95% confidence level, or an error rate that is
tolerated at 5%. The VaR method used is historical analysis.
Keywords: Value at Risk, Historical Simulation, Stocks of State Own Banks in Indonesia.
1. INTRODUCTION
Talking about investment means talking about return and risk. The stickiest term in the
community that investment is high risk high return, low risk low return. Investment risk is an
investment return opportunity that is different from the expected return. Investors will be
faced with market risk called systematic risk. Systematic risk is generally risk that difficult to
avoid, which is caused by among others, the interest rate risk, inflationary risk, and volatility
on market risk.
______________________
Published Online: October 2018
Online E-ISSN 2549-5860 | Print P-ISSN 2579-3128
Faculty of Economics and Business Atma Jaya Catholic University of Indonesia, 2018
2018 Published by Atma Jaya Catholic University. This is an open access article at www.jebi-atmajaya.com
Peer-review under responsibility of the Team Editor Journal of Economics and Business
Sitorus / Journal of Economics & Business, Vol. 02 No. 02 (2018) 128 - 141
The risk of an investment can be single and portfolio, and it able to measure by
referring the possibility of financial losses due to the movement of systematic economic
variables both of interest rates and exchange rates (Fallon, 1996). In the context of
investment, several things that important concern are: (1). What are the most profitable
investments? (2).Will investment in certain assets be more profitable than other asset
investments? (3).Where is the source of funding for optimum investment? (4).What is the
return on investment level that you want? (5). How much risk can be measured in certain
asset investments? The points mentioned above become the main highlights of the investor,
but can be simplified by measuring risks and the rate of return on predictable results over a
period of time.
2. SOURCE OF DATA AND THEORETICAL
The data used in this study is comes from www.finance.yahoo.com, the market stock data,
daily closing prices of state-owned banks in Indonesia for 3 years, from the period January 05
2018 to October 30, 2018. Share is a unit of a book value in various financial instruments that
refers to the ownership of a company. By issuing shares, it allows companies that need longterm funding to sell the security in exchange for cash to financing the business (Darmadji, et
al; 2001). Shares are sold through the primary market or secondary market. Investors can buy
shares through a market called the stock exchange.
State-owned enterprise (SOEs) Bank; In Indonesia, the definition of state-owned
enterprises (SOEs) according to Law Number 19 of 2003 is a business entity who’s entire or
part of its capital is owned by the state through direct participation derived from separated
state assets. A state-owned enterprise is a bank that is fully owned, mostly, or a small part by
the government and the government gives control over it. Current state-owned banks in
Indonesia (www.ojk.go.id sources) are as follows: (1). Bank Mandiri (Persero) Tbk, with the
stock code is BMRI; (2). Bank Negara Indonesia (Persero) Tbk, with the stock code is BBNI;
(3). Bank Rakyat Indonesia (Persero) Tbk, with the stock code is BBRI; (4). Bank Tabungan
Negara (Persero), with the stock code is BBTN.
R Studio is a programming language and software system specifically designed as
computational statistics. This programming language was first developed in 1993 by two
statisticians namely Ross Ihaka and Robert Gentleman at Auckland University, New Zealand.
Until now, R programming language has continued to grow rapidly along with the
increasingly popular terminology "Big Data" and the increasing need for companies to data
scientist to process and analyze data in the company as a basis for policy making and
automating business processes as the data-driven.
Investment is the planting of a certain amount of money for a certain period to receive
future payments that will compensate investors for (1) the time of funds have been invested,
(2) the future inflation rate, (3) future uncertainties. Shares are proof of ownership of capital /
fund ownership in a company, paper that is clearly stated in nominal value, company name
and followed by rights and obligations explained to each holder. In addition, stocks are
inventories that are ready for sale. Return is the profit obtained by companies, individuals,
and institutions from the results of investment policies carried out [4]. Value at Risk (VaR) is
a market risk calculation method to determine the maximum loss risk that occur in a portfolio,
either single-instrument or multi-instruments, at a certain confidence level, during a certain
holding period, and under normal market conditions [5].
Risk is the potential losses that arise on investment. Risk also as the possibilities that a
return will be different from the expected rate of return. Basically there are three types of risks
that must be considered by investors if investments in stock securities, including Fahmi, I.
(2014): (1). Systematic risk is a risk that cannot be diversified or in other words, a risk that
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Sitorus / Journal of Economics & Business, Vol. 02 No. 02 (2018) 128 - 141
affects overall; (2). Non-systematic risk that only affects the related company; (3). Total risk
is a combination of systematic risk and unsystematic risk. So the sum of the systematic risk
and unsystematic risk we will get the total risk
3. METHODOLOGY VALUE AT RISK (VAR)
Value At Risk (VaR) is a market risk calculation method to determine the maximum loss risk
that can occur in a portfolio, either single-instrument or multi-instruments, at a certain
confidence level, during a certain holding period, and under normal market conditions
(Jorion, and GARP; 2007).
There are three main methods for calculating VaR, namely parametric methods (also
called covariant variant methods), Monte Carlo simulation methods and historical
simulations. The three methods have their own characteristics.
The explanation is as bellows (Jorion.; 2007):
1. The Covariance Variant Method.
This method is parametric and uses the assumption of a normal distribution. Risk factors
are processed in such a way as to have a normal distribution. VaR is obtained by
multiplying the standard deviation and confidence level, then the portfolio value which in
this method can be calculated using the single asset method.
The advantage of the variance-covariance method is calculate VaR can be simply by
assuming that market factors that affect the value of assets or portfolios are normally
distributed. The variant covariant formula is as below:
𝑉𝑎𝑅 = 𝑃𝑧0.95 𝜎√𝑡
Where:
𝑉𝑎𝑅: Maximum potential loss
𝜎: Volatility of return
√𝑡 : Time period
2. Monte Carlo Simulation Method.
This method is non-parametric because it does not use normal distribution assumptions,
the difference with historical simulation is the ability of this method to produce thousands
of simulation paths to produce an almost accurate of future risk factor distributions. The
use of the Monte Carlo simulation method to measure risk was introduced by Boyle in
1977.
In estimating Value at Risk (VaR) in both single assets and portfolios, Monte Carlo
simulations have several types of algorithms. But in essence is to do a simulation by
generating random numbers based on the characteristics of the data to be generated, which
is then used to estimate the VaR value (Berry.; 2008). The formula for the Monte Carlo
method is as follows:
𝑉𝑎𝑅 = 𝜇 − (Z 𝑥 𝜎)
Where:
𝑉𝑎𝑅
: Maximum potential loss
𝜇
: Average return
Z
: Confidence level
𝜎
: Standard deviation
3. Historical Simulation Method.
Historical simulation is non-parametric method and the easiest way to estimate Value At
Risk for many portfolios. In this method, VaR for a portfolio is estimated by creating a
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hypothetical time series of returns obtained by running a portfolio through actual
historical data and changes that have occurred in each period of a portfolio.
In this method VaR is determined by actual price movements. The calculation formula for
historical simulation VaR is as bellows:
𝑉𝑎𝑅(1−𝛼) = 𝜇(𝑅) − 𝑅𝛼
Dimana :
𝑉𝑎𝑅(1−𝛼) : Maximum potential loss
𝜇(𝑅)
: Average value of retur
𝑅𝛼
: Maximum loss for a certain α
In this journal, the author will analyze the value at risk (VaR) of state-owned
bank shares with the Historical Simulation method. With the comparison of VaR from
each share, it will become a tool for decision-making by investors to place more
investment among these state-owned banks.
Value at Risk (VaR) is calculated by using software R studio, with confidence level 95%.
4. RESULTS
4.1. Calculation of VaR of State-Owned Bank Shares Using Software of R-Studio
The data used is the adjusted closing price of daily trading of state-owned bank stocks with
the stock code: BMRI, BBRI, BBNI and BBTN period January 05, 2015 until October 30,
2018. The data used in this study comes from www.finance.yahoo.com with a total data
distribution of 3,816 with each stock code of 954 trading days, as follows:
Tabel 1: Full data trading for 3 years are attached.
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Date
1/5/2015
1/6/2015
1/7/2015
1/8/2015
1/9/2015
1/12/2015
1/13/2015
1/14/2015
1/15/2015
1/16/2015
1/19/2015
1/20/2015
1/21/2015
1/22/2015
1/23/2015
1/26/2015
1/27/2015
1/28/2015
1/29/2015
1/30/2015
2/2/2015
2/3/2015
2/4/2015
2/5/2015
2/6/2015
2/9/2015
2/10/2015
2/11/2015
2/12/2015
2/13/2015
2/16/2015
2/17/2015
2/18/2015
2/20/2015
2/23/2015
2/24/2015
2/25/2015
2/26/2015
2/27/2015
BMRI
ADJ. CLOSE PRICE
BBRI
BBTN
BBNI
4,600.40
4,568.46
4,621.70
4,664.30
4,738.84
4,611.05
4,579.11
4,568.46
4,643.00
4,557.81
4,568.46
4,579.11
4,674.95
4,685.60
4,845.33
4,728.19
4,717.54
4,674.95
4,674.95
4,685.60
4,792.09
4,834.68
4,845.33
4,792.09
4,834.68
4,983.77
4,951.82
5,005.07
5,015.72
5,068.96
5,015.72
4,983.77
5,079.61
5,143.51
5,058.31
5,058.31
5,068.96
5,058.31
5,111.56
1,445.63
1,436.28
1,467.44
1,492.36
1,498.59
1,464.32
1,473.67
1,464.32
1,458.09
1,442.51
1,445.63
1,433.17
1,423.82
1,430.05
1,479.90
1,479.90
1,486.13
1,458.09
1,458.09
1,454.98
1,461.21
1,464.32
1,467.44
1,458.09
1,451.86
1,454.98
1,451.86
1,458.09
1,479.90
1,495.48
1,498.59
1,495.48
1,554.68
1,585.83
1,582.72
1,595.18
1,610.76
1,613.87
1,604.52
5,264.54
5,264.54
5,308.23
5,308.23
5,373.76
5,308.23
5,373.76
5,330.07
5,373.76
5,220.85
5,220.85
5,155.32
5,220.85
5,199.01
5,330.07
5,330.07
5,417.45
5,395.61
5,373.76
5,461.14
5,461.14
5,614.05
5,679.59
5,635.90
5,832.50
6,007.26
5,941.72
5,876.19
5,876.19
5,832.50
5,832.50
5,810.66
6,029.10
6,029.10
6,050.95
6,094.63
6,094.63
6,050.95
6,007.26
1,131.86
1,108.66
1,117.94
1,122.58
1,131.86
1,117.94
1,085.47
1,039.08
1,043.72
1,034.44
1,020.53
1,020.53
937.03
955.59
946.31
918.48
927.75
937.03
927.75
923.11
927.75
927.75
927.75
923.11
1,001.97
974.14
969.50
950.95
955.59
950.95
932.39
937.03
969.50
978.78
969.50
974.14
974.14
983.42
992.70
RET BMRI
-0.002309
-0.006945
0.011655
0.009217
0.015982
-0.026966
-0.006928
-0.002326
0.016317
-0.018349
0.002336
0.002331
0.020930
0.002278
0.034091
-0.024176
-0.002252
-0.009029
0.000000
0.002278
0.022727
0.008889
0.002203
-0.010989
0.008889
0.030837
-0.006410
0.010753
0.002128
0.010616
-0.010504
-0.006369
0.019231
0.012579
-0.016563
0.000000
0.002105
-0.002101
0.010526
RETURN
RET BBRI
RET BBTN
-0.004292
-0.006465
0.021692
0.016985
0.004175
-0.022869
0.006383
-0.006342
-0.004255
-0.010684
0.002160
-0.008621
-0.006522
0.004376
0.034858
0.000000
0.004211
-0.018868
0.000000
-0.002137
0.004283
0.002132
0.002128
-0.006369
-0.004274
0.002146
-0.002141
0.004292
0.014957
0.010526
0.002083
-0.002079
0.039583
0.020040
-0.001965
0.007874
0.009766
0.001934
-0.005791
-0.004082
-0.020492
0.008368
0.004149
0.008265
-0.012295
-0.029046
-0.042735
0.004464
-0.008889
-0.013453
0.000000
-0.081818
0.019802
-0.009709
-0.029412
0.010101
0.010000
-0.009901
-0.005000
0.005025
0.000000
0.000000
-0.005000
0.085427
-0.027778
-0.004762
-0.019139
0.004878
-0.004854
-0.019512
0.004975
0.034653
0.009569
-0.009479
0.004785
0.000000
0.009524
0.009434
RET BBNI
-0.012295
0.000000
0.008299
0.000000
0.012346
-0.012195
0.012346
-0.008130
0.008197
-0.028455
0.000000
-0.012552
0.012712
-0.004184
0.025210
0.000000
0.016394
-0.004032
-0.004049
0.016260
0.000000
0.028000
0.011673
-0.007692
0.034884
0.029963
-0.010909
-0.011029
0.000000
-0.007435
0.000000
-0.003745
0.037594
0.000000
0.003623
0.007220
0.000000
-0.007168
-0.007220
Graph 1: Price charts during the observation period:
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Based on the graph above, the movement of the four state-owned bank shares moving
linearly towards the same trend with a fairly large correlation of above 88%, each other can be
explained the trend of price movements, so that the stocks cannot be distinguished which are
the best choices. Correlation of the graph of movement with each other can be seen as table
below:
Coefficient
correlation
BMRI
BBRI
BBTN
BBNI
BMRI
1.000000
0.970851
0.935166
0.970120
BBRI
0.970851
1.000000
0.958935
0.935756
BBTN
0.935166
0.958935
1.000000
0.882632
BBNI
0.970120
0.935756
0.882632
1.000000
What the difference of one another is the rate of return of each stock at any given
period. From the closing price data of these stocks, the return of the data must be calculated in
a row using the following formula:
𝑅=
𝑃𝑡 − 𝑃𝑡−1
𝑃𝑡−1
Where:
R
: Return of today
Pt
: Closing price today
Pt-1
: Closing price previous day
For example, the closing price of Bank Mandiri on October 30, 2018 is IDR. 6,525.00
and the closing price on October 29, 2018 is IDR. 6,400.00, then the calculation of return on
that day is:
𝑅=
(6.525,00 − 6.400,00)
= 0,195%
6.400,00
By using the coding system in the R studio, we calculate:
- Average return µ(R)
- standard deviation 𝜎 return that shown as daily volatility of return
- Value of percentile VaR 0,05% with confidence level 95% (Z).
To calculate VaR with historical simulation method, it needs to be determined first the time
horizon. In this case, the simulation for daily transactions with a calculation object is a
simulation distribution of daily returns
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Bank Mandiri (BMRI)
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Bank Rakyat Indonesia (BBRI)
Bank Negara Indonesia (BBNI)
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Bank Tabungan Negara (BBTN)
4.2. Analysis of Historical Simulation VaR Calculations
After getting the daily return distribution from the four shares of the state-owned bank above,
then the VaR can be calculated by using the formula:
𝑉𝑎𝑅 1 − 𝛼 = (𝑅) − 𝑅𝛼
BMRI
0.000907532
BBRI
0.000907532
BBNI
0.000907532
BBTN
0.000907532
µ (R)
Standard deviation of
0.018834828
0.021083364
0.019603726
0.022953648
return
5%
5%
5%
5%
Percentile
-0.0305
-0.0316
-0.0325
-0.035
Rα
95%
95%
95%
95%
Confidence Level
0.031407532
0.032507532
0.033407532
0.035907532
VaR value
3.141%
3.251%
3.341%
3.591%
VaR value (%)
If P (Investment amount
IDR 100,000,000.00 IDR 100,000,000.00 IDR 100,000,000.00 IDR 100,000,000.00
assumption)
IDR 3,140,753.23
IDR 3,250,753.23
IDR 3,340,753.23
IDR 3,590,753.23
VaR value (amount)
From the risk perspective, it can be seen in the table that the risk value of BBTN is
higher compared to the 3 other of state-owned banks. BBTN's VaR value with a 95%
confidence level is 0.03590 or the maximum probability of loss is not exceed of IDR
3,590,753.23 per day if the investor invests an initial IDR 100,000,000.00
Where the risk and return are two sides that can be separate, it also can be analogized
that the maximum probability return that investors get per day will not exceed IDR.
3,590,753.23 if the investor invests the initial funds of IDR. 100,000,000.00 in BBTN, while
the BMRI only IDR 3,140,753.23 for the equal of the initial fund for invest.
5. CONCLUSION
Based on the table of the calculation of VaR 95% above, using the historical data of the last 3
years of the stock prices of state owned banks in Indonesia, we can concluded as bellows:
Decision making for investment in several stocks which is believed to be good with
the same volatility, the same trend of movement, were a challenges for an investors to
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Sitorus / Journal of Economics & Business, Vol. 02 No. 02 (2018) 128 - 141
determine which stocks are more preferred to become investments. From the risk perspective
by measuring the maximum probability of risk that will be faced in the future or VaR, it can
be a consideration in making investment decisions on stocks that have the same movements
and characteristics.
Positive stock movements and volatility cannot yet state the level of return and risk
will be positive, and vice versa. The four of state-owned bank stocks have the same average
return for the past 3 years, but if seen from the value at risk with confidence level 95%, then
the investment decision will be different. The VaR95% of BMRI is the smallest among the
four state-owned bank in Indonesia, which means that the maximum loss probability is IDR.
3,140,753.23 Per day if an investor invests an initial fund of IDR 100 million in BMRI. If
compare the risk of BMRI to the 3 other state-owned bank stocks, the risk of BBRI is higher
for 11bps, the risk of BBNI is higher for 20bps and the risk of BBTN is higher for 45%.
By knowing the risk level of each share of the state-owned bank in Indonesia, the
investor can make a decision to invest either in a higher risk stocks or in the lower risk stock.
The decisions based on the risk level that has been measured will describe investors whether
risk lover or risk averse. Where the risk and return are two sides that can be separate, with the
term high risk high return, the risk lover will choose investment in BBTN than compared to 3
other stocks, where higher daily volatility will have a higher probability return. In contrast to
risk averse who are principled prudence would choose to invest in the stock BMRI with a
lower risk level than the three other state-owned bank shares.
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Fallon, William. 1996. Calculating Value-at-Risk. Paper presented at the Wharton Financial
Institution Center’s conference on Risk Management in Banking, October 13-15, 1996.
Darmadji, Tjiptono; Hendy, M, Fakhruddin. Pasar Modal di Indonesia. 2001. Indonesia.
Salemba Empat.
Fahmi, I. (2014). Pengantar Manajemen Keuangan Teori dan Soal Jawab (3rd ed.). Bandung:
ALFABETA.
Jorion, P., and GARP. (2007). Financial Risk Manager Handbook (4th ed.). USA: John Wiley
& Sons, Inc.
Jorion, P. (2007). Value At Risk The New Benchmark for Managing Financial (3rd ed.). USA:
McGraw Hill.
Berry, R. (2008). Investement Analytics and Consulting (December ed.). JP Morgan Chase &
Co.
www. yahoo finance .com, sumber data stock historical
www. ojk.go.id. pengaturan kelompok perbankan Indonesia
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Appendix:
Table of movements in stock closing prices
Date
1/5/2015
1/6/2015
1/7/2015
1/8/2015
1/9/2015
1/12/2015
1/13/2015
1/14/2015
1/15/2015
1/16/2015
1/19/2015
1/20/2015
1/21/2015
1/22/2015
1/23/2015
1/26/2015
1/27/2015
1/28/2015
1/29/2015
1/30/2015
2/2/2015
2/3/2015
2/4/2015
2/5/2015
2/6/2015
2/9/2015
2/10/2015
2/11/2015
2/12/2015
2/13/2015
2/16/2015
2/17/2015
2/18/2015
2/20/2015
2/23/2015
2/24/2015
2/25/2015
2/26/2015
2/27/2015
3/2/2015
3/3/2015
3/4/2015
3/5/2015
3/6/2015
3/9/2015
3/10/2015
3/11/2015
3/12/2015
3/13/2015
3/16/2015
3/17/2015
3/18/2015
3/19/2015
3/20/2015
3/23/2015
3/24/2015
3/25/2015
3/26/2015
3/27/2015
3/30/2015
3/31/2015
4/1/2015
4/2/2015
4/6/2015
4/7/2015
4/8/2015
4/9/2015
4/10/2015
4/13/2015
4/14/2015
4/15/2015
4/16/2015
4/17/2015
4/20/2015
BMRI
ADJ. CLOSE PRICE
BBRI
BBTN
BBNI
4,600.40
4,568.46
4,621.70
4,664.30
4,738.84
4,611.05
4,579.11
4,568.46
4,643.00
4,557.81
4,568.46
4,579.11
4,674.95
4,685.60
4,845.33
4,728.19
4,717.54
4,674.95
4,674.95
4,685.60
4,792.09
4,834.68
4,845.33
4,792.09
4,834.68
4,983.77
4,951.82
5,005.07
5,015.72
5,068.96
5,015.72
4,983.77
5,079.61
5,143.51
5,058.31
5,058.31
5,068.96
5,058.31
5,111.56
5,111.56
5,068.96
5,047.67
5,037.02
5,154.16
5,026.37
5,122.21
5,058.31
5,068.96
5,068.96
5,111.56
5,100.91
5,090.26
5,196.75
5,196.75
5,186.10
5,329.92
5,307.85
5,318.89
5,274.75
5,340.96
5,506.48
5,418.20
5,418.20
5,374.06
5,374.06
5,329.92
5,296.82
5,296.82
5,318.89
5,230.61
5,318.89
5,296.82
5,296.82
5,329.92
1,445.63
1,436.28
1,467.44
1,492.36
1,498.59
1,464.32
1,473.67
1,464.32
1,458.09
1,442.51
1,445.63
1,433.17
1,423.82
1,430.05
1,479.90
1,479.90
1,486.13
1,458.09
1,458.09
1,454.98
1,461.21
1,464.32
1,467.44
1,458.09
1,451.86
1,454.98
1,451.86
1,458.09
1,479.90
1,495.48
1,498.59
1,495.48
1,554.68
1,585.83
1,582.72
1,595.18
1,610.76
1,613.87
1,604.52
1,613.87
1,604.52
1,598.29
1,601.41
1,629.45
1,610.76
1,604.52
1,601.41
1,607.64
1,588.95
1,607.64
1,610.76
1,616.99
1,626.33
1,607.64
1,607.64
1,620.10
1,638.80
1,635.68
1,835.60
1,828.58
1,863.67
1,825.07
1,825.07
1,828.58
1,849.63
1,839.11
1,835.60
1,828.58
1,825.07
1,825.07
1,835.60
1,842.62
1,825.07
1,846.13
5,264.54
5,264.54
5,308.23
5,308.23
5,373.76
5,308.23
5,373.76
5,330.07
5,373.76
5,220.85
5,220.85
5,155.32
5,220.85
5,199.01
5,330.07
5,330.07
5,417.45
5,395.61
5,373.76
5,461.14
5,461.14
5,614.05
5,679.59
5,635.90
5,832.50
6,007.26
5,941.72
5,876.19
5,876.19
5,832.50
5,832.50
5,810.66
6,029.10
6,029.10
6,050.95
6,094.63
6,094.63
6,050.95
6,007.26
5,985.41
5,832.50
5,810.66
5,832.50
5,919.88
5,854.34
5,898.03
5,854.34
5,876.19
5,898.03
6,050.95
6,029.10
6,072.79
6,116.48
6,072.79
6,116.48
6,203.86
6,288.19
6,332.79
6,332.79
6,243.59
6,444.28
6,466.58
6,421.98
6,399.68
6,488.88
6,444.28
6,399.68
6,355.09
6,421.98
6,332.79
6,332.79
6,377.38
6,288.19
6,399.68
1,131.86
1,108.66
1,117.94
1,122.58
1,131.86
1,117.94
1,085.47
1,039.08
1,043.72
1,034.44
1,020.53
1,020.53
937.03
955.59
946.31
918.48
927.75
937.03
927.75
923.11
927.75
927.75
927.75
923.11
1,001.97
974.14
969.50
950.95
955.59
950.95
932.39
937.03
969.50
978.78
969.50
974.14
974.14
983.42
992.70
988.06
1,034.44
1,057.64
1,071.55
1,071.55
1,039.08
1,066.92
1,048.36
1,062.28
1,053.00
1,048.36
1,048.36
1,029.81
1,057.64
1,048.36
1,057.64
1,080.83
1,117.94
1,117.94
1,131.86
1,136.50
1,164.33
1,165.38
1,155.94
1,113.48
1,113.48
1,118.20
1,108.76
1,099.33
1,085.17
1,075.74
1,080.45
1,104.04
1,132.35
1,104.04
RET BMRI
2018 Published by Atma Jaya Catholic University
E-ISSN 2549-5860 | P-ISSN 2579-3128
-0.002309
-0.006945
0.011655
0.009217
0.015982
-0.026966
-0.006928
-0.002326
0.016317
-0.018349
0.002336
0.002331
0.020930
0.002278
0.034091
-0.024176
-0.002252
-0.009029
0.000000
0.002278
0.022727
0.008889
0.002203
-0.010989
0.008889
0.030837
-0.006410
0.010753
0.002128
0.010616
-0.010504
-0.006369
0.019231
0.012579
-0.016563
0.000000
0.002105
-0.002101
0.010526
0.000000
-0.008333
-0.004202
-0.002110
0.023256
-0.024793
0.019068
-0.012474
0.002105
0.000000
0.008403
-0.002083
-0.002088
0.020920
0.000000
-0.002049
0.027732
-0.004141
0.002079
-0.008299
0.012552
0.030992
-0.016032
0.000000
-0.008147
0.000000
-0.008214
-0.006211
0.000000
0.004167
-0.016598
0.016878
-0.004149
0.000000
0.006250
RETURN
RET BBRI
RET BBTN
-0.004292
-0.006465
0.021692
0.016985
0.004175
-0.022869
0.006383
-0.006342
-0.004255
-0.010684
0.002160
-0.008621
-0.006522
0.004376
0.034858
0.000000
0.004211
-0.018868
0.000000
-0.002137
0.004283
0.002132
0.002128
-0.006369
-0.004274
0.002146
-0.002141
0.004292
0.014957
0.010526
0.002083
-0.002079
0.039583
0.020040
-0.001965
0.007874
0.009766
0.001934
-0.005791
0.005825
-0.005791
-0.003883
0.001949
0.017510
-0.011472
-0.003868
-0.001942
0.003891
-0.011628
0.011765
0.001938
0.003868
0.005780
-0.011494
0.000000
0.007752
0.011538
-0.001901
0.122222
-0.003824
0.019194
-0.020716
0.000000
0.001923
0.011516
-0.005693
-0.001908
-0.003824
-0.001919
0.000000
0.005769
0.003824
-0.009524
0.011538
-0.004082
-0.020492
0.008368
0.004149
0.008265
-0.012295
-0.029046
-0.042735
0.004464
-0.008889
-0.013453
0.000000
-0.081818
0.019802
-0.009709
-0.029412
0.010101
0.010000
-0.009901
-0.005000
0.005025
0.000000
0.000000
-0.005000
0.085427
-0.027778
-0.004762
-0.019139
0.004878
-0.004854
-0.019512
0.004975
0.034653
0.009569
-0.009479
0.004785
0.000000
0.009524
0.009434
-0.004673
0.046948
0.022421
0.013158
0.000000
-0.030303
0.026786
-0.017391
0.013274
-0.008734
-0.004405
0.000000
-0.017699
0.027027
-0.008772
0.008849
0.021930
0.034335
0.000000
0.012448
0.004098
0.024490
0.000902
-0.008097
-0.036735
0.000000
0.004237
-0.008439
-0.008511
-0.012875
-0.008696
0.004386
0.021834
0.025641
-0.025000
RET BBNI
-0.012295
0.000000
0.008299
0.000000
0.012346
-0.012195
0.012346
-0.008130
0.008197
-0.028455
0.000000
-0.012552
0.012712
-0.004184
0.025210
0.000000
0.016394
-0.004032
-0.004049
0.016260
0.000000
0.028000
0.011673
-0.007692
0.034884
0.029963
-0.010909
-0.011029
0.000000
-0.007435
0.000000
-0.003745
0.037594
0.000000
0.003623
0.007220
0.000000
-0.007168
-0.007220
-0.003636
-0.025547
-0.003745
0.003759
0.014981
-0.011070
0.007463
-0.007407
0.003731
0.003717
0.025926
-0.003610
0.007246
0.007194
-0.007143
0.007194
0.014286
0.013594
0.007092
0.000000
-0.014085
0.032143
0.003460
-0.006897
-0.003472
0.013937
-0.006873
-0.006920
-0.006969
0.010526
-0.013889
0.000000
0.007042
-0.013986
0.017730
138
Sitorus / Journal of Economics & Business, Vol. 02 No. 02 (2018) 128 - 141
Date
4/21/2015
4/22/2015
4/23/2015
4/24/2015
4/27/2015
4/28/2015
4/29/2015
4/30/2015
5/4/2015
5/5/2015
5/6/2015
5/7/2015
5/8/2015
5/11/2015
5/12/2015
5/13/2015
5/15/2015
5/18/2015
5/19/2015
5/20/2015
5/21/2015
5/22/2015
5/25/2015
5/26/2015
5/27/2015
5/28/2015
5/29/2015
6/1/2015
6/3/2015
6/4/2015
6/5/2015
6/8/2015
6/9/2015
6/10/2015
6/11/2015
6/12/2015
6/15/2015
6/16/2015
6/17/2015
6/18/2015
6/19/2015
6/22/2015
6/23/2015
6/24/2015
6/25/2015
6/26/2015
6/29/2015
6/30/2015
7/1/2015
7/2/2015
7/3/2015
7/6/2015
7/7/2015
7/8/2015
7/9/2015
7/10/2015
7/13/2015
7/14/2015
7/15/2015
7/22/2015
7/23/2015
7/24/2015
7/27/2015
7/28/2015
7/29/2015
7/30/2015
7/31/2015
8/3/2015
8/4/2015
8/5/2015
8/6/2015
8/7/2015
8/10/2015
8/11/2015
8/12/2015
8/13/2015
8/14/2015
8/18/2015
8/19/2015
8/20/2015
BMRI
ADJ. CLOSE PRICE
BBRI
BBTN
BBNI
5,363.03
5,307.85
5,296.82
5,252.68
4,965.77
4,811.28
4,656.79
4,745.07
4,932.66
4,954.73
5,031.98
4,932.66
4,932.66
4,910.59
4,976.80
4,965.77
4,833.35
4,899.56
4,943.70
4,976.80
5,131.29
5,043.01
4,921.63
4,910.59
4,855.42
4,767.14
4,756.10
4,723.00
4,656.79
4,645.75
4,711.96
4,546.44
4,391.94
4,358.84
4,270.56
4,369.87
4,160.21
4,215.38
4,336.77
4,270.56
4,414.02
4,402.98
4,436.08
4,369.87
4,414.02
4,458.15
4,425.05
4,436.08
4,414.02
4,447.12
4,491.26
4,380.91
4,480.23
4,391.94
4,369.87
4,414.02
4,436.08
4,469.19
4,414.02
4,590.58
4,458.15
4,414.02
4,215.38
4,138.14
4,193.31
4,204.35
4,204.35
4,281.59
4,204.35
4,325.73
4,325.73
4,259.52
4,204.35
4,038.82
3,884.33
4,016.75
3,972.61
3,884.33
3,840.19
3,840.19
1,853.14
1,849.63
1,832.09
1,818.05
1,688.19
1,667.13
1,632.03
1,632.03
1,632.03
1,642.56
1,649.58
1,632.03
1,635.54
1,653.09
1,688.19
1,709.25
1,656.60
1,684.68
1,723.28
1,751.36
1,789.97
1,768.91
1,733.81
1,737.32
1,677.66
1,660.11
1,653.09
1,646.07
1,579.38
1,561.84
1,586.40
1,544.29
1,470.58
1,460.05
1,421.45
1,456.54
1,424.96
1,481.11
1,544.29
1,512.70
1,551.31
1,537.27
1,516.21
1,446.01
1,431.98
1,470.58
1,456.54
1,453.03
1,481.11
1,526.74
1,519.72
1,460.05
1,470.58
1,435.49
1,446.01
1,470.58
1,470.58
1,474.09
1,421.45
1,453.03
1,438.99
1,417.94
1,372.31
1,319.66
1,333.70
1,312.64
1,403.90
1,467.07
1,460.05
1,516.21
1,512.70
1,481.11
1,484.62
1,424.96
1,361.78
1,407.41
1,435.49
1,375.82
1,389.86
1,365.29
6,399.68
6,332.79
6,355.09
6,199.00
5,797.62
5,931.41
5,819.92
5,730.73
5,775.32
5,797.62
5,842.22
5,976.01
5,931.41
5,931.41
6,020.61
6,087.50
5,998.31
5,953.71
6,020.61
6,042.91
6,243.59
6,310.49
6,288.19
6,199.00
6,109.80
6,154.40
6,132.10
5,931.41
5,686.13
5,530.04
5,552.34
5,373.95
5,173.26
5,128.67
4,972.58
5,017.17
4,794.19
4,905.68
5,039.47
4,927.98
4,972.58
4,994.87
4,972.58
4,905.68
4,771.89
4,704.99
4,682.70
4,727.29
4,727.29
4,972.58
5,017.17
4,861.08
4,950.28
4,816.49
4,771.89
4,861.08
4,883.38
4,727.29
4,526.61
4,615.80
4,548.90
4,459.71
4,325.92
4,232.26
4,138.61
3,995.90
4,245.64
4,294.70
4,276.86
4,548.90
4,615.80
4,459.71
4,361.60
4,160.91
4,022.66
4,129.69
4,080.63
3,871.03
3,942.38
3,942.38
1,113.48
1,089.89
1,089.89
1,089.89
1,023.84
1,056.86
1,052.15
1,052.15
1,061.58
1,042.71
1,052.15
1,047.43
1,033.27
1,028.55
1,037.99
1,080.45
1,056.86
1,080.45
1,104.04
1,113.48
1,151.23
1,151.23
1,127.64
1,141.79
1,165.38
1,151.23
1,137.07
1,108.76
1,075.74
1,061.58
1,085.17
1,061.58
1,028.55
1,056.86
1,061.58
1,061.58
1,028.55
1,037.99
1,066.30
1,052.15
1,066.30
1,061.58
1,075.74
1,061.58
1,118.20
1,104.04
1,118.20
1,122.92
1,122.92
1,132.35
1,146.51
1,104.04
1,122.92
1,113.48
1,127.64
1,113.48
1,089.89
1,094.61
1,099.33
1,127.64
1,113.48
1,122.92
1,113.48
1,132.35
1,118.20
1,108.76
1,104.04
1,104.04
1,104.04
1,165.38
1,146.51
1,127.64
1,127.64
1,104.04
1,037.99
1,089.89
1,080.45
1,075.74
1,066.30
1,028.55
RET BMRI
0.006211
-0.010288
-0.002079
-0.008333
-0.054622
-0.031111
-0.032110
0.018957
0.039535
0.004474
0.015590
-0.019737
0.000000
-0.004474
0.013483
-0.002217
-0.026667
0.013699
0.009009
0.006696
0.031042
-0.017204
-0.024070
-0.002242
-0.011236
-0.018182
-0.002315
-0.006960
-0.014019
-0.002369
0.014252
-0.035129
-0.033981
-0.007538
-0.020253
0.023256
-0.047980
0.013263
0.028796
-0.015267
0.033592
-0.002500
0.007519
-0.014925
0.010101
0.010000
-0.007426
0.002494
-0.004975
0.007500
0.009926
-0.024570
0.022670
-0.019705
-0.005025
0.010101
0.005000
0.007463
-0.012346
0.040000
-0.028846
-0.009901
-0.045000
-0.018325
0.013333
0.002631
0.000000
0.018373
-0.018041
0.028871
0.000000
-0.015306
-0.012953
-0.039370
-0.038251
0.034091
-0.010989
-0.022222
-0.011364
0.000000
2018 Published by Atma Jaya Catholic University
E-ISSN 2549-5860 | P-ISSN 2579-3128
RETURN
RET BBRI
RET BBTN
0.003802
-0.001894
-0.009488
-0.007663
-0.071429
-0.012474
-0.021053
0.000000
0.000000
0.006452
0.004274
-0.010638
0.002150
0.010730
0.021231
0.012474
-0.030801
0.016949
0.022917
0.016293
0.022044
-0.011765
-0.019841
0.002024
-0.034343
-0.010460
-0.004228
-0.004246
-0.040512
-0.011111
0.015730
-0.026549
-0.047727
-0.007160
-0.026442
0.024691
-0.021687
0.039409
0.042654
-0.020455
0.025522
-0.009050
-0.013699
-0.046296
-0.009709
0.026961
-0.009546
-0.002410
0.019324
0.030806
-0.004598
-0.039261
0.007212
-0.023866
0.007335
0.016990
0.000000
0.002387
-0.035714
0.022222
-0.009662
-0.014634
-0.032178
-0.038363
0.010638
-0.015789
0.069519
0.045000
-0.004785
0.038462
-0.002315
-0.020882
0.002370
-0.040189
-0.044335
0.033505
0.019950
-0.041565
0.010204
-0.017677
0.008547
-0.021186
0.000000
0.000000
-0.060606
0.032258
-0.004464
0.000000
0.008969
-0.017778
0.009050
-0.004484
-0.013514
-0.004566
0.009174
0.040909
-0.021834
0.022322
0.021834
0.008547
0.033898
0.000000
-0.020492
0.012552
0.020661
-0.012146
-0.012295
-0.024896
-0.029787
-0.013158
0.022222
-0.021739
-0.031111
0.027523
0.004464
0.000000
-0.031111
0.009174
0.027273
-0.013274
0.013453
-0.004425
0.013333
-0.013158
0.053333
-0.012658
0.012821
0.004219
0.000000
0.008403
0.012500
-0.037037
0.017094
-0.008403
0.012712
-0.012552
-0.021186
0.004329
0.004310
0.025751
-0.012552
0.008474
-0.008403
0.016949
-0.012500
-0.008439
-0.004255
0.000000
0.000000
0.055556
-0.016194
-0.016461
0.000000
-0.020921
-0.059829
0.050000
-0.008658
-0.004367
-0.008772
-0.035398
RET BBNI
0.000000
-0.010453
0.003521
-0.024561
-0.064748
0.023077
-0.018797
-0.015326
0.007782
0.003861
0.007692
0.022901
-0.007463
0.000000
0.015038
0.011111
-0.014652
-0.007435
0.011236
0.003704
0.033210
0.010714
-0.003534
-0.014184
-0.014389
0.007299
-0.003623
-0.032727
-0.041353
-0.027451
0.004032
-0.032128
-0.037344
-0.008621
-0.030435
0.008969
-0.044445
0.023256
0.027273
-0.022124
0.009050
0.004484
-0.004464
-0.013453
-0.027273
-0.014019
-0.004739
0.009524
0.000000
0.051887
0.008969
-0.031111
0.018349
-0.027027
-0.009259
0.018692
0.004587
-0.031963
-0.042453
0.019704
-0.014493
-0.019608
-0.030000
-0.021649
-0.022129
-0.034483
0.062500
0.011555
-0.004154
0.063608
0.014706
-0.033816
-0.022000
-0.046012
-0.033226
0.026607
-0.011879
-0.051366
0.018433
0.000000
139
Sitorus / Journal of Economics & Business, Vol. 02 No. 02 (2018) 128 - 141
Date
8/20/2015
8/21/2015
8/24/2015
8/25/2015
8/26/2015
8/27/2015
8/28/2015
8/31/2015
9/1/2015
9/2/2015
9/3/2015
9/4/2015
9/7/2015
9/8/2015
9/9/2015
9/10/2015
9/11/2015
9/14/2015
9/15/2015
9/16/2015
9/17/2015
9/18/2015
9/21/2015
9/22/2015
9/23/2015
9/25/2015
9/28/2015
9/29/2015
9/30/2015
10/1/2015
10/2/2015
10/5/2015
10/6/2015
10/7/2015
10/8/2015
10/9/2015
10/12/2015
10/13/2015
10/15/2015
10/16/2015
10/19/2015
10/20/2015
10/21/2015
10/22/2015
10/23/2015
10/26/2015
10/27/2015
10/28/2015
10/29/2015
10/30/2015
11/2/2015
11/3/2015
11/4/2015
11/5/2015
11/6/2015
11/9/2015
11/10/2015
11/11/2015
11/12/2015
11/13/2015
11/16/2015
11/17/2015
11/18/2015
11/19/2015
11/20/2015
11/23/2015
11/24/2015
11/25/2015
11/26/2015
11/27/2015
11/30/2015
12/1/2015
12/2/2015
12/3/2015
12/4/2015
12/7/2015
12/8/2015
12/9/2015
12/10/2015
12/11/2015
12/14/2015
12/15/2015
12/16/2015
BMRI
ADJ. CLOSE PRICE
BBRI
BBTN
BBNI
3,840.19
3,751.91
3,608.46
3,751.91
3,773.98
3,972.61
4,005.72
4,016.75
3,851.23
3,884.33
3,895.37
3,895.37
3,862.26
3,884.33
3,840.19
3,796.05
3,818.12
3,818.12
3,840.19
3,818.12
3,818.12
3,818.12
3,796.05
3,796.05
3,553.28
3,409.83
3,321.55
3,431.90
3,498.11
3,520.18
3,387.76
3,619.49
3,928.47
3,939.51
3,928.47
4,016.75
4,049.86
3,950.54
3,928.47
3,939.51
4,038.82
4,082.96
4,071.93
4,049.86
4,149.17
4,226.42
4,259.52
4,171.24
3,972.61
3,840.19
3,773.98
3,906.40
4,016.75
3,961.58
3,961.58
3,840.19
3,707.77
3,608.46
3,696.74
3,829.16
3,751.91
3,807.09
3,807.09
3,873.30
3,829.16
3,851.23
3,840.19
3,939.51
4,094.00
3,961.58
3,751.91
3,928.47
3,928.47
3,884.33
3,862.26
4,016.75
3,972.61
3,972.61
3,917.44
3,862.26
3,807.09
3,862.26
3,950.54
1,365.29
1,333.70
1,284.57
1,333.70
1,368.80
1,474.09
1,460.05
1,491.64
1,417.94
1,431.98
1,424.96
1,414.43
1,372.31
1,393.37
1,393.37
1,354.76
1,347.74
1,351.25
1,351.25
1,347.74
1,407.41
1,372.31
1,337.21
1,312.64
1,235.43
1,200.33
1,165.23
1,172.25
1,214.37
1,224.90
1,217.88
1,281.06
1,326.68
1,382.84
1,400.39
1,481.11
1,516.21
1,407.41
1,421.45
1,446.01
1,463.56
1,491.64
1,481.11
1,502.17
1,572.37
1,628.52
1,628.52
1,558.33
1,509.19
1,477.60
1,442.50
1,502.17
1,551.31
1,505.68
1,502.17
1,484.62
1,467.07
1,470.58
1,477.60
1,477.60
1,477.60
1,530.25
1,537.27
1,540.78
1,544.29
1,544.29
1,551.31
1,610.97
1,610.97
1,586.40
1,512.70
1,579.38
1,582.89
1,582.89
1,586.40
1,551.31
1,530.25
1,530.25
1,526.74
1,519.72
1,498.66
1,509.19
1,593.42
3,942.38
3,835.35
3,679.26
3,879.95
4,018.20
4,419.57
4,459.71
4,415.11
4,245.64
4,192.13
4,178.75
4,102.93
4,004.82
4,205.51
4,160.91
4,000.36
3,929.00
3,969.14
3,888.87
3,848.73
3,879.95
3,821.97
3,862.11
3,835.35
3,817.51
3,665.88
3,514.25
3,630.20
3,688.18
3,741.70
3,697.10
3,924.54
4,044.96
4,192.13
4,308.08
4,482.01
4,482.01
4,312.54
4,482.01
4,548.90
4,571.20
4,638.10
4,660.40
4,660.40
4,704.99
4,727.29
4,615.80
4,482.01
4,294.70
4,241.18
4,294.70
4,415.11
4,459.71
4,410.65
4,294.70
4,348.22
4,308.08
4,281.32
4,424.03
4,317.00
4,299.16
4,459.71
4,482.01
4,638.10
4,638.10
4,638.10
4,593.50
4,615.80
4,571.20
4,441.87
4,254.56
4,432.95
4,446.33
4,450.79
4,419.57
4,459.71
4,455.25
4,455.25
4,459.71
4,397.27
4,281.32
4,272.40
4,459.71
1,028.55
962.50
891.73
934.19
920.04
990.81
1,000.25
1,004.96
948.35
967.22
967.22
971.94
957.78
971.94
976.65
953.06
953.06
953.06
938.91
953.06
1,009.68
990.81
976.65
971.94
967.22
986.09
943.63
938.91
938.91
957.78
943.63
976.65
1,000.25
995.53
1,014.40
1,033.27
1,071.02
1,047.43
1,094.61
1,080.45
1,113.48
1,094.61
1,094.61
1,099.33
1,118.20
1,118.20
1,141.79
1,146.51
1,113.48
1,118.20
1,104.04
1,132.35
1,132.35
1,099.33
1,080.45
1,047.43
1,056.86
1,056.86
1,127.64
1,122.92
1,108.76
1,127.64
1,141.79
1,170.10
1,155.94
1,151.23
1,160.66
1,170.10
1,198.41
1,212.56
1,198.41
1,212.56
1,207.84
1,212.56
1,198.41
1,226.72
1,207.84
1,207.84
1,207.84
1,207.84
1,188.97
1,207.84
1,222.00
RET BMRI
0.000000
-0.022989
-0.038235
0.039755
0.005882
0.052632
0.008333
0.002755
-0.041209
0.008596
0.002841
0.000000
-0.008499
0.005714
-0.011364
-0.011494
0.005814
0.000000
0.005780
-0.005747
0.000000
0.000000
-0.005780
0.000000
-0.063953
-0.040373
-0.025890
0.033223
0.019293
0.006309
-0.037618
0.068404
0.085366
0.002809
-0.002801
0.022472
0.008242
-0.024523
-0.005587
0.002809
0.025210
0.010929
-0.002703
-0.005420
0.024523
0.018617
0.007833
-0.020725
-0.047619
-0.033333
-0.017241
0.035088
0.028249
-0.013736
0.000000
-0.030641
-0.034483
-0.026786
0.024465
0.035821
-0.020173
0.014706
0.000000
0.017391
-0.011396
0.005764
-0.002865
0.025862
0.039216
-0.032345
-0.052925
0.047059
0.000000
-0.011236
-0.005682
0.040000
-0.010989
0.000000
-0.013889
-0.014085
-0.014286
0.014493
0.022857
2018 Published by Atma Jaya Catholic University
E-ISSN 2549-5860 | P-ISSN 2579-3128
RETURN
RET BBRI
RET BBTN
-0.017677
-0.023136
-0.036842
0.038251
0.026316
0.076923
-0.009524
0.021635
-0.049412
0.009901
-0.004902
-0.007389
-0.029777
0.015345
0.000000
-0.027708
-0.005181
0.002604
0.000000
-0.002597
0.044271
-0.024938
-0.025576
-0.018373
-0.058823
-0.028409
-0.029240
0.006024
0.035928
0.008671
-0.005731
0.051873
0.035616
0.042328
0.012690
0.057644
0.023697
-0.071759
0.009975
0.017284
0.012136
0.019185
-0.007059
0.014218
0.046729
0.035714
0.000000
-0.043103
-0.031531
-0.020930
-0.023753
0.041363
0.032710
-0.029412
-0.002331
-0.011682
-0.011820
0.002392
0.004773
0.000000
0.000000
0.035629
0.004587
0.002283
0.002278
0.000000
0.004545
0.038462
0.000000
-0.015251
-0.046460
0.044083
0.002222
0.000000
0.002217
-0.022124
-0.013575
0.000000
-0.002294
-0.004598
-0.013857
0.007026
0.055814
-0.035398
-0.064220
-0.073530
0.047619
-0.015152
0.076923
0.009524
0.004717
-0.056338
0.019900
0.000000
0.004878
-0.014563
0.014778
0.004854
-0.024155
0.000000
0.000000
-0.014851
0.015075
0.059406
-0.018692
-0.014286
-0.004831
-0.004854
0.019512
-0.043062
-0.005000
0.000000
0.020101
-0.014778
0.035000
0.024155
-0.004717
0.018957
0.018605
0.036530
-0.022026
0.045045
-0.012931
0.030568
-0.016949
0.000000
0.004310
0.017167
0.000000
0.021097
0.004132
-0.028806
0.004237
-0.012658
0.025641
0.000000
-0.029167
-0.017167
-0.030568
0.009009
0.000000
0.066964
-0.004184
-0.012605
0.017021
0.012552
0.024793
-0.012097
-0.004082
0.008197
0.008130
0.024194
0.011811
-0.011673
0.011811
-0.003891
0.003906
-0.011673
0.023622
-0.015385
0.000000
0.000000
0.000000
-0.015625
0.015873
0.011719
RET BBNI
0.000000
-0.027149
-0.040698
0.054545
0.035632
0.099889
0.009082
-0.010000
-0.038384
-0.012605
-0.003191
-0.018143
-0.023913
0.050111
-0.010604
-0.038585
-0.017837
0.010216
-0.020225
-0.010321
0.008111
-0.014943
0.010502
-0.006928
-0.004651
-0.039720
-0.041363
0.032995
0.015970
0.014510
-0.011919
0.061520
0.030682
0.036384
0.027660
0.040373
0.000000
-0.037811
0.039297
0.014925
0.004902
0.014634
0.004808
0.000000
0.009569
0.004739
-0.023585
-0.028986
-0.041791
-0.012461
0.012618
0.028037
0.010101
-0.011000
-0.026289
0.012461
-0.009231
-0.006211
0.033333
-0.024194
-0.004132
0.037344
0.005000
0.034826
0.000000
0.000000
-0.009616
0.004854
-0.009662
-0.028293
-0.042169
0.041929
0.003018
0.001003
-0.007014
0.009082
-0.001000
0.000000
0.001001
-0.014000
-0.026369
-0.002083
0.043841
140
Sitorus / Journal of Economics & Business, Vol. 02 No. 02 (2018) 128 - 141
Date
8/2/2018
8/3/2018
8/6/2018
8/7/2018
8/8/2018
8/9/2018
8/10/2018
8/13/2018
8/14/2018
8/15/2018
8/16/2018
8/17/2018
8/20/2018
8/21/2018
8/22/2018
8/23/2018
8/24/2018
8/27/2018
8/28/2018
8/29/2018
8/30/2018
8/31/2018
9/3/2018
9/4/2018
9/5/2018
9/6/2018
9/7/2018
9/10/2018
9/11/2018
9/12/2018
9/13/2018
9/14/2018
9/17/2018
9/18/2018
9/19/2018
9/20/2018
9/21/2018
9/24/2018
9/25/2018
9/26/2018
9/27/2018
9/28/2018
10/1/2018
10/2/2018
10/3/2018
10/4/2018
10/5/2018
10/8/2018
10/9/2018
10/10/2018
10/11/2018
10/12/2018
10/15/2018
10/16/2018
10/17/2018
10/18/2018
10/19/2018
10/22/2018
10/23/2018
10/24/2018
10/25/2018
10/26/2018
10/29/2018
10/30/2018
BMRI
ADJ. CLOSE PRICE
BBRI
BBTN
BBNI
7,050.00
7,200.00
7,300.00
7,200.00
7,325.00
7,275.00
7,350.00
6,925.00
6,725.00
6,800.00
6,700.00
6,700.00
6,725.00
6,700.00
6,700.00
6,850.00
6,775.00
6,975.00
7,000.00
7,000.00
6,850.00
6,900.00
6,700.00
6,575.00
6,325.00
6,550.00
6,625.00
6,575.00
6,575.00
6,375.00
6,575.00
6,750.00
6,450.00
6,375.00
6,400.00
6,675.00
6,850.00
6,750.00
6,625.00
6,600.00
6,625.00
6,725.00
6,700.00
6,450.00
6,500.00
6,225.00
6,275.00
6,200.00
6,350.00
6,475.00
6,275.00
6,400.00
6,375.00
6,500.00
6,575.00
6,500.00
6,450.00
6,450.00
6,425.00
6,325.00
6,475.00
6,450.00
6,400.00
6,525.00
3,250.00
3,330.00
3,410.00
3,350.00
3,330.00
3,330.00
3,390.00
3,140.00
3,130.00
3,210.00
3,050.00
3,050.00
3,180.00
3,150.00
3,150.00
3,270.00
3,270.00
3,380.00
3,330.00
3,290.00
3,190.00
3,180.00
3,170.00
3,110.00
2,930.00
2,960.00
3,030.00
2,970.00
2,970.00
2,910.00
3,000.00
3,070.00
2,970.00
2,940.00
3,000.00
3,090.00
3,120.00
3,010.00
3,030.00
2,990.00
3,070.00
3,150.00
3,180.00
3,110.00
3,100.00
3,000.00
2,980.00
2,970.00
3,020.00
3,010.00
2,910.00
2,950.00
3,000.00
3,000.00
3,070.00
3,090.00
3,020.00
3,050.00
3,020.00
2,950.00
3,000.00
2,990.00
2,950.00
3,030.00
7,800.00
7,900.00
8,200.00
8,100.00
8,100.00
7,950.00
7,975.00
7,400.00
7,300.00
7,375.00
7,075.00
7,075.00
7,275.00
7,375.00
7,375.00
7,550.00
7,425.00
7,675.00
7,875.00
7,850.00
7,625.00
7,800.00
7,850.00
7,500.00
7,075.00
7,275.00
7,350.00
7,275.00
7,275.00
7,125.00
7,350.00
7,525.00
7,225.00
7,225.00
7,175.00
7,300.00
7,650.00
7,375.00
7,350.00
7,325.00
7,350.00
7,400.00
7,500.00
7,275.00
7,250.00
6,900.00
6,875.00
6,825.00
6,825.00
6,950.00
6,725.00
6,925.00
7,050.00
7,250.00
7,325.00
7,200.00
7,175.00
7,175.00
7,125.00
7,050.00
7,075.00
7,100.00
7,075.00
7,175.00
2,410.00
2,450.00
2,660.00
2,660.00
2,620.00
2,760.00
2,810.00
2,630.00
2,530.00
2,580.00
2,490.00
2,490.00
2,510.00
2,560.00
2,560.00
2,640.00
2,630.00
2,770.00
2,810.00
2,860.00
2,860.00
2,750.00
2,750.00
2,650.00
2,480.00
2,540.00
2,620.00
2,560.00
2,560.00
2,530.00
2,600.00
2,680.00
2,590.00
2,590.00
2,590.00
2,620.00
2,680.00
2,640.00
2,650.00
2,640.00
2,650.00
2,630.00
2,630.00
2,540.00
2,540.00
2,400.00
2,410.00
2,410.00
2,410.00
2,420.00
2,300.00
2,340.00
2,340.00
2,340.00
2,420.00
2,420.00
2,370.00
2,340.00
2,300.00
2,170.00
2,180.00
2,140.00
2,050.00
2,100.00
RET BMRI
0.007143
0.021277
0.013889
-0.013699
0.017361
-0.006826
0.010309
-0.057823
-0.028881
0.011152
-0.014706
0.000000
0.003731
-0.003717
0.000000
0.022388
-0.010949
0.029520
0.003584
0.000000
-0.021429
0.007299
-0.028986
-0.018657
-0.038023
0.035573
0.011450
-0.007547
0.000000
-0.030418
0.031373
0.026616
-0.044444
-0.011628
0.003922
0.042969
0.026217
-0.014599
-0.018519
-0.003774
0.003788
0.015094
-0.003717
-0.037313
0.007752
-0.042308
0.008032
-0.011952
0.024194
0.019685
-0.030888
0.019920
-0.003906
0.019608
0.011538
-0.011407
-0.007692
0.000000
-0.003876
-0.015564
0.023715
-0.003861
-0.007752
0.019531
2018 Published by Atma Jaya Catholic University
E-ISSN 2549-5860 | P-ISSN 2579-3128
RETURN
RET BBRI
RET BBTN
0.018809
0.024615
0.024024
-0.017595
-0.005970
0.000000
0.018018
-0.073746
-0.003185
0.025559
-0.049844
0.000000
0.042623
-0.009434
0.000000
0.038095
0.000000
0.033639
-0.014793
-0.012012
-0.030395
-0.003135
-0.003145
-0.018927
-0.057878
0.010239
0.023649
-0.019802
0.000000
-0.020202
0.030928
0.023333
-0.032573
-0.010101
0.020408
0.030000
0.009709
-0.035256
0.006645
-0.013201
0.026756
0.026059
0.009524
-0.022013
-0.003215
-0.032258
-0.006667
-0.003356
0.016835
-0.003311
-0.033223
0.013746
0.016949
0.000000
0.023333
0.006515
-0.022654
0.009934
-0.009836
-0.023179
0.016949
-0.003333
-0.013378
0.027119
-0.020325
0.016598
0.085714
0.000000
-0.015038
0.053435
0.018116
-0.064057
-0.038023
0.019763
-0.034884
0.000000
0.008032
0.019920
0.000000
0.031250
-0.003788
0.053232
0.014440
0.017794
0.000000
-0.038462
0.000000
-0.036364
-0.064151
0.024194
0.031496
-0.022901
0.000000
-0.011719
0.027668
0.030769
-0.033582
0.000000
0.000000
0.011583
0.022901
-0.014925
0.003788
-0.003774
0.003788
-0.007547
0.000000
-0.034221
0.000000
-0.055118
0.004167
0.000000
0.000000
0.004149
-0.049587
0.017391
0.000000
0.000000
0.034188
0.000000
-0.020661
-0.012658
-0.017094
-0.056522
0.004608
-0.018349
-0.042056
0.024390
RET BBNI
-0.003195
0.012821
0.037975
-0.012195
0.000000
-0.018519
0.003145
-0.072100
-0.013514
0.010274
-0.040678
0.000000
0.028269
0.013746
0.000000
0.023729
-0.016556
0.033670
0.026059
-0.003175
-0.028662
0.022951
0.006410
-0.044586
-0.056667
0.028269
0.010309
-0.010204
0.000000
-0.020619
0.031579
0.023810
-0.039867
0.000000
-0.006920
0.017422
0.047945
-0.035948
-0.003390
-0.003401
0.003413
0.006803
0.013514
-0.030000
-0.003436
-0.048276
-0.003623
-0.007273
0.000000
0.018315
-0.032374
0.029740
0.018051
0.028369
0.010345
-0.017065
-0.003472
0.000000
-0.006969
-0.010526
0.003546
0.003534
-0.003521
0.014134
141