kode tanggal periode estimasi Adj.close AALI Adj.

JII return AALI

AALI 10/19/2016 -51 15.8 742

AALI 10/20/2016 -50 15.475 741 -0.020784121462
AALI 10/21/2016 -49 14.6 739 -0.058204289856
AALI 10/24/2016 -48 15.325 742 0.048463953108
AALI 10/25/2016 -47 15.6 740 0.0177854324332
AALI 10/26/2016 -46 15.6 740 0
AALI 10/27/2016 -45 15.625 742 0.001601281367
AALI 10/28/2016 -44 15.525 739 -0.006420567803
AALI 10/31/2016 -43 15.25 740 -0.017872124766
AALI 11/1/2016 -42 15 737 -0.016529301951
AALI 11/2/2016 -41 14.75 734 -0.016807118316
AALI 11/3/2016 -40 14.625 721 -0.008510689668
AALI 11/4/2016 -39 14.775 725 0.0102041701742
AALI 11/7/2016 -38 15 728 0.01511363781
AALI 11/8/2016 -37 15.325 741 0.0214352807201
AALI 11/9/2016 -36 15.125 730 -0.013136477905
AALI 11/10/2016 -35 15.425 737 0.0196405658745
AALI 11/11/2016 -34 15.725 699 0.0192622327951
AALI 11/14/2016 -33 15.85 681 0.0079176977368
AALI 11/15/2016 -32 15.2 674 -0.041874072471
AALI 11/16/2016 -31 15.325 694 0.00819005397
AALI 11/17/2016 -30 15.5 693 0.0113545421029
AALI 11/18/2016 -29 15.2 688 -0.019544596073
AALI 11/21/2016 -28 15.175 683 -0.001646090907
AALI 11/22/2016 -27 15.2 684 0.0016460909067
AALI 11/23/2016 -26 15.6 690 0.0259754864033
AALI 11/24/2016 -25 16.6 674 0.062131781107
AALI 11/25/2016 -24 16.625 678 0.0015048911794
AALI 11/28/2016 -23 16.85 681 0.0134430702565
AALI 11/29/2016 -22 17 686 0.0088626872578
AALI 11/30/2016 -21 16.55 683 -0.026827242233
AALI 12/1/2016 -20 16.7 696 0.0090226175996
AALI 12/2/2016 -19 17.3 703 0.035297782081
AALI 12/5/2016 -18 17.6 708 0.0171924005404
AALI 12/6/2016 -17 17.8 706 0.0112995552539
AALI 12/7/2016 -16 17.725 701 -0.00422238488
AALI 12/8/2016 -15 17.575 706 -0.008498634721
AALI 12/9/2016 -14 17.45 708 -0.007137789048
AALI 12/13/2016 -13 17.125 706 -0.0188002645
AALI 12/14/2016 -12 16.9 697 -0.013225762219
AALI 12/15/2016 -11 17.05 694 0.0088365818005
AALI 12/16/2016 -10 17.2 686 0.0087591800899
AALI 12/19/2016 -9 17 679 -0.011696039763
AALI 12/20/2016 -8 16.8 670 -0.011834457647
AALI 12/21/2016 -7 16.8 667 0
AALI 12/22/2016 -6 16.575 656 -0.013483350337
AALI 12/23/2016 -5 16.3 648 -0.016730428259
AALI 12/27/2016 -4 17 661 0.0420482362435
AALI 12/28/2016 -3 17.125 680 0.0073260400921
AALI 12/29/2016 -2 17.25 696 0.0072727593291
AALI 12/30/2016 -1 16.775 694 -0.02792246062
AALI 1/3/2017 0 16.6 692 -0.010486987495
AALI 1/4/2017 1 16.325 696 -0.0167050202
AALI 1/5/2017 2 16.35 700 0.0015302221808
AALI 1/6/2017 3 16.375 704 0.0015278841781
AALI 1/9/2017 4 16.7 701 0.0196529379014
AALI 1/10/2017 5 16.875 701 0.0104245173359
AALI 1/11/2017 6 17 696 0.0073801072976
AALI 1/12/2017 7 17.175 692 0.0102414940522
AALI 1/13/2017 8 16.8 691 -0.022075951699
AALI 1/16/2017 9 16.625 688 -0.010471299867

Periode Estimasi
Periode jendela

Peristiwa January Effect

Return JII Expected Return Abnormal Return Cumulative Abnormal Return

-0.00134861787 0.0019485951465 -0.0227327166087926 -0.0667650890928482

-0.00270270435 0.0017597577794 -0.0599640476357816 -0.0440323724840556
0.004051322219 0.0027016567027 0.0457622964052593 0.015931675151726
-0.00269905697 0.0017602664333 0.0160251659998838 -0.0298306212535333
0 0.0021366698762 -0.0021366698762229 -0.0458557872534171
0.002699056969 0.0025130733191 -0.0009117919521394 -0.0437191173771942 beta
-0.00405132222 0.0015716830497 -0.0079922508526435 -0.0428073254250548 intercept
0.00135226525 0.0023252532598 -0.0201973780259565 -0.0348150745724113
-0.00406229401 0.0015701529526 -0.018099454903766 -0.0146176965464548 std.error
-0.00407886357 0.0015678422041 -0.0183749605205015 0.00348175835731111
-0.01786989133 -0.0003554185448 -0.0081552711231132 0.0218567188778126
0.00553251757 0.0029082203418 0.0072959498324722 0.0300119900009258
0.004129393342 0.0027125442978 0.0124010935122259 0.0227160401684536
0.017699577099 0.0046050067191 0.016830274001001 0.0103149466562277
-0.01495609115 5.0932425428E-05 -0.0131874103307982 -0.0065153273447733
0.009543358047 0.0034675616902 0.0161730041843951 0.00667208298602488
-0.05293714996 -0.0052458069398 0.0245080397348809 -0.00950092119837022
-0.02608843608 -0.0015015553535 0.0094192530903144 -0.0340089609332511
-0.01033219524 0.0006957688859 -0.0425698413569251 -0.0434282140235655
0.029241849594 0.0062146619266 0.0019753920434147 -0.000858372666640359
-0.00144196132 0.0019355777131 0.0094189643897796 -0.00283376471005506
-0.00724116126 0.0011268364201 -0.0206714324930523 -0.0122527290998346
-0.00729397836 0.0011194706843 -0.0027655615909523 0.00841870339321766
0.001463058052 0.0023407041349 -0.0006946132282313 0.0111842649841699
0.008733679969 0.0033546460979 0.0226208403053805 0.0118788782124013
-0.02346148668 -0.0011352078434 0.0632669889503681 -0.0107419620929792
0.005917177028 0.0029618639462 -0.0014569727668089 -0.0740089510433473
0.004415018209 0.0027523767966 0.0106906934598796 -0.0725519782765384
0.007315321576 0.0031568455371 0.0057058417207699 -0.083242671736418
-0.00438276816 0.0015254604643 -0.0283527026974077 -0.0889485134571878
0.018854800764 0.0047661111972 0.0042565064024197 -0.0605958107597802
0.010007231476 0.0035322522683 0.0317655298126945 -0.0648523171621998
0.007087201883 0.0031250325598 0.0140673679805471 -0.0966178469748943
-0.0028288562 0.0017421649712 0.0095573902827442 -0.110685214955441
-0.00710735046 0.0011454973248 -0.0053678822046847 -0.120242605238186
0.007107350459 0.0031278424276 -0.0116264771490721 -0.114874723033501
0.0028288562 0.0025311747813 -0.0096689638295492 -0.103248245884429
-0.0028288562 0.0017421649712 -0.0205424294713362 -0.0935792820548797
-0.01282982673 0.000347455714 -0.0135732179332594 -0.0730368525835436
-0.00431345025 0.0015351273579 0.007301454442564 -0.0594636346502842
-0.01159433278 0.000519754477 0.0082394256128562 -0.0667650890928482
-0.01025650017 0.0007063251228 -0.012402364886028 -0.0750045147057043
-0.01334341517 0.00027583201 -0.0121102896570121 -0.0626021498196763
-0.00448766647 0.001510831619 -0.0015108316190394 -0.0504918601626642
-0.01662925697 -0.0001824029141 -0.0133009474231605 -0.0489810285436248
-0.01227009259 0.0004255147769 -0.0171559430361123 -0.0356800811204642
0.019863143499 0.0049067320443 0.0371415041991867 -0.0185241380843519
0.028338958318 0.006088747065 0.0012372930270917 -0.0556656422835386
0.023256862164 0.0053800111949 0.001892748134217 -0.0569029353106303
-0.00287769983 0.0017353533664 -0.0296578139860083 -0.0587956834448473
-0.00288600489 0.0017341951642 -0.0122211826594216 -0.029137869458839
0.005763704717 0.0029404610981 -0.0196454812981129 -0.0169166867994175
0.005730674709 0.0029358548194 -0.0014056326386369 0.00272879449869538
0.005698021115 0.0029313010343 -0.0014034168562794 0.00413442713733229
-0.00427046912 0.0015411213942 0.0181118165071734 0.00553784399361163
0 0.0021366698762 0.0082878474596613 -0.0125739725135617
-0.0071582267 0.0011384022569 0.0062417050406885 -0.020861819973223
-0.00576370472 0.0013328786543 0.0089086153978611 -0.0271035250139116
-0.00144613185 0.0019349961015 -0.0240109478006815 -0.0360121404117727
-0.00435098583 0.0015298927438 -0.0120011926110912 -0.0120011926110912
0.1394573909
0.0021366699

0.0225531198