Abstract
The fluctuations of Islamic stock indexes incorporated in the Jakarta Islamic Index (JII) is influenced not only by domestic factors but also global economic conditions. This study aims to examine the relationship between global economic variables (FFR and DJI) and domestic macroeconomic conditions (exchange rates and inflation) towards the movement of the Islamic stock index (JII) in both the short and long term. This type of quantitative research uses the Vector Autoregressive (VAR) method with the Impulse Response Function (IRF) and Forecast Error Decomposition of Variance (FEDV) tests. The data used is monthly, starts from January 2014 to December 2017. The IRF test results show that the FFR and DJI variables are responded positively by JII both in the short and long term. The exchange rate variable is responded to negatively in the short and medium term but has changed positively in the long run. Meanwhile, the inflation variable was responded negatively during the study period. Overall, the FEDV test shows that the four variables contribute to the JII, with the largest contribution given by domestic variables (exchange rates and inflation).
Highlights
Abstrak: Fluktuasi indeks saham syariah yang tergabung dalam indeks Islam Jakarta (JII) dipengaruhi tidak hanya oleh faktor
This study aims to examine the relationship between global economic variables (FFR and Dow Jones Index (DJI)) and domestic macroeconomic conditions (exchange rates and inflation) towards the movement of the Islamic stock index (JII) in both the short and long term
Tingginya nilai tukar (depresiasi) dan inflasi mengindikasikan buruknya kondisi ekonomi sebuah negara, jika hal ini tidak segera diatasi maka laba perusahaan akan turun, kemudian volume pembelian sahamnya juga turut turun
Summary
Abstrak: Fluktuasi indeks saham syariah yang tergabung dalam indeks Islam Jakarta (JII) dipengaruhi tidak hanya oleh faktor. Penelitian ini bertujuan untuk menguji hubungan antara variabel ekonomi global (FFR dan DJI) dan kondisi ekonomi makro domestik (nilai tukar dan inflasi) terhadap pergerakan indeks saham Islam (JII) baik dalam jangka pendek dan jangka panjang. Hasil tes IRF menunjukkan bahwa variabel FFR dan DJI direspon secara positif oleh JII baik dalam jangka pendek maupun jangka panjang.
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