Abstract
The performance of Sharia-compliant bonds or sukuk can be affected by both internal and external factors, such as coupon rates and macroeconomic variables. This study aims to examine the impact and contribution of variables, namely the volatility index (VIX index), global sukuk index, BI rate, Consumer Price Index, and exchange rates, on the return of the Indonesian sukuk index from January 2018 to February 2020 and from March 2020 to December 2022, before and during the Covid-19 pandemic. As a research method, the Vector Error Correction Model (VECM) is applied. Prior to the Covid-19 pandemic, the long-term return of the Indonesian sukuk index was driven by the VIX index, the BI rate, and exchange rates, whilst the global sukuk index had no influence. During the Covid-19 epidemic, the return of the Indonesian sukuk index was influenced by the VIX Index, the global sukuk index, inflation, and exchange rates, but was unaffected by the BI rate variable. During the Covid-19 epidemic, the return of Indonesian sukuk index was primarily driven by the global sukuk index.
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