Abstract
This study aimed to analyze the influence of variables of money supply (M2), constumer price index (CPI), exchange rate (ER), BI Rate (BIRATE), Sertifikat Bank Indonesia Syariah (SBIS) with Shari'ah Indonesia Stock Index (ISSI). To see that effect will be made by the tests in stages Vector Autoregression. The data used in this research is secondary data during the period January 2012 until December 2016. The finding in long run shows that ISSI is positively significantly affected by CPI and it is negatively significantly affected by M2, ER and BIRATE. Granger-Causality test resulth shows that there are causality between CPI with BIRATE and CPI with SBIS, but there are three undirectional relationship which includes ISSI to ER, M2 to BIRATE and SBIS to BIRATE. DOI: 10.15408/ess.v8i2.7219
Highlights
Abstrak Penelitian ini bertujuan untuk menganalisi pengaruh variabel penawaran uang (M2), indek harga konsumen (CPI), nilai tukar (ER), BI rate (BIRATE), sertifikat Bank Indonesia syariah (SBIS) terhadap Indek Saham Syariah Indonesia (ISSI)
This study aimed to analyze the influence of variables of money supply
see that effect will be made by the tests in stages Vector Autoregression
Summary
Indikator Makro Ekonomi dan Pengaruhnya terhadap Indeks Saham Gambar 1. Dalam penelitian Asmy dkk (2010), Kuwomu dan Victor (2011), Hosseini dkk (2011), Hussin dkk (2012) menemukan adanya berhubungan positif antara CPI dengan harga saham. Namun Pasaribu dan Firdaus (2013) menemukan adanya hubungan positif antara suku bunga dengan indeks harga saham. Dalam penelitian Beik dan Fatmawati (2014) menemukan bahwa SBIS memÂpunyai hubungan negatif dengan harga saham. Adapun variabel dalam penelitian ini adalah indek saham syariah Indonesia (ISSI), consumer price index (CPI), exchange rate (ER), BI rate (BIRATE) dan sertifikat bank Indonesia syariah (SBIS). Apabila antar ISSI, M2, CPI, ER, BIRATE dan SBIS berkointegrasi, sifat hubungan jangka pendek di antara variabel dapat dinyatakan dalam bentuk vector error correction model (VECM). Analisis VAR salah satunya untuk pengujian terhadap hubungan kausalitas antara antara ISSI, M2, CPI, ER, BIRATE dan SBIS yang digunakan untuk melihat arah hubungan antar variabel dalam persamaan. Sedangkan untuk mengetahui tingkat kontribusi suatu variabel terhadap perubahan variabel itu sendiri dan variabel lainnya pada beberapa periode mendatang digunakan analisis Variance decomposition (VD)
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