Pengujian Efek Kurs, Suku Bunga, dan Inflasi terhadap Jakarta Islamic Index

Authors

  • Sandi Mulyadi UIN Sunan Kalijaga Yogyakarta, Yogyakarta, Indonesia
  • Riky Soleman UIN Sunan Kalijaga Yogyakarta, Yogyakarta, Indonesia
  • Muhammad Ridho Universitas Siliwangi, West Java, Indonesia

DOI:

https://doi.org/10.46870/milkiyah.v2i2.427

Keywords:

JII, Exchange Rate, Interest Rate, Inflation

Abstract

The Jakarta Islamic Index (JII) is one of the stock indices in Indonesia that calculates the average share price index for stocks that meet sharia criteria. The three main macro-economic factors that can affect the JII are exchange rate, inflation, and interest rate variables. This study aims to determine the impact of exchange rate, inflation and interest rate variables on the Jakarta Islamic Index (JII). Time-series data for the period 2011-2021 were used in this study. The data analysis techniques used to test the effect of the relationship between variables are Vector Auto Regression (VAR) and Vector Error Correction Model (VECM). The test results found that in the short term, exchange rates, interest rates and inflation have no effect on the Jakarta Islamic Index, while in the long term, inflation has a positive effect, while exchange rates and interest rates have a negative effect on the JII. Furthermore, the Impulse Response Function (IRF) test shows that the JII responds positively to the fluctuation of all positive variables except interest rates which respond negatively.

References

Abbas, A., Triani, N., Rayyani, W.O. and Muchran, M. (2022), "Earnings growth, marketability and the role of Islamic financial literacy and inclusion in Indonesia", Journal of Islamic Accounting and Business Research, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/JIABR-12-2021-0322

Ahmed, B. A., Isah, S. I., & Chika, U. A. (2018). Long-run Relationship between Islamic Stock Indices and US Macroeconomic Variables. Dutse Journal of Economics and Development Studies, 1(6), 1-10. Munich Personal RePEc Archive, 104167.

Andika, N., Abubakar, L., & Handayani, T. (2021). Implementation of principle for responsible investment in distribution of bank credits on infrastructure projects. Legality : Jurnal Ilmiah Hukum, 29(1), 130–143. https://doi.org/10.22219/ljih.v29i1.15063

Bank Indonesia. (2022). Laporan Bank Indonesia. https://www.bi.go.id/id, accessed on 8 May 2022.

BEI. (2022). Indeks Saham. www.Idx.co.Id, accessed on 1 May 2022.

Candy, & Winardy, A. (2019). Pengaruh Faktor Ekonomi Makro Terhadap Stock Return Pada Indeks Saham LQ45. JESYA; Jurnal Ekonomi Dan EKonomi Syariah, 2 (1), 65–79. https://doi.org/https://doi.org/10.36778/jesya.v2i1.35

Fathurrahman, A., & Widiastuti, R. A. (2021). Determinan Indeks Saham Syariah Indonesia (Pendekatan Error Correction Model). Islamic Banking, 7(1), 179–194. https://doi.org/10.36908/isbank.v7i1.309

Fuad, F., & Yuliadi, I. (2021). Determinants of the Composite Stock Price Index (IHSG) on the Indonesia Stock Exchange. Journal of Economics Research and Social Sciences, 5(1), 27–41. https://doi.org/10.18196/jerss.v5i1.11002

Fuadi, A. (2020). Inflasi dan Nilai Tukar Rupiah Terhadap Indeks Saham Syariah Indonesia. Jurnal Akuntansi Bisnis, 5(1), 1–12. https://doi.org/10.37366/akubis

Gu, G., Zhu, W., & Wang, C. (2021). Time-Varying Influence of Interest Rates on Stock Returns: Evidence from China. Economic Research-Ekonomska Istrazivanja, 32(1), 1–20. https://doi.org/10.1080/1331677X.2021.1966639

Halim, S. (2020). Analysis Of The Effect On Inflation, Interest Rate, Dow Jones Islamic Malaysia Index and Profitability on Stock Prices as Selected as Indonesia Sharia Stock Index. Journal of Islamic Accounting and Finance Research, 2(2), 259–294. https://doi.org/10.21580/jiafr.2020.2.2.6357

Hanafi, S. M. (2021). Determinant of Market Share in the Indonesian Islamic Banking Industry. Muqtasid: Jurnal Ekonomi Dan Perbankan Syariah, 12(1), 1–16. https://doi.org/10.18326/muqtasid.v12i1.1-16

Hastiarto, O. (2021). The Effect of Liquidity, Leverage, and Profitability on Financial Distress with Audit Committee as a Moderating Variable. International Journal of Current Science Research and Review, 04(10), 1304–1315. https://doi.org/10.47191/ijcsrr/v4-i10-13

Junaidi, A., Ghafur Wibowo, M., & Hasni. (2021). Pengaruh Variabel Ekonomi Makro Terhadap Indeks Saham Syariah Indonesia (ISSI) Periode Tahun 2014-2019. Jurnal Ekonomi Dan Bisnis, 24(1), 17-29 https://doi.org/10.31941/JEBI.V24I1.1364

Kumar, K. K., & Sahu, B. (2018). Dynamic Linkages Between Macroeconomic Factors and Islamic Stock Indices in a Non-Islamic Country India. The Journal of Developing Areas, 51(1), 193–205. https://doi.org/https://doi.org/10.1353/jda.2017.0011

Mashudi, D., Ibrahim, M. A., & Ilahi, F. (2020). The Effect of Macroeconomic Variables on Sharia Stock Prices in the Jakarta Islamic Index. Advances in Social Science, Education and Humanities Research, 409(1).324-327 https://doi.org/10.2991/assehr.k.200225.068

Misharni. (2018). Pengaruh Suku Bunga Sertifikat Bank Indonesia, Inflasi dan Perubahan Kurs Terhadap Indeks Harga Saham Gabungan. Journal of Islamic Management and Bussines, 2(2), 68–89.

Mishkin, F. S. (2010). The Economics of Money, Banking and Financial Markets. Mishkin Frederic–Addison Wesley Longman.

Mustafa, S. A., Ramlee, R., & Kassim, S. (2017). Economic Forces and Islamic Stock Market: Empirical Evidence from Malaysia. Asian Journal of Business and Accounting, 10(1).45--85 https://doi.org/10.2991/assehr.k.200225.068

OJK. (2021). Market Update Pasar Modal Syariah. www.ojk.co.id, accessed on 8 April 2022.

Rachmawati, M., & Laila, N. (2015). Faktor Makro Ekonomi Yang Mempengaruhi Pergerakan Harga Saham Pada Indeks Saham Syariah Indonesia (ISSI) di Bursa Efek Indonesia (BEI). Jurnal Ekonomi Syariah Teori Dan Terapan, 2(11), 928-942. https://doi.org/10.20473/vol2iss201511pp928-942

Ranto, S. R. (2019). Pengaruh Jangka Pendek Dan Jangka Panjang Variabel Makro Ekonomi Terhadap IHSG Di Bursa Efek Indonesia Dengan Pendekatan Error Correction Model (ECM). Jurnal Derivat: Jurnal Matematika Dan Pendidikan Matematika, 6(1), 12–24. https://doi.org/10.31316/j.derivat.v6i1.332

Rizki, M. (2021). Dampak Suku Bunga, Inflasi, Nilai Tukar, Dan Cadangan Devisa Terhadap Return IHSG Di Bursa Efek Indonesia. Journal of Business Administration Economics & Entrepreneurship, 3(1), 44–55.

Saeed, M., Hafeez, M., Shaikh, G. M., & Shahid, M. (2018). Asymmetric Effect of Gold and Oil Prices on Stock Market Performance in Pakistan: New Evidence from Asymmetric ARDL Cointegration. Journal of Business Strategies, 12(2), 43–64. https://doi.org/10.29270/jbs.12.2(2018).089

Sanjaya, S., & Pratiwi, N. (2018). Pengaruh Tingkat Suku Bunga, Kurs Dan Inflasi Terhadap Jakarta Islamic Index (JII). Jurnal Ekonomi Dan Bisnis Islam, 3(1), 47-58.

Sebo, S. S., & Nafi, H. M. (2020). Pengaruh Inflasi, Nilai Tukar, Suku Bunga, dan Volume Transaksi Terhadap Harga Saham Perusahaan Pada Kondisi Pandemi Covid-19. Jurnal Akuntansi Dan Perpajakan, 6(2), 113–126. https://doi.org/10.26905/ap.v6i2.5358

Sekaran, U. (2019). Metode Penelitian Untuk Bisnis (Kedua). Jakarta: Salemba Empat.

Sinay, L. J., Tihurua, F. R. N., & Rahakbauw, D. L. (2018). Analisis Harga Saham PT. ANTAM tbk Berdasarkan Harga Emas,dan Nilai Tukar Rupiah Terhadap Dolar Menggunakan Model Autoregressive Distributed Lag. BAREKENG: Jurnal Ilmu Matematika Dan Terapan Dan Terapan, 12(1), 53-63. https://doi.org/10.30598/vol12iss1pp53-62ar364

Sugiyono. (2019). Metode Penelitian Kuantitatif, Kualitatif dan R&D. Alfabeta.

Thamrin, J., & Sembel, R. (2020). The Effect of Company’s Fundamental, Market Return and Macroeconomic to Stock Return: A Case Study of Consumer Goods Companies Listed in BEI Period 2009-2018. IPMI BUSINESS STUDIES, 4(3), 184–197. DOI:10.32924/ijbs.v4i3.115

Tripuspitorini, F. A., Setiawan, & Setiawan, N. J. (2021). Effect of Macroeconomic Factors on Sharia Stock Index Prices Using The VECM Method Approach. Jurnal Inovasi, 17(2), 365–376.

Widarjono, A. (2018). Ekonometrika Pengantar dan Aplikasi Disertai Panduan Eviews. Yogyakarta: UPP STIM YKPN.

Wijaya, R. S. (2019). Pengaruh Faktor Makro Ekonomi terhadap Kredit Bermasalah pada Bank Umum di Indonesia. OECONOMICUS Journal of Economics, 4(1), 36–48. https://doi.org/10.15642/oje.2019.4.1.36-48

Wulan, A. N. (2020). Analisis Pengaruh Indikator Makroekonomi Terhadap Indeks Harga Saham Syariah di Indonesia Tahun 2011-2020. Journal of Islamic Economics, FInance and Banking, 4(2), 59–84. https://doi.org/10.25299/jtb.2022.vol5(1).9045

Downloads

Published

2023-08-24

How to Cite

Mulyadi, S., Soleman, R., & Ridho, M. (2023). Pengujian Efek Kurs, Suku Bunga, dan Inflasi terhadap Jakarta Islamic Index. Milkiyah: Jurnal Hukum Ekonomi Syariah, 2(2), 75–84. https://doi.org/10.46870/milkiyah.v2i2.427

Issue

Vol. 2 No. 2 (2023): Milkiyah: Jurnal Hukum Ekonomi Syariah, August 2023

Section

Articles

License

Copyright (c) 2023 Milkiyah: Jurnal Hukum Ekonomi Syariah

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.