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Abstract

ABSTRACT

The Indonesian Sharia Capital Market is an interesting thing to study because based on the 2019 Global Islamic Finance Report (GIFR) report, Indonesia is ranked first in the Global Sharia Financial Market. The Jakarta Islamic Index (JII) is the sharia stock index that was first launched on the Indonesian capital market on July 3, 2000 and only consisted of the 30 most liquid Islamic shares listed on the Indonesia Stock Exchange. This study will try to uncover how the relationship between macroeconomic variables in Indonesia by using Vector Autoregression (VAR) analysis and using monthly secondary data from 2012-2019. VAR analysis which has advantages including multivariate, free from spurious endogeneity and exogeneity variables and can detect relationships between variables in the equation system. The results of this study indicate that the JII of the previous period and the BI Rate have a positive influence on JII, while inflation and the Rupiah-US Dollar Exchange rate have a negative relationship with JII. The implication of the results of this study is to strengthen the rupiah price which greatly affects JII.

Keywords: Shariah stock, JII, Macroeconomics, VAR.

Bahasa Abstract

ABSTRAK

Pasar Modal Syariah Indonesia menjadi hal yang menarik untuk dikaji karena berdasarkan laporan Global Islamic Finance Report (GIFR) 2019, Indonesia menempati peringkat pertama dalam Pasar Keuangan Syariah Global. Jakarta Islamic Index (JII) merupakan indeks saham syariah yang pertama kali diluncurkan di pasar modal Indonesia pada 3 Juli 2000 dan hanya terdiri dari 30 saham syariah paling likuid yang tercatat di Bursa Efek Indonesia. Penelitian ini akan mencoba mengungkap bagaimana hubungan antar variabel makroekonomi di Indonesia dengan menggunakan analisis Vector Autoregression (VAR) dan menggunakan data sekunder bulanan dari tahun 2012-2019. Analisis VAR yang memiliki keunggulan antara lain multivariat, bebas dari variabel spurious endogeneity dan exogeneity serta dapat mendeteksi hubungan antar variabel dalam sistem persamaan. Hasil penelitian ini menunjukkan bahwa JII periode sebelumnya dan BI Rate berpengaruh positif terhadap JII, sedangkan inflasi dan nilai tukar Rupiah-US Dollar memiliki hubungan negatif dengan JII. Implikasi dari hasil penelitian ini adalah penguatan harga rupiah yang sangat mempengaruhi JII.

Kata Kunci : Saham Syariah, JII, Makroekonomi, VAR

References

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