Abstract
This research aims to analyze the relationship between stock market volatility, Foreign Portfolio Investment (FPI), interest rates, exchange rates, and the Industrial Production Index (IPI) on Islamic stocks in the energy sector in Indonesia from 2011 to 2023, using the Autoregressive Distributed Lag (ARDL) method and monthly frequency data. The research results indicate the existence of cointegration or a long-term relationship among each tested variable as the dependent variable. The long-term test results show that volatility in Islamic stocks in the energy sector is positively influenced by FPI activity. Furthermore, the exchange rate positively affects the IPI. Meanwhile, in the short term, FPI activity is negatively influenced by the FPI value of the previous period. On the other hand, stock market volatility positively affects FPI. Additionally, the IPI is positively influenced by the IPI value of the previous 3 months, the exchange rate, FPI activity, as well as stock market volatility up to 1 month prior.
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Bahasa Abstract
Penelitian ini bertujuan untuk menganalisis hubungan antara volatilitas pasar saham, Foreign Portfolio Investment, suku bunga, nilai tukar, dan Indeks Produksi Industri pada saham syariah sektor energi di Indonesia tahun 2011-2023 menggunakan metode Autoregressive Distributed Lag (ARDL) dan data frekuensi bulanan. Hasil penelitian menunjukkan adanya kointegrasi atau hubungan jangka panjang pada setiap variabel yang diuji sebagai variabel dependen. Hasil uji jangka panjang menunjukkan bahwa volatilitas pada saham syariah sektor energi dipengaruhi secara positif oleh aktivitas FPI. Selain itu, nilai tukar secara positif mempengaruhi IPI. Sedangkan dalam jangka pendek, aktivitas FPI dipengaruhi secara negatif oleh nilai FPI periode sebelumnya. Di sisi lain, volatilitas pasar saham secara positif mempengaruhi FPI. Selain itu, IPI dipengaruhi secara positif oleh nilai IPI selama 3 bulan sebelumnya, nilai tukar, aktivitas FPI, serta volatilitas pasar saham hingga 1 bulan sebelumnya.
Recommended Citation
Ibrohim, Syahrul 'Ali
(2024)
"Analisis Hubungan Volatilitas Pasar Saham, Foreign Portfolio Investment, Dan Indikator Makroekonomi Pada Saham Syariah Sektor Energi Di Indonesia Tahun 2011-2023,"
Jurnal Manajemen dan Usahawan Indonesia: Vol. 47:
Iss.
2, Article 4.
DOI: 10.7454/jmui.v47i2.1091
Available at:
https://scholarhub.ui.ac.id/jmui/vol47/iss2/4
