Analisis Pengaruh Variabel Makroekonomi dan Indeks Harga Saham Syariah di Beberapa Negara terhadap Jakarta Islamic Index (JII)

Abstract

This research examines the impact of macroeconomic variables and Islamic stock market index in several countries towards Jakarta Islamic Index (JII). The variables observed in this research are Jakarta Islamic Index (JII), Industrial Production Index (IPI), Consumer Price Index (CPI), Broad Money (M2), Exchange Rate Indonesia Rupiah-United States Dollar (ER), BI Rate, SBIS, Dow Jones Islamic Market Index Europe (DJIEU), Dow Jones Islamic Market Index Malaysia (DJIMY), Dow Jones Islamic Market Index US (IMUS), Dow Jones Islamic Market Index Japan (DJIJP). Using Vector Error Correction Model (VECM), this research utilizes time series monthly data from January 2007 to October 2012. The finding shows that JII is positively significant affected by DJIEU, DJIMY and IPI. JII is negatively significant affected by DJIJP, IMUS, M2 and SBIS.

Penelitian ini menguji pengaruh variabel makroekonomi dan indeks harga saham syariah di beberapa negara terhadap Jakarta Islamic Index (JII). Variabel yang digunakan dalam penelitian ini adalah Jakarta Islamic Index (JII), Industrial Production Index (IPI), Consumer Price Index (CPI), Broad Money (M2), Exchange Rate Indonesia Rupiah-United States Dollar (ER), BI Rate, SBIS, Dow Jones Islamic Market Index Europe (DJIEU), Dow Jones Islamic Market Index Malaysia (DJIMY), Dow Jones Islamic Market Index US (IMUS), Dow Jones Islamic Market Index Japan (DJIJP). Penelitian ini menggunakan Vector Error Correction Model (VECM), dengan data time series bulanan dari Januari 2007 sampai dengan Oktober 2012. Penelitian ini menemukan bahwa JII dipengaruhi positif signifikan oleh DJIEU, DJIMY dan IPI. JII dipengaruhi negatif signifikan oleh DJIJP, IMUS, M2 dan SBIS.