Analisis Faktor Ekonomi dan Keuangan Global terhadap Indeks Saham Syariah Indonesia

Abstract

Integrasi pasar keuangan global menjadikan Indeks Saham Syariah Indonesia (ISSI) berpotensi dipengaruhi oleh guncangan dari dinamika ekonomi dan keuangan internasional. Penelitian ini bertujuan menganalisis respons dan kontribusi suku bunga The Fed, Indeks Dow Jones Industrial Average (DJIA), dan Global Economic Policy Uncertainty (GEPU) terhadap ISSI selama Januari 2016– Oktober 2025 menggunakan metode Vector Autoregression First Difference (VAR FD). Hasil uji Granger menunjukkan hanya GEPU yang memiliki hubungan kausalitas dua arah dengan ISSI, sementara suku bunga The Fed dan DJIA tidak signifikan meski arah responsnya tetap positif. Respons ISSI terhadap guncangan ketiga faktor global bersifat sementara dan kembali menuju keseimbangan dalam periode jangka panjang. ISSI merespons positif guncangan GEPU sekaligus menjadikan GEPU sebagai kontributor eksternal terbesar terhadap variasi pergerakan ISSI. Temuan ini mengindikasikan struktur saham syariah memberi ketahanan berbeda terhadap guncangan ekonomi dan keuangan global dan berimplikasi pada strategi diversifikasi investasi.

The integration of global financial markets meant that the Indonesia Sharia Stock Index (ISSI) was potentially susceptible to shocks arising from international economic and financial dynamics. This study aimed to analyze the response and contribution of the Fed’s interest rate, the Dow Jones Industrial Average (DJIA), and Global Economic Policy Uncertainty (GEPU) to the ISSI from January 2016 to October 2025 using the Vector Autoregression First Difference (VAR FD) method. The results of the Granger causality test indicated that only GEPU had a bidirectional causal relationship with the ISSI, while the Fed’s interest rate and the DJIA were not statistically significant, although the direction of their responses remained positive. The ISSI’s response to shocks from these three global factors was temporary and eventually returned to equilibrium in the long run. The ISSI responded positively to GEPU shocks, making GEPU the largest external contributor to variations in the ISSI’s movements. These findings indicated that the structure of sharia stocks provided distinct resilience to global economic and financial shocks and had implications for investment diversification strategies.