Pengaruh Variabel Makroekonomi terhadap Nilai Aktiva Bersih Reksa Dana Syariah di Indonesia 2018–2025

Abstract

Nilai aktiva bersih (NAB) reksa dana syariah Indonesia berfluktuasi tajam selama 2018–2025, sedangkan temuan penelitian terdahulu belum konsisten. Penelitian ini menganalisis pengaruh inflasi, nilai tukar rupiah, BI7DRR, jumlah uang beredar (M2), pertumbuhan PDB, indeks saham syariah Indonesia (ISSI), dan perubahan struktural terhadap NAB menggunakan autoregressive distributed lag (ARDL) bounds testing dan uji multiple structural break Bai dan Perron pada 96 data bulanan. Kontribusinya adalah pemisahan pengaruh jangka pendek dan jangka panjang serta penetapan periode dummy berdasarkan perubahan struktural yang diidentifikasi dari data, yaitu pada Juli 2019, Mei 2021, dan Desember 2023. Dalam jangka pendek, inflasi dan nilai tukar berpengaruh negatif signifikan, M2 positif signifikan, dan pertumbuhan PDB tidak signifikan. Dalam jangka panjang, nilai tukar, M2, ISSI, dan pertumbuhan PDB berpengaruh positif signifikan, BI7DRR negatif signifikan, dan inflasi tidak signifikan. Ketiga variabel dummy berpengaruh signifikan. Hasil ini dapat menjadi bahan pertimbangan bagi investor, manajer investasi, dan otoritas keuangan.

The net asset value (NAV) of Islamic mutual funds in Indonesia fluctuated sharply during 2018–2025, while previous findings remained inconsistent. This study analyzed the effects of inflation, the rupiah exchange rate, BI7DRR, money supply (M2), GDP growth, the Indonesia Sharia Stock Index (ISSI), and structural changes on NAV using autoregressive distributed lag (ARDL) bounds testing and the Bai and Perron multiple structural break test on 96 monthly observations. It contributed by separating short-run and long-run effects and by setting the dummy periods based on structural changes identified from the data, namely in July 2019, May 2021, and December 2023. In the short run, inflation and the exchange rate had significant negative effects, M2 had a significant positive effect, and GDP growth was not significant. In the long run, the exchange rate, M2, ISSI, and GDP growth had significant positive effects, BI7DRR had a significant negative effect, and inflation was not significant. All three dummy variables were significant. These results may serve as considerations for investors, investment managers, and financial authorities.