Analisis Pengaruh Makroekonomi dan Indeks Global Economic Policy Uncertainty (GEPU) Terhadap Indeks Saham Syariah Indonesia (ISSI)

Abstract

Pasar modal syariah di dominasi oleh saham syariah sebesar 52.68% berkembang signifikan dengan Indeks Saham Syariah Indonesia (ISSI) sebagai indikator utama yang pergerakannya fluktuatif akibat pengaruh inflasi, nilai tukar, BI rate, Indeks Produksi Industri (IPI), harga minyak dunia dan indeks Global Economic Policy Uncertainty (GEPU). Penelitian ini bertujuan menganalisis faktor-faktor yang memengaruhi ISSI melalui metode Autoregressive Distributed Lag (ARDL). Hasil analisis menunjukkan bahwa dalam jangka pendek dan jangka panjang, ISSI dipengaruhi secara negatif signifikan oleh inflasi, serta positif signifikan oleh nilai tukar, BI rate, IPI, harga minyak dunia, dan GEPU. Sehingga otoritas pasar dan investor disarankan menjaga stabilitas inflasi serta memanfaatkan pengaruh positif nilai tukar, BI rate, IPI, harga minyak dunia, dan GEPU guna mendorong pertumbuhan ISSI.

The Islamic capital market in Indonesia is significantly dominated by Sharia stocks, accounting for 52.68% of the market share, and has shown substantial growth with the Indonesia Sharia Stock Index (ISSI) serving as the main indicator. The movement of ISSI is volatile due to the influence of inflation, exchange rates, the BI rate, the Industrial Production Index (IPI), global oil prices, and the Global Economic Policy Uncertainty Index (GEPU). This study aims to analyze the factors affecting ISSI using the Autoregressive Distributed Lag (ARDL) method. The analysis results indicate that, in both the short and long run, ISSI is significantly negatively affected by inflation, while it is significantly positively influenced by the exchange rate, BI rate, IPI, global oil prices, and GEPU. Therefore, it is recommended that market authorities and investors maintain inflation stability and leverage the positive impacts of the exchange rate, BI rate, IPI, global oil prices, and GEPU to foster ISSI growth.