ANALYSIS OF ISLAMIC STOCK PRICE INDEXS IN INDONESIA

desi novera danur

Abstract


ABSTRACT

 

This study aims to determine whether there is an effect of macroeconomic indicators on the Indonesian Islamic stock price index (ISSI) as an dependent variable. The macroeconomic indicators tested in this study are inflation, exchange rates, interest rates (interbank rates), gold prices and world oil prices which are independent variables. This study uses monthly time series data from the 2015-2019 period. This type of research is a  multiple linear regression Quantity research with the analytical tool used by ARDL to measure the research parameters. The findings of the research show that the inflation and gold price variables have a significant effect on ISSI both in the short and long term, while the other three variables, namely the exchange rate, interest rate and world oil price have an insignificant effect even though the oil price variable the world has a positive relationship, marked by a positive coefficient value.

 

Keywords :      Syariah Stock Index, Macroeconomic Variables

Keywords


syariah stock index;Macroecinomic;variabels

References


Reference

Al-Ameer, M., Hammad, W., Ismail, A., & Hamdan, A. (2018). The relationship of gold price with the stock market: The case of frankfurt stock exchange. International Journal of Energy Economics and Policy, 8(5), 357–371.

Al-hajj, E., Al-Mulali, U., & Solarin, S. A. (2018). Oil price shocks and stock returns nexus for Malaysia: Fresh evidence from nonlinear ARDL test. Energy Reports, 4, 624–637. https://doi.org/10.1016/j.egyr.2018.10.002

Ali, S., Shahzad, S. J. H., Raza, N., & Al-Yahyaee, K. H. (2018). Stock market efficiency: A comparative analysis of Islamic and conventional stock markets. Physica A: Statistical Mechanics and Its Applications, 503, 139–153. https://doi.org/10.1016/j.physa.2018.02.169

Alkhazali, O. M., & Zoubi, T. A. (2020). Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices. Pacific Basin Finance Journal, 60(June 2019), 101264. https://doi.org/10.1016/j.pacfin.2020.101264

Antonakakis, N., Gupta, R., & Tiwari, A. K. (2017). Has the correlation of inflation and stock prices changed in the United States over the last two centuries? Research in International Business and Finance, 42, 1–8. https://doi.org/10.1016/j.ribaf.2017.04.005

Areli Bermudez Delgado, N., Bermudez Delgado, E., & Saucedo, E. (2018). The relationship

between oil prices, the stock market and the exchange rate: Evidence from Mexico. North

American Journal of Economics and Finance, 45(March), 266–275. https://doi.org/10.1016/j.najef.2018.03.006

Asmy, M., Rohilina, W., Hassama, A., & Fouad, M. et al. (2009). Effects of Macroeconomic Variables on Stock Prices Inmalaysia : an Approach of Error Effects of Macroeconomic Variables on Stock Prices in Malaysia : an Approach of Error. Munich Personal RePEc Archive, 7(April), 1–32. https://mpra.ub.uni-muenchen.de/20970

Assefa, T. A., Esqueda, O. A., & Mollick, A. V. (2017). Stock returns and interest rates around the World: A panel data approach. Journal of Economics and Business, 89, 20–35. https://doi.org/10.1016/j.jeconbus.2016.10.001

Bahloul, S., Mroua, M., & Naifar, N. (2017). The impact of macroeconomic and conventional stock market variables on Islamic index returns under regime switching. Borsa Istanbul Review, 17(1), 62–74. https://doi.org/10.1016/j.bir.2016.09.003

Basher, S. A., Haug, A. A., & Sadorsky, P. (2012). Oil prices, exchange rates and emerging

stock markets. Energy Economics, 34(1), 227–240. https://doi.org/10.1016/j.eneco.2011.10.005

Ben Rejeb, A., & Arfaoui, M. (2019). Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach. European Journal of Management and Business Economics, 28(3), 301–322. https://doi.org/10.1108/EJMBE-08-2018-0088

Bouoiyour, J., Selmi, R., & Wohar, M. E. (2018). Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis. Finance Research Letters, 26, 100–105. https://doi.org/10.1016/j.frl.2017.12.008

C.W.J. Granger and P. Newbold. (1974). Spurious Regressions in Econometrics. Journal of Econometrics 2, 111–120. https://doi.org/10.1002/9780470996249.ch27

CHAI, G., YOU, D. ming, & CHEN, J. yu. (2019). Dynamic response pattern of gold prices to economic policy uncertainty. Transactions of Nonferrous Metals Society of China (English Edition), 29(12), 2667–2676. https://doi.org/10.1016/S1003-6326(19)65173-3

Dong, W., Lien, D., Lv, X., & Tan, C. (2019). The cross-border impacts of China’s official rate shocks on stock returns of Chinese concepts shares listed on U.S. market. International Review of Economics & Finance. https://doi.org/10.1016/j.iref.2019.11.015

Dotsis, G. (2020). Investment under uncertainty with a zero lower bound on interest rates. Economics Letters, 188, 108954. https://doi.org/10.1016/j.econlet.2020.108954

Fuller, D. A. D. and W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, Vol. 49, N.

Gong, P., & Dai, J. (2017). Monetary policy, exchange rate fluctuation, and herding behavior in

the stock market. Journal of Business Research, 76, 34–43. https://doi.org/10.1016/j.jbusres.2017.02.018

Jammazi, R., Ferrer, R., Jareño, F., & Hammoudeh, S. M. (2017). Main driving factors of the interest rate-stock market Granger causality. International Review of Financial Analysis, 52, 260–280. https://doi.org/10.1016/j.irfa.2017.07.008

Karim, M. M., & Masih, M. (2019). Do the Islamic Stock Market Returns Respond Differently to the Realized and Implied Volatility of Oil Prices? Evidence from the Time–Frequency

Analysis. Emerging Markets Finance and Trade, 00(00), 1–16. https://doi.org/10.1080/1540496X.2019.1663409

Kelikume, Ikechukwu; Muritala, O. A. (2019). The impact of changes in oil price on stock market: Evidence from Africa. International Journal of Management, Economics and

Social Sciences (IJMESS) Suggested, Vol. 8(Iss. 3), 169–194. https://doi.org/10.32327/IJMESS.8.3.2019.11

Khan, Z. (2012). Impact of Interest Rate, Exchange Rate and Inflation on Stock Returns of Kse 100 Index. International Journal of Economics and Research.

Köse, N., & Ünal, E. (2020). The impact of oil price shocks on stock exchanges in Caspian Basin countries. Energy, 190. https://doi.org/10.1016/j.energy.2019.116383

Kumar, K. K., & Sahu, B. (2017). Dynamic Linkages Between Macroeconomic Factors and Islamic Stock Indices in a Non-Islamic Country India. The Journal of Developing Areas, 51(1), 193–205. https://doi.org/10.1353/jda.2017.0011

Li, W., Lu, X., Ren, Y., & Zhou, Y. (2018). Dynamic relationship between RMB exchange rate index and stock market liquidity: A new perspective based on MF-DCCA. Physica A:

Statistical Mechanics and Its Applications, 508, 726–739. https://doi.org/10.1016/j.physa.2018.05.097

Liu, L., & Wan, J. (2012). The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test. Physica A: Statistical Mechanics and Its Applications, 391(23), 6051–6059. https://doi.org/10.1016/j.physa.2012.07.036

anurung, R. & M. (2008). Teori Ekonomi Makro: Suatu Pengantar Edisi ke 4. FE:UI.

Mbengue, M. L. (2017). Creation of an Islamic stock index in West Africa. Research in

International Business and Finance, 41(March), 105–108. https://doi.org/10.1016/j.ribaf.2017.04.017

Mensi, W. (2019). Global financial crisis and co-movements between oil prices and sector stock markets in Saudi Arabia: A VaR based wavelet. Borsa Istanbul Review, 19(1), 24–38. https://doi.org/10.1016/j.bir.2017.11.005

Mensi, W., Hammoudeh, S., Al-Jarrah, I. M. W., Sensoy, A., & Kang, S. H. (2017). Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. Energy Economics, 67, 454–475. https://doi.org/10.1016/j.eneco.2017.08.031

Mensi, W., Hammoudeh, S., Tiwari, A. K., & Al-Yahyaee, K. H. (2019). Impact of Islamic banking development and major macroeconomic variables on economic growth for Islamic countries: Evidence from panel smooth transition models. Economic Systems. https://doi.org/10.1016/j.ecosys.2019.100739

Mishra, S., Sharif, A., Khuntia, S., Meo, S. A., & Rehman Khan, S. A. (2019). Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile

approach. Resources Policy, 62(April), 292–304. https://doi.org/10.1016/j.resourpol.2019.04.005

Narayan, P. K., & Narayan, S. (2010). Modelling the impact of oil prices on Vietnam’s stock

prices. Applied Energy, 87(1), 356–361. https://doi.org/10.1016/j.apenergy.2009.05.037

Narayan, P. K., Phan, D. H. B., & Sharma, S. S. (2019). Does Islamic stock sensitivity to oil prices have economic significance? Pacific Basin Finance Journal, 53(2017), 497–512. https://doi.org/10.1016/j.pacfin.2018.04.003

Pesaran, M. H., & Timmermann, A. (1995). Predictability of Stock Returns: Robustness and Economic Significance. The Journal of Finance, 50(4), 1201–1228. https://doi.org/10.1111/j.1540-6261.1995.tb04055.x

Rachmawati, M., & Laila, N. (2015). Faktor Makroekonomi yang Mempengaruhi Pergerakan Harga Saham pada Indeks Saham Syariah Indonesia (ISSI) di Bursa Efek Indonesia (BEI). Jurnal Ekonomi Syariah Teori Dan Terapan, 2(11), 928–942.

Roubaud, D., & Arouri, M. (2018). Oil prices, exchange rates and stock markets under uncertainty and regime-switching. Finance Research Letters, 27, 28–33. https://doi.org/10.1016/j.frl.2018.02.032

Shabbir, M. S. (2018). Classification and prioritization of waqf lands: a Selangor case. International Journal of Islamic and Middle Eastern Finance and Management, 11(1), 40– 58. https://doi.org/10.1108/IMEFM-02-2017-0038

Singhal, S., Choudhary, S., & Biswal, P. C. (2019). Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from

Mexico. Resources Policy, 60(September 2018), 255–261. https://doi.org/10.1016/j.resourpol.2019.01.004

Trabelsi, N., & Naifar, N. (2017). Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR. Research in International Business and Finance, 42(October 2016), 727–744. https://doi.org/10.1016/j.ribaf.2017.07.013

Urooj aijaz, M. F. and saad M. (2016). impact of Oil and Gold Prices on stock Market index.

(2), 2016.




DOI: http://dx.doi.org/10.24014/jhi.v20i2.10733

Refbacks

  • There are currently no refbacks.


Index By:

       

                                                               

Hukum Islam (Print- ISSN: 1411-8041) and (E-ISSN : 2443-0609)

Published by Faculty of Sharia and Law  State Islamic University Of Sultan Syarif Kasim Riau

Mailing Adress: Universitas Islam Negeri Sultan Syarif Kasim Riau
H. R. Soebrantas Street, No.155 KM 18, Kelurahan Tuah Madani, Kecamatan Tuah Madani
Pekanbaru - Riau, 28293

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.