The Influence and Contribution of Macroeconomics to The Indonesian Sharia Stock Index for The Period 2011-2021

Sandi Mulyadi(1*), Muhammad Ghafur Wibowo(2)

(1) Universitas Islam Negeri Sunan Kalijaga
(2) Universitas Islam Negeri Sunan Kalijaga
(*) Corresponding Author

Abstract

This study aims to determine the impact of macroeconomic variables on the Indonesian Sharia Stock Index (ISSI). The macroeconomic variables used are Industrial Production Index (IPI), Indonesian Sharia Bank Certificate (SBIS), Money Supply (JUB), exchange rates, Interest Rates (TSB), and inflation. The observed data is in the form of monthly data for the period 2011 to 2021. The approach used is to test the impact and contribution of VECM. The test results with the VECM model found that in the short term all variables had no effect on the Indonesian Sharia Stock Index, whereas, in the long term, IPI, SBIS, and inflation had a negative effect, and JUB, exchange rate, and TSB had a positive effect, based on the IRF test showed that ISSI responding to fluctuations from all positive macroeconomic variables except inflation which responded negatively and the contribution of each macroeconomic variable was IPI (0.64), SBIS (2.01), JUB (0.45), the exchange rate (0.64), TSB (0.01), and inflation (1.16) against the Indonesian Sharia Stock Index.

Keywords

ISSI, Macroeconomics, VECM

Full Text:

PDF

References

Ahmed, B. A., Isah, S. I., & Chika, U. A. (2018). Long-run Relationship between Islamic Stock Indices and US Macroeconomic Variables. Munich Personal RePEc Archive, 104167.

Andika, N., Abubakar, L., & Handayani, T. (2021). Implementation of principle for responsible investment in distribution of bank credits on infrastructure projects. Legality : Jurnal Ilmiah Hukum, 29(1), 130–143. https://doi.org/10.22219/ljih.v29i1.15063

Ash-shiddiqy, M. (2018). Pengaruh Indeks Produksi Industri (IPI), Sertifikat Bank Indonesia Syariah (SBIS), Inflasi Dan Nilai Tukar Terhadap Indeks Saham Syariah Indonesia. Jurnal Penelitian Agama Dan Masyarakat, 3(1), 39–50.

BEI. (2022). Indeks Saham. Www.Idx.Co.Id.

Beik, I. S., & Fatmawati, S. W. (2014). Pengaruh Indeks Harga Saham Syariah Internasional dan Variabel Makro Ekonomi Terhadap Jakarta Islamic Index. Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah, 6(2), 155–178. https://doi.org/10.15408/aiq.v6i2.1228

Candy, & Winardy, A. (2019). Pengaruh Faktor Eknonomi Makro Terhadap Stock Return Pada Indeks Saham LQ45. JESYA; Jurnal Ekonomi Dan EKonomi Syariah, 2 (1), 65–79. https://doi.org/https://doi.org/10.36778/jesya.v2i1.35

Conrad, C. A. (2021). The Effects of Money Supply and Interest Rates on Stock Prices, Evidence from Two Behavioral Experiments. Applied Economics and Finance, 8(2), 33. https://doi.org/10.11114/aef.v8i2.5173

Cornell, B. (1983). The Money Supply Announcements Puzzle: Review and Interpretation. American Economic Review, 73(4), 644–657.

Ding, L. (2021). Conditional Correlation between Exchange Rates and Stock Prices. Quarterly Review of Economics and Finance, 80, 452–463. https://doi.org/10.1016/j.qref.2021.02.004

Fathurrahman, A., & Widiastuti, R. A. (2021). Determinan Indeks Saham Syariah Indonesia (Pendekatan Error Correction Model). Islamic Banking, 7(1), 179–194.

Fuad, F., & Yuliadi, I. (2021). Determinants of the Composite Stock Price Index (IHSG) on the Indonesia Stock Exchange. Journal of Economics Research and Social Sciences, 5(1), 27–41. https://doi.org/10.18196/jerss.v5i1.11002

Fuadi, A. (2020). Inflasi dan Nilai Tukar Rupiah Terhadap Indeks Saham Syariah Indonesia. Jurnal Akuntansi Bisnis, 5(1), 1–12.

Ghazo, A., Abu-Lila, Z., & Ajlouni, S. (2021). The Macroeconomic Determinants of Stock Price Fluctuations in Amman Stock Exchange. Accounting, 7(1), 23–32. https://doi.org/10.5267/j.ac.2020.10.018

Godfrey, O. U. (2021). Money Supply and Stock Prices – A Case Study of Nigeria. Journal of Economics, Finance And Management Studies, 04(10), 1893–1904. https://doi.org/10.47191/jefms/v4-i10-10

Gu, G., Zhu, W., & Wang, C. (2021). Time-Varying Influence of Interest Rates on Stock Returns: Evidence from China. Economic Research-Ekonomska Istrazivanja, 0(0), 1–20. https://doi.org/10.1080/1331677X.2021.1966639

Hakimi, F., Millatina, N. A., & Herianingrum, S. (2020). Determinasi Makroekonomi Terhadap Produk Pembiayaan Bank Islam Di Indonesia (Periode 2017-2019). Jurnal Penelitian IPTEKS, 5(1), 116–126. https://doi.org/10.32528/ipteks.v5i1.3025

Halim, S. (2020). Analysis Of The Effect On Inflation, Interest Rate, Dow Jones Islamic Malaysia Index, and Profitability on Stock Prices as Selected as Indonesia Sharia Stock Index. Journal of Islamic Accounting and Finance Research, 2(2), 259–294. https://doi.org/10.21580/jiafr.2020.2.2.6357

Hanafi, S. M. (2021). Determinant of Market Share in the Indonesian Islamic Banking Industry. Muqtasid: Jurnal Ekonomi Dan Perbankan Syariah, 12(1), 1–16. https://doi.org/10.18326/muqtasid.v12i1.1-16

Handri, H., Mulyaningsih, H. D., Hidayat, A. K., Kurniawan, R., & Rachmawati, A. W. (2021). The Impact of Indonesian Oil Price (CPI) and Macroeconomics on Investments in The Manufacturing Sector in Indonesia. F1000Research, 10(May), 338. https://doi.org/10.12688/f1000research.27958.1

Harahap, I., & Tambunan, K. (2022). The Effect Of SBI and SBIS as Monetary Instruments On The Indonesia Economy. Share: Jurnal Ekonomi Dan Keuangan Islam, 11(1), 1–19. https://doi.org/10.22373/share.v11i1.8603

Hastiarto, O. (2021). The Effect of Liquidity, Leverage, and Profitability on Financial Distress with Audit Committee as a Moderating Variable. International Journal of Current Science Research and Review, 04(10), 1304–1315. https://doi.org/10.47191/ijcsrr/v4-i10-13

Junaidi, A., Ghafur Wibowo, M., & Hasni. (2021). Pengaruh Variabel Ekonomi Makro Terhadap Indeks Saham Syariah Indonesia (ISSI) Periode Tahun 2014-2019. In Jurnal Ekonomi Dan Bisnis (Vol. 24, Issue 1). https://doi.org/10.31941/JEBI.V24I1.1364

Kumar, K. K., & Sahu, B. (2018). 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/https://doi.org/10.1353/jda.2017.0011

Luwihono, A., Suherman, B., Sembiring, D., Rasyid, S., Kalbuana, N., Saputro, R., Prasetyo, B., Taryana, Suprihartini, Y., Asih, P., Mahfud, Z., & Rusdiyanto. (2021). Macroeconomic Effect on Stock Price: Evidence from Indonesia. Accounting, 7(5), 1189–1202. https://doi.org/10.5267/j.ac.2021.2.019

Mahfiroh, N., & Ratno, F. A. (2021). Pengaruh Variabel Makroekonomi Terhadap Pertumbuhan Nilai Outstanding Sukuk Korporasi Indonesia Tahun 2016-2019. Jurnal IMARA, 5(2), 149–165.

Mankiw, N. G. (2010). Principles of Economics Pengantar Ekonomi Makro. (Edisi Keti). Salemba Empat.

Mashudi, D., Ibrahim, M. A., & Ilahi, F. (2020). The Effect of Macroeconomic Variables on Sharia Stock Prices in the Jakarta Islamic Index. Advances in Social Science, Education and Humanities Research, Volume 409. https://doi.org/10.2991/assehr.k.200225.068

Misharni. (2018). Pengaruh Suku Bunga Sertifikat Bank Indonesia, Inflasi dan Perubahan Kurs Terhadap Indeks Harga Saham Gabungan. Journal of Islamic Management and Bussines, 2(2), 68–89.

Mishkin, F. S. (2010). The Economics of Money, Banking and Financial Markets. Mishkin Frederic–Addison Wesley Longman.

Mustafa, S. A., Ramlee, R., & Kassim, S. (2017). Economic Forces and Islamic Stock Market: Empirical Evidence from Malaysia. Asian Journal of Business and Accounting, 10. https://doi.org/10.2991/assehr.k.200225.068

Nur, S., & Fatwa, N. (2022). Analisis Pengaruh Indikator Makroekonomi Terhadap Indeks Saham Syariah Indonesia. Jurnal Tabarru, 5(1), 122–131.

POJK Nomor 35, Pub. L. No. 35, www.ojk.go.idjk.go.id (2017).

OJK. (2021). Market Update Pasar Modal Syariah. In www.ojk.go.id. https://doi.org/10.1002/9781119196709.app1

Qing, Y. K., & Kusairi, S. (2019). The Effect of Money Supply, Exchange Rate, and Interest Spread toward the Performance of Stock Market in Malaysia. Widyakala Journal, 6(2), 142. https://doi.org/10.36262/widyakala.v6i2.217

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.

Ranto, S. R. (2019). Pengaruh Jangka Pendek Dan Jangka Panjang Variabel Makro Ekonomi Terhadap IHSG Di Bursa Efek Indonesia Dengan Pendekatan Error Correction Model (ECM). Jurnal Derivat: Jurnal Matematika Dan Pendidikan Matematika, 6(1), 12–24. https://doi.org/10.31316/j.derivat.v6i1.332

Refinitiv. (2020). Islamic Finance Development Report 2020: Progressing Through Development. Islamic Finance Development Report, 1–54.

Sanjaya, S., & Pratiwi, N. (2018). Pengaruh Tingkat Suku Bunga, Kurs Dan Inflasi Terhadap Jakarta Islamic Index (JII). Jurnal Ekonomi Dan Bisnis Islam.

Sebo, S. S., & Nafi, H. M. (2020). Pengaruh Inflasi, Nilai Tukar, Suku Bunga, dan Volume Transaksi Terhadap Harga Saham Perusahaan Pada Kondisi Pandemi Covid-19. Jurnal Akuntansi Dan Perpajakan, 6(2), 113–126.

Sekaran, U. (2019). Metode Penelitian Untuk Bisnis (Kedua). Salemba Empat.

Sekaran, U., & Bougie, R. (2019). Metode Penelitian Untuk Bisnis Buku 2 (6th ed.). Salemba Empat.

Shih, V. hyung, & Hoang, C. (2021). The Impact of Accounting Fundamentals and Macroeconomic Indicators on Manufacturing Companies’ Stock Prices. Journal La Bisecoman, 2(3), 22–29. https://doi.org/10.37899/journallabisecoman.v2i3.404

Sinay, L. J., Tihurua, F. R. N., & Rahakbauw, D. L. (2018). Analisis Harga Saham PT. ANTAM tbk Berdasarkan Harga Emas,dan Nilai Tukar Rupiah Terhadap Dolar Menggunakan Model Antoregressive Distributed Lag. BAREKENG: Jurnal Ilmu Matematikan Dan Terapan, 12(1), 53. https://doi.org/10.30598/vol12iss1pp53-62ar364

Sugiyono. (2019). Metode Penelitian Kuantitatif, Kualitatif R&D. Alfabeta.

Thamrin, J., & Sembel, R. (2020). The Effect of Company’s Fundamental, Market Return and Macroeconomic to Stock Return: A Case Study of Consumer Goods Companies Listed in BEI Period 2009-2018. Ipmi BUSINESS STUDIES, 4(3), 184–197.

Tripuspitorini, F. A., Setiawan, & Setiawan, N. J. (2021). Effect of Macroeconomic Factors on Sharia Stock Index Prices Using The VECM Method Approach. Jurnal Inovasi, 17(2), 365–376.

Umam, A. K., Ratnasari, R. T., & Herianingrum, S. (2019). The Effect of Macroeconomic Variables in Predicting Indonesian Sharia Stock Index. Jurnal Ekonomi Dan Bisnis Islam (Journal of Islamic Economics and Business), 5(2), 223. https://doi.org/10.20473/jebis.v5i2.15031

Widarjono, A. (2013). Ekonometrika: Pengantar dan Aplikasinya. Ekonosia.

Widarjono, A. (2018). Ekonometrika Pengantar dan Aplikasi Disertai Panduan Eviews. UPP STIM YKPN.

Widarjono, A., Saddam, J., Shidiqie, A., Lak, L., & El, N. (2021). The Sensitivity of the Indonesian Islamic Stock Prices to Macroeconomic Variables : An Asymmetric Approach *. 8(3), 181–190. https://doi.org/10.13106/jafeb.2021.vol8.no3.0181

Wijaya, R. S. (2019). Pengaruh Faktor Makro Ekonomi terhadap Kredit Bermasalah pada Bank Umum di Indonesia. OECONOMICUS Journal of Economics, 4(1), 36–48. https://doi.org/10.15642/oje.2019.4.1.36-48

Wulan, A. N. (2020). Analisis Pengaruh Indikator Makroekonomi Terhadap Indeks Harga Saham Syariah di Indonesia Tahun 2011-2020. Journal of Islamic Economics, FInance and Banking, 4(2), 59–84.

DOI: 10.23917/jisel.v6i1.21073

Article Metrics

Abstract view(s): 322 time(s)
PDF: 234 time(s)

Refbacks

  • There are currently no refbacks.