The Effect of Dow Jones Industrial Average (DJIA) and Macroeconomic Variables on Indonesia’s Sharia Stock Index (ISSI) over the Period 2012-2021

Authors

  • Miftahul Huda University of Darussalam Gontor
  • Aulia Nuri Alfirania University of Darussalam Gontor
  • Ahmad Suminto University of Darussalam Gontor
  • M. Afif Haidar Fajlurrahman University of Darussalam Gontor

DOI:

https://doi.org/10.53840/jmm.v13i2.164

Keywords:

DJIA, Macroeconomic Variable, Indonesia Sharia Stock Index (ISSI)

Abstract

This research aims to test and analyze the influence of foreign indices in the form of DJIA and macroeconomic variables in the form of inflation, BI-Rate, exchange rate, and world gold prices on ISSI over the period from 2012 to 2021. This research uses quantitative methods with secondary data in the form of time-series. The analytical techniques used are the VAR and VECM. The research used data processing in the form of e-views 12 software.  The results of this study show that in the long-term DJIA, BI-Rate, and exchange rate have a significant positive effect on the ISSI. Meanwhile, inflation variables and gold prices in the long term have a significant negative effect on ISSI. In the short-term, only inflation variable has a significant negative effect on ISSI. Meanwhile, other variables in the form of DJIA, BI-Rate, exchange rate, and world gold price did not have a significant effect on the ISSI. The results of this research can be used as additional information and considerations for companies in carrying out policies related to investment and can be used in anticipating the effects of macroeconomic changes for the stability of company value. In such a way, companies are able to consider them when choosing which investments and businesses need to be aware of the macroeconomic factors in a nation that can affect stock performance.

Downloads

Download data is not yet available.

References

Abdurohman, D. (2020). Analisis Transaksi Lindung Nilai Syariah (Al-Tahawwuth Al-Islami / Islamic Hedging) Atas Nilai Tukar. Ecopreneur: Jurnal Ekonomi dan Bisnis Islam, Vol. 1(1).

Ali, K., Sari, D. R., & Putri, R. (2019). Pengaruh Inflasi, Nilai Tukar Rupiah, dan Harga Emas Dunia terhadap Indeks Harga Saham Pertambangan pada Bursa Efek Indonesia (Periode Tahun 2016-2018). Jurnal Bisnis Darmajaya, Vol. 5(2), p. 97.

Ash-Shiddiqy, M. (2019). Pengaruh Indeks Produksi Industri (IPI), Sertifikat Bank Indonesia Syariah (SBIS), Inflasi dan Nilai Tukar terhadap Indeks Saham Syariah Indonesia (Periode 2012-2018). Jurnal Penelitian Agama Dan Masyarakat, Vol. 3(1), p.47.

Dewi, I. P. (2020). Pengaruh Inflasi, Kurs, dan Harga Minyak Dunia terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia. Jurnal Ilmu Manajemen, Vol. 17(1), p.13.

Edgina, I. M. (2020). Pengaruh Harga Minyak Dunia, harga Emas Dunia, DJIA, dan Inflasi Terhadap Index Saham Syariah. Jurnal Akuntansi Dan Bisnis Krisnadwipayanan, Vol. 7(No. 2), p.28.

Fathoni, H., & Sakinah, G. (2021). Peran Pasar Modal Syariah dalam Laju Pertumbuhan Ekonomi di Indonesia. Khazanah Mulidisiplin, Vol. 2(1), p.35.

Fathurrahman, A., & Widiastuti, R. A. (2021). Determinan Indeks Saham Syariah Indonesia (Pendekatan Error Correction Model). Islamic Banking : Jurnal Pemikiran Dan Pengembangan Perbankan Syariah, Vol. 7(1), p.183. https://doi.org/10.36908/isbank.v7i1.309

Ghiffari, M. F., Kindangen, P., & Tumewu, F. (2017). The Causality Relationship of Dow Jones Industrial Average (DJIA) and Nikkei 225 Towards Jakarta Composite Index (JCI) Period 2011-2016. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, Vol. 5(2), p.449.

Jannah, M., & Nurfauziah. (2017). Analisis Pengaruh Nilai Tukar Rupiah, Tingkat Suku Bunga SBI (BI Rate), dan Harga Emas Dunia Terhadap Indeks LQ45 di Bursa Efek Indonesia. Jurnal Manajemen Maranatha, Vol. 17 (2).

Kewal, S. S. (2012). Pengaruh Inflasi, Suku Bunga, Kurs, dan Pertumbuhan PDB Terhadap Indeks Harga Saham Gabungan. Jurnal Economia, Vol. 8(No. 1), p.58-59.

Lathifah, H. M., Febrianti, D. S., Utami, A. P., Ulhaq, A. A., Tulasmi, & Mukti, T. (2021). Dampak Pandemi Covid-19 Terhadap Harga Saham Syariah di Indonesia. Jurnal Ilmiah Ekonomi Islam, Vol. 7(3), p.224. https://doi.org/10.33772/jumbo.v5i3.21441

Ningsih, S., & Kristiyanti, L. (2018). Analisis Pengaruh Jumlah Uang Beredar, Suku Bunga, dan Nilai Tukar Terhadap Inflasi di Indonesia Periode 2014-2016. Jurnal Ekonomi Manajemen Sumber Daya, Vol. 20(2), p.97.

Noviyani, S. J., & Nugroho, R. H. (2022). Keuangan & Bisnis Syariah Pengaruh Indeks Dow Jones Industrial Average ( DJIA ), Tingkat Inflasi , Bi 7- Day Repo Rate , dan Kurs USD / IDR Terhadap Indeks Saham Syariah Indonesia (ISSI) di Bursa Efek Indonesia (BEI). Al-Kharaj : Jurnal Ekonomi, Keuangan & Bisnis Syariah, Vol. 5(1), 126–141. https://doi.org/10.47467/alkharaj.v5i1.1130

Prasetyo, Y., Athoilah, M. A., & Rosadi, A. (2019). Pengaruh Variabel Ekonomi Makro (Inflasi, Kurs, Rupiah, dan Fluktuasi Harga Emas Dunia) Terhadap Return Saham Syariah. Istinbath: Jurnal Hukum Dan Ekonomi Islam, Vol. 18(1), p.198.

Razieh, C., Zaccardi, F., Islam, N., Gillies, C. L., Chudasama, Y. V., Rowlands, A., Kloecker, D. E., Davies, M. J., Khunti, K., & Yates, T. (2021). Ethnic minorities and COVID-19: examining whether excess risk is mediated through deprivation. European Journal of Public Health, Vol. 31(3).

Rofiqo, A., Suminto, A., Sari, D. N., & Ramadhan, M. A. (2022). Factors that Influence of Behavior to Contribution in Islamic Peer-to-Peer Lending with PLS-SEM Approach: Empirical Studies in Indonesia. 8, 66–84.

Salim, A., & Purnamasari, A. (2021). Pengaruh Inflasi Terhadap Pertumbuhan Ekonomi Indonesia. Ekonomica Sharia: Jurnal Pemikiran Dan Pengembangan Ekonomi Syariah , Vol. 7 No.

Setyoko, D., & Purwantini, S. (2017). Analisis Dampak Nilai Tukar Rupiah Terhadap Pembiayaan Operasional Kapal PT. Serasi Shipping Indonesia Cabang Merak. Jurnal Dinamika Bahari, Vol. 7(2).

Suciningtias, S. A., & Khoiroh, R. (2015). Analisis Dampak Variabel Makro Ekonomi Terhadap Indeks Saham Syariah Indonesia (ISSI). Conference in Business, Accounting, and Management, Vol. 2(1), p.401-402.

Suminto, A., & Maharani, S. (2020). Analisis Pengaruh Corporate Social Responsbility, Islamic Banking Service Quality dan Corporate Image terhadap Loyalitas Nasabah di Bank BRISyariah Kantor Cabang Pembantu Ponorogo. El-Barka: Journal of Islamic Economics and Business, 3(1). https://doi.org/10.21154/elbarka.v3i1.2013

Suryowati, E. (2016). Pertumbuhan Ekonomi 2015 Terendah dalam Enam Tahun Terakhir. Kompas.

Tripuspitorini, F. A. (2021). Analisis Pengaruh Inflas , Nilai Tukar Rupiah, dan BI-Rate terhadap Harga Indeks Saham Syariah Indonesia. Jurnal Maps (Manajemen Perbankan Syariah), Vol. 4(2).

Wahyudi, S. T., & Nabella, R. S. (2020). Dampak Variabel Makroekonomi pada Volatilitas Pasar Modal Syariah Indonesia: Pendekatan Model Error Correction. Buletin Studi Ekonomi, Vol. 25(2).

Published

2023-11-30

How to Cite

Huda, M., Aulia Nuri Alfirania, Suminto, A., & Fajlurrahman, M. A. H. (2023). The Effect of Dow Jones Industrial Average (DJIA) and Macroeconomic Variables on Indonesia’s Sharia Stock Index (ISSI) over the Period 2012-2021. Journal of Management and Muamalah , 13(2), 85 - 101. https://doi.org/10.53840/jmm.v13i2.164