INTEGRASI JAKARTA ISLAMIC INDEX (JII) DENGAN PASAR SAHAM NEGARA MITRA DAGANG UTAMA INDONESIA

R. Suhaimi, NIM.: 19208010009 (2021) INTEGRASI JAKARTA ISLAMIC INDEX (JII) DENGAN PASAR SAHAM NEGARA MITRA DAGANG UTAMA INDONESIA. Masters thesis, SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This research aim sto examine as well as analyzing and knowing the influence of Indonesia's major trading partner stock index to ward Jakarta Islamic Index (JII). Then, this research also tries to examine the influence of Shanghai Stock Exchange Composite (SSEC), Nihon Keizai Shimbun (NIKKEI225), Straits Times Index (STI), Dow Jones Industrial Average (DJIA), and S&P CNX Nifty (NIFTY50) index to ward JII. Furthermore, this research uses time series data since 2011 to 2021 as the main data, using Vector Error Correction Model (VECM) which supported by Eviews as the analysis tool. The result revealed that there are two variables which have significant effect on JII. Shanghai Stock Exchange Composite (SSEC) and Strait Times Index (STI) brings negative significant effect toward JII, while Nihon Keizai Shimbun (NIKKEI225), NIFTY and Dow Jones Industrial Average (DJIA) have no effect toward JII in a long term period.This research aim sto examine as well as analyzing and knowing the influence of Indonesia's major trading partner stock index to ward Jakarta Islamic Index (JII). Then, this research also tries to examine the influence of Shanghai Stock Exchange Composite (SSEC), Nihon Keizai Shimbun (NIKKEI225), Straits Times Index (STI), Dow Jones Industrial Average (DJIA), and S&P CNX Nifty (NIFTY50) index to ward JII. Furthermore, this research uses time series data since 2011 to 2021 as the main data, using Vector Error Correction Model (VECM) which supported by Eviews as the analysis tool. The result revealed that there are two variables which have significant effect on JII. Shanghai Stock Exchange Composite (SSEC) and Strait Times Index (STI) brings negative significant effect toward JII, while Nihon Keizai Shimbun (NIKKEI225), NIFTY and Dow Jones Industrial Average (DJIA) have no effect toward JII in a long term period.

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