PENGARUH MAKROEKONOMI, KONDISI PERDAGANGAN, INDEKS SAHAM ASING, DAN INDEKS SUKUK TERHADAP JAKARTA ISLAMIC INDEX TAHUN 2015-2020

Khairun Nisa’, NIM.: 19208012032 (2021) PENGARUH MAKROEKONOMI, KONDISI PERDAGANGAN, INDEKS SAHAM ASING, DAN INDEKS SUKUK TERHADAP JAKARTA ISLAMIC INDEX TAHUN 2015-2020. Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study aims to examine and analyze the effect of macroeconomic variables, foreign stock indices, trading conditions, and the Sukuk index on the Jakarta Islamic Index (JII). Macroeconomic variables are represented by inflation, money supply, exchange rates, world gold prices, and world oil prices. Trading conditions are proxied by trading frequency, share value, and trading volume. The foreign stock index uses the DJIM, and the Sukuk index uses ICSIX. The data in this research are monthly time series with a sample of 72 and analyzed using the Vector Error Correction Model. The results showed that in the short term, only the money supply had a significant effect on JII. Long term test results show that JII is significantly affected by inflation, money supply, exchange rate, trading frequency, stock value, world gold prices, world oil prices, and ICSIX. The other two variables, namely trading volume, and DJIM do not affect JII.

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