THE EFFECT OF MACROECONOMIC VARIABLES AND THE GLOBAL FINANCIAL CRISIS ON INDONESIA’S SHARIA STOCK INDEX DURING 2008 - 2021

Dhony Kalingga Jati, NIM.: 19108010030 (2023) THE EFFECT OF MACROECONOMIC VARIABLES AND THE GLOBAL FINANCIAL CRISIS ON INDONESIA’S SHARIA STOCK INDEX DURING 2008 - 2021. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study aims to analyze macroeconomic variables and the global financial crisis on the Jakarta Islamic Index (JII). The macroeconomic variables used in this study include: Bank Indonesia interest rates (BI Rate), The Fed Rate (Fed Rate), and the IDR/USD exchange rate, while the Global Financial Crisis (GFC) is a dummy variable. The data used in this research is time series data from January 2008 to December 2021. This research uses the Autoregressive Distributed Lag (ARDL) regression method with the help of Eviews 10 software. The results of the study explain that the BI rate has a significant negative effect on JII in the short and long term. The Fed's rate in the short term has a significant positive effect, whereas in the long term it shows an insignificant positive relationship to JII. The exchange rate in the short term has a significant negative effect on JII, while in the long term it has a significant positive effect on JII. The Global Financial Crisis (GFC) in the short term has a significant negative effect on JII, but in the long term it has a significant positive effect on JII.

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