INTEGRASI INDEKS SAHAM SYARIAH DAN CONTAGION EFFECT DARI GEJOLAK TRADE WAR ANTARA AMERIKA DAN CHINA

ULFA NUR AZIZAH, NIM. 14830021 (2019) INTEGRASI INDEKS SAHAM SYARIAH DAN CONTAGION EFFECT DARI GEJOLAK TRADE WAR ANTARA AMERIKA DAN CHINA. Skripsi thesis, UIN Sunan Kalijaga.

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Abstract

ABSTRACT This study aims to investigate the existence of the Islamic stock markets integration among countrie, and the contagion effect cause by the trade war between United States and China. The three Islamic stock markets are chosen as the research variables represented by the Islamic stock price index which are the Indonesian Islamic stock market (JII), America (DJIM) and China (DJICHKU). The data model used is time series data, using a purposive sampling approach. Samples from this study was the daily closing price of the Islamic stock price index from JII, DJIM and DJICHKU in the time intervals of June 22, 2016 to June 22, 2018. At that time interval the period is divided, namely the period before the shock and the period shock. The research methods used are VAR, granger causality test, Impulse Response Function and Variance Decomposition analysis. The results of the study shows that, both during the period before and during the trade war, the Islamic stock markets of the three countries are integrated with each other in short-term relationships, and evidence of the contagion effect is found during the trade war. Meanwhile, the movement of the Indonesian Islamic stock market tended as influenced by the movement of the Indonesian Islamic stock market itself (JII). keywords:: Integration, Contagion Effect, Islamic stock market, Trade War, VAR, DJIM, DJICHKU, IRF, Variance Decomposition. ABSTRAK Penelitian ini bertujuan untuk menginvestigasi keberadaan integrasi pasar saham syariah antar negara serta contagion effect yang disebabkan oleh gejolak trade war antara Amerika Serikat dan China. Tiga pasar saham syariah dipilih sebagai variabel penelitian ini dengan menggunakan indeks harga saham syariah yaitu pasar saham syariah Indonesia (JII), Amerika (DJIM) dan China (DJICHKU). Model data yang digunakan adalah data time series, dengan menggunakan pendekatan purposive sampling. Sampel dari penelitian ini yaitu nilai penutupan harian (daily closing price) indeks harga saham syariah dari JII, DJIM dan DJICHKU dalam interval waktu 22 Juni 2016 sampai dengan 22 Juni 2018. Pada interval waktu tersebut dilakukan pembagian periode, yaitu periode sebelum shock dan periode saat terjadinya shock. Metode penelitian yang digunakan adalah VAR, uji granger causality, Impulse Response Function dan analisis Variance Decompotition. Hasil penelitian menunjukan bahwa, baik ketika periode sebelum maupun saat terjadinya trade war, pasar saham syariah ketiga negara saling terintegrasi satu sama lain dalam hubungan jangka pendek, dan ditemukan bukti adanya contagion effect saat terjadinya trade war. Sementara itu, pergerakan pasar saham syariah Indonesia cenderung dipengaruhi oleh pergerakan pasar saham Indonesia sendiri (JII). Kata kunci: Integrasi, Contagion Effect, Pasar Saham Syariah, Trade War, VAR, DJIM, DJICHKU, IRF, Variance Decomposition

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