DINAMIKA HUBUNGAN FOREIGN DIRECT INVESTMENT (FDI), STABILITAS MAKROEKONOMI DAN RETURN INDEKS SAHAM SYARIAH DI EMPAT NEGARA ASEAN

Nur Fitriyanto, NIM.: 18208011017 (2020) DINAMIKA HUBUNGAN FOREIGN DIRECT INVESTMENT (FDI), STABILITAS MAKROEKONOMI DAN RETURN INDEKS SAHAM SYARIAH DI EMPAT NEGARA ASEAN. Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Southeast Asian countries are looking forward to capital market integration. The presence of this momentum requires stable economic conditions in each country and an attractive capital market. This momentum is also an opportunity for the Islamic capital market to be further developed in this region. This study aims to examine the effect of Foreign Direct Investment (FDI) and macroeconomic variables, namely economic growth, inflation, reference interest rates and exchange rates on the return of the Islamic stock index in four ASEAN countries, namely Indonesia, Malaysia, Thailand and Singapore. The research period since four quarter of 2006 until the first quarter of 2020. The method used in empirical evidence in this study is the Autoregressive Distributed Lag Bounds Testing Approach (ARDL). This study found a long-term cointegration relationship in all research object countries. In terms of long-term relationships and short-term dynamics, this study finds variations in yield and direction coefficients in 4 ASEAN countries. The speed of readjustment of balance in case of shocks, respectively, is 44.7%, 65.4%, 43.5% and 50.0% per month. ARDL

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