PENGARUH DOW JONES ISLAMIC MARKET INDEX (DJIMI), KUALA LUMPUR STOCK EXCHANGE (KLSE), INFLASI, NILAI TUKAR/KURS, HARGA EMAS DUNIA, DAN HARGA MINYAK DUNIA TERHADAP PERGERAKAN JAKARTA ISLAMIC INDEX (JII) PERIODE 2010 – 2019

Fitrianto, NIM.: 18208010003 (2020) PENGARUH DOW JONES ISLAMIC MARKET INDEX (DJIMI), KUALA LUMPUR STOCK EXCHANGE (KLSE), INFLASI, NILAI TUKAR/KURS, HARGA EMAS DUNIA, DAN HARGA MINYAK DUNIA TERHADAP PERGERAKAN JAKARTA ISLAMIC INDEX (JII) PERIODE 2010 – 2019. Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study aims to examine the effect of the Dow Jones Islamic Market Index (DJIMI), the Kuala Lumpur Stock Exchange (KLSE), inflation, exchange rates, world gold prices and world oil prices on the movement of the Jakarta Islamic Index (JII) 2010-2019. This research is based on the contagion effect theory which explains that economic shocks from a certain region will affect the economy in other regions. This study uses monthly data for 10 years (120 months). Eviews 9 software is used for data processing. Data analysis techniques used descriptive statistical analysis. Unit root tests use Augmented Dickey Fuller (ADF) and Phillips-Perron (PP) to ensure that data is stationary. Johansen's cointegration test to determine the long-term relationship among variables. Granger causality test is used to determine the relationship in the short term, while the Vector Error Correction Model (VECM) is adopted for the estimation model. The results suggest that DJIMI, KLSE and gold prices have a significant negative effect on JII in the long run. Inflation and oil prices have a significant positive effect on JII in the long run, while the exchange rate variable has no long-term effect on JII. This study contributes further to the Islamic stock market literature and the factors that influence it, especiallly on Islamic stocks in Indonesia.

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