DAMPAK SHOCK PADA INDEKS SAHAM SYARIAH GLOBAL DAN INDEKS SAHAM SYARIAH REGIONAL ASEAN TERHADAP PERUBAHAN HARGA SAHAM PADA JAKARTA ISLAMIC INDEX PERIODE 2020-2022

Farradila Geta Oceania, NIM.: 20208012017 (2023) DAMPAK SHOCK PADA INDEKS SAHAM SYARIAH GLOBAL DAN INDEKS SAHAM SYARIAH REGIONAL ASEAN TERHADAP PERUBAHAN HARGA SAHAM PADA JAKARTA ISLAMIC INDEX PERIODE 2020-2022. Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

The existence of globalization and liberalization of financial markets, investment between countries and the rise of multinational companies can connect markets in various countries. When an event occurs in one country, neighboring countries will be affected by this situation. This study aims to determine and explain the impact of the shock occurred in ASEAN regional and global Islamic stock indices on changes in stock prices in the Jakarta Islamic Index (JII) for the period 2020 – 2022. Vector Error Correction Model (VECM) with Eviews 12 to analyze long-term and short-term relationships of global and regional variables of the Islamic Stock Market Index in ASEAN with the variable of the Jakarta Islamic Index (JII). The results of the study show that there are two sharia stock market indexes that have a short-term relationship, namely the Dow Jones Islamic Market Index Japan (DJIJP) and the Dow Jones Islamic Market US Index (DJIMUS). Meanwhile, in the long term, all variables affect the Jakarta Islamic Index (JII) except the FTSE Bursa Malaysia Emas Sharia Index (FBMS). The IRF and DV values show that DJIMUS is the one that most contributes to the changes in the JII share price. Meanwhile, the smallest contribution was made by SGS100.

Item Type: Thesis (Masters)
Additional Information: Pembimbing: Dr. Misnen Ardiansyah, S.E., M. Si, Ak., CA., ACPA
Uncontrolled Keywords: VECM, DJICHK, DJIJP, DJIMUS, FBMS, SGS100, JII
Subjects: Ekonomi Syariah
Divisions: Fakultas Ekonomi dan Bisnis Islam > Ekonomi Syariah (S2)
Depositing User: Muh Khabib, SIP.
Date Deposited: 06 Feb 2023 09:19
Last Modified: 06 Feb 2023 09:19
URI: http://digilib.uin-suka.ac.id/id/eprint/55880

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