PENGARUH RISIKO GEOPOLITIK, KETIDAKPASTIAN KEBIJAKAN EKONOMI, DAN VARIABEL EKONOMI MAKRO TERHADAP HARGA SAHAM DOW JONES ISLAMIC MARKET WORLD INDEX

Elsa Estiani, NIM.: 21208011011 (2023) PENGARUH RISIKO GEOPOLITIK, KETIDAKPASTIAN KEBIJAKAN EKONOMI, DAN VARIABEL EKONOMI MAKRO TERHADAP HARGA SAHAM DOW JONES ISLAMIC MARKET WORLD INDEX. Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study analyzes the impact of global geopolitical risk, economic policy uncertainty, and macroeconomic variables on the Dow Jones Islamic Market World (DJIMI) stock price index in 2007-2022 using the Vector Error Correction Model (VECM). This study finds that the VECM captures the impact of geopolitical risk, economic policy uncertainty, and global macroeconomic variables on the Dow Jones Islamic Market World (DJIMI) stock price index differently. The results show that geopolitical risk, economic policy uncertainty, and interest rates have a significant effect on DJIMI in the long term, while inflation and exchange rate have not. In the short term, only the economic policy uncertainty variable has a significant effect on DJIMI.

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