DO MACROECONOMIC FACTORS MATTER FOR ISLAMIC STOCK MARKET PRICES IN INDONESIA

Annisa Masruri Zaimsyah

Abstract


The purpose of this study is to measure and analyze the effects of macroeconomic factors on the movement of Islamic stock prices in Indonesia. the macroecomic variables tested in the study  money supply, industry production index, inflation, interest rate, and exchange rate. The methodology in this study is a quantitative method by applying the Vactor Autoregression (VAR) approach, which includes the Granger Causality test and the Johansen Cointegration test, which is continued by estimating the Vector Error Correction Model (VECM) and forecasting through Impulse Response Function (IRF) analysis, and Forecast Error Variance Decomposition (FEDV). The results of the VECM analysis show that in the short term, Money supply  in lag 2 has a positive and significant relationship of magnitude, and the exchange rate (Ln_Rate) in lag 1 affects the ISSI Stock Price negatively and significantly. The long-term outcome of the Money Supply (Ln_M2) and Interest Rate (B.I. Rate) variables negatively affect ISSI's share price. In contrast, the IPI and Exchange Rate (Ln_Kurs) variables positively affect ISSI's Share Price. The IRF results show that ISSI's Share Price is still experiencing stability despite the shock, namely in response to the shock in the number of IPI. The results of the FEVD analysis show that each variable has a different contribution to the diversity of ISSI Stock Prices. From the two observations to the final observation period, the exchange rate (Ln_rate) has the most significant contribution, while the money supply (Ln_M2) has the smallest induction

Keywords


Macroeconomics; share Price; Sharia Stocks ; VECM

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References


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