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All Journal Al-Iqtishad : Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics)
Abdul Azzis
State Islamic University (UIN) Syarif Hidayatullah Jakarta
Religion Economics, Econometrics & Finance Social Sciences

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Macroeconomic Variables, International Islamic Indices, and The Return Volatility in Jakarta Islamic Index Yoghi Citra Pratama; Abdul Azzis
Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah Vol 10, No 1: January 2018
Publisher : Faculty of Shariah and Law, UIN Syarif Hidayatullah Jakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (542.616 KB) | DOI: 10.15408/aiq.v10i1.5550

Abstract

According to understand the behavior of Islamic equity markets the primary objective of this research is to analyze the effect of macroeconomic indicators and International Islamic Index on return volatility of Jakarta Islamic Index. The analysis method used in this study is AutoRegressive Conditional Heteroscedastic-Generalized AutoRegressive Conditional Heteroscedastic (ARCH-GARCH). The result of this research showed that all variables, i.e., BI rate, inflation rate, IDR-USD exchange rate, DJIUS index, DJIUK index, FTSJP index and FTSMY index have a simultaneously significant impact on return volatility of JII. While t-test results show that BI rate, IDR-USD exchange rate, DJIUK index and FTSMY index have a substantial effect on return volatility of JII.DOI: 10.15408/aiq.v10i1.5550
Co-Authors Yoghi Citra Pratama