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All Journal MUQTASID Al-Ahkam Economica: Jurnal Ekonomi Islam
Musahadi Musahadi, Musahadi
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Religion Economics, Econometrics & Finance Law, Crime, Criminology & Criminal Justice Social Sciences Other

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Journal : MUQTASID

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Responsiveness of Volatility Analysis of the Jakarta Islamic Index on Macroeconomic Variables Susanti, Eni; Agriyanto, Ratno; Musahadi, Musahadi; Zuhri, Saifudin
Muqtasid: Jurnal Ekonomi dan Perbankan Syariah Vol 12, No 1 (2021): MUQTASID: Jurnal Ekonomi dan Perbankan Syariah
Publisher : IAIN Salatiga

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18326/muqtasid.v12i1.32-48

Abstract

This study aims to analyze the influence and response of the Jakarta Islamic Index (JII) volatility to changes in macroeconomic variables. VECM was used to examine the long-and short-term effects, while IRF was used to analyze the JII response. Data were obtained from BPS, BI, and Yahoo Finance monthly from 2015-2020 using global macroeconomic fiscal variables, including inflation, BI and Exchange Rates, Industrial Production Index, World Oil Price, Malaysia Hijrah Shariah Index, and DJIM Malaysia Titan 25 Index. The results show that JII is influenced by inflation variables, BI rate, IPI, OP, MHS, and DJIM in the long term but not the exchange rate. Furthermore, it is influenced by BI rate, IPI, OP, MHS, and DJIM in the short term, while the exchange rate and inflation have no significant effect. Macroeconomic variable shock influence JII by 52,27% while the rest is influenced by other variables outside the model. This research implies that the JII index is very sensit ive to economic changes.
Co-Authors Eni Susanti Heny Yuningrum, Heny Junusi, Rahman El Ratno Agriyanto Saifudin Zuhri