Faaza Fakhrunnas
Department Of Economics Universitas Islam Indonesia, Yogyakarta

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Journal : International Journal of Islamic Economics and Finance (IJIEF)

The Effect of Macroeconomic and Bank-Specific Variables to Risk-Taking of Islamic Bank in Indonesia Fakhrunnas, Faaza
International Journal of Islamic Economics and Finance (IJIEF) Vol 1, No 2 (2019): IJIEF Vol 1 (2), January 2019
Publisher : Universitas Muhammadiyah Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1011.393 KB) | DOI: 10.18196/ijief.129

Abstract

This study aims to delineate the relationship between macroeconomic factors and bank-specific variables to risk-taking of Islamic bank. Adopting panel co-integration approach, this study posits macroeconomic and bank-specific factors as exogenous variables consisting to interest rate, exchange rate, inflation, bank size and equity to asset ratio. Risk-taking as endogenous variable has proxies non-performing loan or financing and bankruptcy risk. By using quarterly data from 2010-Q4 to 2017-Q4, this study finds the risk-taking behavior of all banks has long-term relationship with macroeconomic factors. In terms of bank specified characteristic, bank size becomes substantial factor for the bank’s risk mitigation. When the samples are grouped based on Islamic bank’s size, the big size of Islamic bank has no long-term co-integration to macroeconomic variables. As opposed to that, the middle and small size of Islamic bank have long-term relationship to macroeconomics factors and all macroeconomic variables affect the risk-taking of Islamic bank. It concludes that the medium and small size of Islamic banks are more vulnerable from external shock.
The Effect of Macroeconomic and Bank-Specific Variables to Risk-Taking of Islamic Bank in Indonesia Faaza Fakhrunnas
International Journal of Islamic Economics and Finance (IJIEF) Vol 1, No 2 (2019): IJIEF Vol 1 (2), January 2019
Publisher : Universitas Muhammadiyah Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1011.393 KB) | DOI: 10.18196/ijief.129

Abstract

This study aims to delineate the relationship between macroeconomic factors and bank-specific variables to risk-taking of Islamic bank. Adopting panel co-integration approach, this study posits macroeconomic and bank-specific factors as exogenous variables consisting to interest rate, exchange rate, inflation, bank size and equity to asset ratio. Risk-taking as endogenous variable has proxies non-performing loan or financing and bankruptcy risk. By using quarterly data from 2010-Q4 to 2017-Q4, this study finds the risk-taking behavior of all banks has long-term relationship with macroeconomic factors. In terms of bank specified characteristic, bank size becomes substantial factor for the bank’s risk mitigation. When the samples are grouped based on Islamic bank’s size, the big size of Islamic bank has no long-term co-integration to macroeconomic variables. As opposed to that, the middle and small size of Islamic bank have long-term relationship to macroeconomics factors and all macroeconomic variables affect the risk-taking of Islamic bank. It concludes that the medium and small size of Islamic banks are more vulnerable from external shock.
Comparison of the Environmental, Social, and Governance Stock Index with Sharia Stock Index Performance Before and During the COVID-19 Pandemic in Southeast Asia Een Nuraeni; Faaza Fakhrunnas
International Journal of Islamic Economics and Finance (IJIEF) Vol 5, No 2 (2022): IJIEF Vol 5 (2), July 2022
Publisher : Universitas Muhammadiyah Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18196/ijief.v5i2.13392

Abstract

COVID-19 is a pandemic event with a global impact from a health and economic point of view. The number of confirmed cases of COVID-19 that continues to grow has caused several countries to implement lockdown policies. However, it has implications for an increasingly depressed stock market. Thus, it can affect the performance of stock indexes in various countries. For this reason, this research aims to examine the effects of the COVID-19 pandemic on the Islamic stock index and the environmental, social, and governance stock index in Southeast Asia and then compare the two indexes when responding to the COVID-19 pandemic. The models used in this research were event study and Vector Error Correction Model (VECM). This study utilized time-series data with a five-month daily period from December 2019 to April 2020. The event study model results showed that the number of positive cases of COVID-19 significantly affected the stock index performance, except for the ESG stock indexes in Singapore. Moreover, the VECM results revealed that the number of positive cases of COVID-19 had a significant effect on the stock index performance in the long and short term, except for the sharia stock index, which did not have a significant impact on the short term in Singapore and did not have a significant impact on the long term in Malaysia, namely the HIJRAH index.