Al-Iqtishad : Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics)
Vol 10, No 1: January 2018

Macroeconomic Variables, International Islamic Indices, and The Return Volatility in Jakarta Islamic Index

Yoghi Citra Pratama (State Islamic University (UIN) Syarif Hidayatullah Jakarta)
Abdul Azzis (State Islamic University (UIN) Syarif Hidayatullah Jakarta)

Article Info

Publish Date
01 Jan 2018

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

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Journal Info
Al-Iqtishad : Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics)
Website

Abbrev

iqtishad

Publisher

Universitas Islam Negeri Syarif Hidayatullah Jakarta

Subject

Religion Economics, Econometrics & Finance Social Sciences

Description

This journal focused on Islamic law on economics and finance studies and present developments through the publication of articles. Specifically, the journal will deal with topics, including but not limited to Islamic law on Islamic Banking, Islamic Marketing, Islamic Human Resources, Islamic ...