THE EFFECT OF MACROECONOMIC VARIABLES AND THE NATIONAL STOCK PRICE INDEX ON SHARIA PRICE IN JAKARTA ISLAMIC INDEX Didi Mashudi1,a), Mohamad Andri Ibrahim2,b), Fadilah Ilahi3)
1)Faculty of Sharia and Law, UIN Sunan Gunung Djati, Bandung, Indonesia 2)Faculty of Sharia, Universitas Islam Bandung (UNISBA), Bandung, Indonesia 3)Faculty of Science and Technology, UIN Sunan Gunung Djati, Bandung, Indonesia
a)email: didimashudi.uinsgd[at]gmail.com b) email: andri.ibrahim[at]gmail.com
The capital market has a very important role in the current global economy as a place to raise funds, and as an attractive investment media to invest capital for investors. At present, the capital market is an indicator of a countrys economic stability. However, volatile and unpredictable stock prices are one of the obstacles of investors, so the capital market is one type of risky investment. The data shows that investment in Indonesia is currently showing fairly good development. This can be seen from the improved performance of the National Stock Price Index such as the Composite Stock Price Index (IHSG), LQ45, the Jakarta Islamic Index (JII) and the Indonesian Sharia Stock Index (ISSI). Especially the performance of the Indonesian Sharia Stock Index (ISSI) experienced the biggest increase, reaching 28.1% in the period June 2016 - June 2017. Meanwhile, the Dow Jones Islamic Market Index of Malaysia (DJIM) only recorded an increase of 16.4%, FTSE Global Sharia 15, 8% and Islamic MSCI only 13.1% and over a period of 5 years, the value of the sharia stock market capitalization also increased by 42% or Rp.3,473 Trillion. Jakarta Islamic Index (JII) is one of the shares on the Indonesia Stock Exchange (IDX) based on sharia principles. This index was introduced on July 3, 2000, by the Indonesia Stock Exchange. The methodology of JII calculation is the same as that used by the JCI which is based on the Market Value Weight Average Index using the Lapeyres formula. This study aims to examine the effect of macroeconomic variables and the National Stock Price Index on Sharia Share Prices in the Jakarta Islamic Index (JII). The research data was obtained from IDX Monthly Statistics, Financial Services Authority (OJK) and Bank of Indonesia (BI). The analysis technique uses the vector auto regression / vector error correction model (VAR / VECM) analysis to determine the causality relationship between variables and the long-term and short-term relationships between variables.
Keywords: Jakarta Islamic Index, sharia macroeconomic, VAR, VECM