Abstract:

This research aim is to analyze the impact of international Sharia stock movement, macroeconomic variables, and Bank Indonesia policy on the Return Jakarta Islamic Index. The global Sharia stocks movement are Dow Jones Islamic Market United States (IMUS), FTSE Bursa Malaysia Hijrah Shariah Index (FTSE), and MSCI World Islamic (MSCI). The macroeconomic variables are the exchange rate, world oil price, inflation, Credit Default Swap (CDS), and foreign exchange reserves. Bank Indonesia's policy is BI-rate. The method used in this research is the error correction model (ECM) to analyze the short-run and long-run impact of international Sharia stock movement, macroeconomic variables, and Bank Indonesia policy on return JII. The result shows that the IMUS, exchange rate, and world oil prices influence the return of JII in the short run. Whereas IMUS, exchange rate, and CDS affect the return JII in the long run.

Keywords:

Sharia Stocks Movement, Macroeconomics Variable, Return JII, and Error Correction Model (ECM).

How to Cite:

Afifah Fauziyah, Endri Endri, and Indra. The Effect of International Sharia Stock Movement, Macroeconomic Variable, and Bank Indonesia Policy on Return Jakarta Islamic Index. [ref]: vol.21.2023. available at: https://refpress.org/ref-vol21-a268/