Title: The Influence of Macroeconomic Variable Factors on the Return of the Indonesian Sharia Stock Index
Author: Muhammad Sanusi
Affiliations : Master of Economics Program, Faculty of Economics and Business, Universitas Airlangga Surabaya, Indonesia
Publisher: Universitas Airlangga
Abstract
This study aims to analyze the influence of macroeconomic variables on the return of the Indonesian Sharia Stock Index (ISSI). The next objective is that the results of this study are expected to provide an overview of the factors that can influence the return of sharia stocks. This quantitative study uses monthly time series data for the period June 2011-June 2019 with the Vector Error Correction Model (VECM), Granger Causality, and Impulse Response Functions methods. This study found that interest rates have no significant effect on the return of the ISSI, while world oil prices, the return of the Nikkei 225 Index, the return of the S&P 500 Index, the return of the SSE Index, the return of the DJIM Emerging Market, and the return of the DJIM Developed Market have a significant effect on the return of the ISSI. The exchange rate has a negative effect with a coefficient (-0.065373), world oil prices have a negative effect with a coefficient (-0.016289), the Nikkei 225 Index return has a negative effect with a coefficient (-0.418394), the S&P500 Index return has a positive effect with a coefficient (3.515414), the SSE Index return has a positive effect with a coefficient (0.294724), the DJIM EM Index has a positive effect with a coefficient (0.479361), and the DJIM DM Index has a negative effect with a coefficient (-2.997074). Based on the coefficient values of all significant variables, the S&P500 Index return with a coefficient (3.515414) has the most influence on the ISSI return, as a country that has a large influence on the world economy. This positive trend of the S&P 500 index will be a positive trend for the Indonesian sharia stock market. Next is the return of the DJIM Developed Market Index with a coefficient of (-2.997074), this is because the weak integration between the stock markets of developing and developed countries can have implications for international investors to diversify their portfolios to reduce risk and optimize returns.
Keywords: Return, Indonesian Sharia Stock Index, Macroeconomics, VECM