Title: The Influence of Macroeconomic Variable Factors on Indonesian Sharia Stock Index Returns
Author: Muhammad Sanusi
Affiliations : Master of Economics Program, Faculty of Economics and Business, Universitas Airlangga Surabaya, Indonesia
Publisher: Universitas Airlangga
Abstract
This research aims to analyze the influence of macroeconomic variable factors on the return of the Indonesian Sharia Stock Index (ISSI). The next aim is that the results of this research are expected to provide an overview of the factors that can influence sharia stock returns. This quantitative research uses monthly time series data for the period June 2011-June 2019 using the Vector Error Correction Model (VECM), Granger Causality, and Impulse Response Functions methods. This research finds that interest rates do not have a significant effect on ISSI returns, while world oil prices, Nikkei 225 Index returns, S&P500 Index returns, SSE Index returns, DJIM Emerging Market returns, DJIM Developed Market returns have a significant effect on ISSI returns. The exchange rate has a negative effect with the coefficient (-0.065373), world oil prices have a negative effect with the coefficient (-0.016289), the Nikkei 225 Index return has a negative effect with the coefficient (-0.418394), the S&P500 Index return has a positive effect with the coefficient ( 3.515414), the SSE Index return has a positive effect on the coefficient (0.294724), the DJIM EM Index has a positive effect on the coefficient (0.479361), and the DJIM DM Index has a negative effect on the coefficient (-2.997074). Based on the coefficient values of all significant variables, the S&P500 Index return with coefficient (3.515414) has the most influence on ISSI returns, as a country that has a big influence on the world economy. This positive trend in 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 there is weak integration between the stock markets of developing countries and developed countries, which can have implications for international investors to diversify their portfolios in reducing risk and optimizing returns.
Keywords: Return, Indonesian Sharia Stock Index, Macroeconomics, VECM
