Integration Analysis of the International Sharia Stock Price Index to the Jakarta Islamic Index 2018-2022 Period
Abstract
The purpose of this study is to determine the relationship between the Malaysia Shariah Gold Index (FTFBMS) and the Jakarta Islamic Index, the relationship between the Dow Jones Islamic Market Index Japan (DJIJP) and the Jakarta Islamic Index, the relationship between the Dow Jones Islamic Market Index Europe (DJIEU) and Jakarta Islamic Index, Relationship between the US Dow Jones Islamic Market Index (IMUS) and the Jakarta Islamic Index. The research method used in this research is secondary quantitative by taking weekly time series data for the period 2018-2022, the data sources used are from the websites www.investing.com and www.idx.com. This research uses vector autoregressive analysis with the Eviews 12sv application. The results of the research are: The short-term VECM estimation results show that in fact there is a significant short-term relationship of the variables that affect JII, namely DJIJP because it has a t count value that is greater than the t table. The short-term VECM estimation results show that in fact there is a significant short-term relationship of several variables that affect FTFBMS, namely the FTFBMS itself, and DJIEU because it has a calculated t value that is greater than t table. The results of the short-term VECM estimation show that in fact there is a significant short-term relationship of several variables that affect DJIJP, namely DJIJP itself, JII, DJIEU, and IMUS because they have a calculated t value that is greater than t table. The short-term VECM estimation results show that in fact there is a significant short-term relationship of the variables that affect DJIEU, namely JII and IMUS because they have a tcount value that is greater than t table. The short-term VECM estimation results show that there is no significant short-term relationship with the IMUS variable.
Downloads
References
Agus Widarjono. (2009). Ekonometrika Pengantar dan Aplikasinya. Yogyakarta: EKONISIA.
Ahmad Ifham. (2010). Buku Pintar Ekonomi Syariah. Jakarta: PT Gramedia.
Ajija, Shochrul. (2011). Cara Cerdas Menguasai E-views. Jakarta: Salemba Empat.
Ariefianto, Doddy. (2012). Ekonometrika: Esensi dan Aplikasi Menggunakan Eviews. Jakarta: Erlangga.
Azhari Akmal Tarigan et al., (2015). Buku Panduan Penulisan Skripsi Fakultas Ekonomi Dan Bisnis Islam Universitas Islam Negeri Sumatera Utara. Medan: Uinsu Press.
Beik, Irfan Syauqi dan Sri Wulan Fatmawati. (2014). Pengaruh Indeks Harga saham Syariah Internasional dan Variabel Makro Ekonomi Terhadap Jakarta Islamic Index. Al-Iqtishad, 6(2). https://doi.org/10.15408/aiq.v6i2.1228
Endri. (2009), Integrasi Pasar Saham Kawasan Perdagangan Bebas ASEAN-CHINA. Jurnal Manajemen Bisnis, 2(2).
Faridatun, Annisa dkk. 2018. Pengaruh Indeks Harga Saham Internasional Terhadap Harga Saham di Jakarta Islamic Index (JII). 4(2)
Firdaus M. (2011). Aplikasi Ekonometrika untuk Data Panel dan Time Series. Bogor: IPB Press).
Ghasani, Hafizhah. (2015). Analisis Vector Auto Regresive (VAR) Volume Transaksi E-Money terhadap Velocity of Money di Indonesia Tahun 2009-2012. Skripsi. Universitas Negeri Semarang.
Hidayat, Taufik. (2011). Buku Pintar Investasi Syariah. Jakarta: Mediakita.
Ikhsan, dkk. (2014). Metodologi Penelitia untuk Akuntansi dan Manajemen. Bandung: Citapustaka media.
Jogiyanto. (2013). Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE.
Kartika, Andi. (2010). Volatilitas Harga Saham di Indonesia dan Malaysia. Jurnal Ilmiah Aset, 12(1), 17-26.
Mailanky, Jeina. (2013), Integrasi Pasar Modal dan Beberapa Bursa di Dunia. Jurnal EMBA, 1(3).
M Nur Rianto Al Arif, (2012). Lembaga Keuangan Syariah: Suatu Kajian Teoritis Praktik (Bandung: Pustaka Setia).
Oktaviani, Retno Fuji. (2017). Index Harga Saham Islamic Internasional terhadap Jakarta Islamic Index. Jurnal Ekonomika dan Manajemen, 6(1), 1-15.
Purnawan, Irfan. (2014). Analisis Pengaruh Makroekonomi Domestik dan Makroekonomi Global Terhadap Indeks Saham Syariah Indonesia (ISSI) Periode 2011-2014. Skripsi. Bogor: Institut Pertanian Bogor.
Purnomo, R. Serfianto Dibyo. Iswi Hariyani. dkk. (2013). Pasar Komoditi: Perdagangan Berjangka dan Lelang Komoditi. Yogyakarta: Jogja Bangkit Publisher.
Rahmat Taufiq dan Wahidahwati. (2016). Faktor-Faktor yang Mempengaruhi Indeks Harga Saham pada Perusahaan yang Terdaftar di Jakarta Islamic Index. Jurnal Ilmu dan Riset Ekonomi, 5(8).
Sugiyono. (2012). Metode Penelitian Kuantitatif Kualitatif dan R&D. Bandung: Alfabeta
Supriyanto. (2010). Metodologi Riset Manajemen Sumber Daya Manusia. Malang: UIN Maliki Press.
Sutedi, Adrian. (2011). Pasar Modal Syariah Sarana Investasi Keuangan Berdasarkan Prinsip Syariah. Jakarta: Salemba Empat.
Sunariyah. (2011). Pengantar Pengetahuan Pasar Modal. Yogyakarta: YKPN.
Tjipto Darmadji, Hendy M. Fakhruddin, (2011). Pasar Modal di Indonesia. Bandung: Salemba.
Copyright (c) 2023 Suci Citra Pratiwi Daulay, Andi Soemitra, Fauzi Arif Lubis
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.
