Benarkah Suku Bunga Memengaruhi Volatilitas Pasar Saham Syariah?
DOI:
https://doi.org/10.47700/jiefes.v2i1.2780Keywords:
Indeks Produksi Industri, Inflasi, Nilai Tukar, Pasar Saham Syariah, Suku BungaAbstract
Abstract
This research attempts to explore to what extent the sensitivity volatility of Islamic stock markets in Indonesia toward macroeconomics. The writer examines inflation, exchange rates, money supply (JUB), interest rates (BIRATE), and Industrial Production Index (IPI) as part of the macroeconomic variables. Meanwhile, the writer also uses Jakarta Islamic Index (JII) as the measurements for Islamic stock markets. This research uses the calculation of the stock return volatility based on the Generalized Autoregressive Conditional Heteroscedasticity (GARCH (2, 1)) combined with Regressive Distributed Lag (ARDL) analysis. The writer uses monthly data from Indonesia Stock Exchange, starting from January 2006 to December 2019 as part of the data collection. This research found that BIRATE has a negative effect on the conventional stock market while the Islamic stock market has a positive and insignificant effect on the level α = 5%. It points out the Islamic principles that the interest rate is not a significant variable in explaining the stock market’s volatility. According to the finding of this research, the writer argues that stabilizing interest rates will not significantly impact the volatility of the Islamic stock market.
Abstrak
Penelitian ini mencoba untuk mengeksplorasi sejauh mana sensitivitas volatilitas pasar saham syariah di Indonesia terkait dengan ekonomi makro. Penulis menggunakan inflasi, nilai tukar rupiah, penawaran uang (JUB), suku bunga (BI rate) dan Indeks Produksi Industri (IPI) sebagai pengukuran dari ekonomi makro. Sementara itu, penulis menggunakan Jakarta Islamic index (JII) sebagai pengukuran pasar saham syariah. Penelitian ini menggunakan perhitungan volatilitas return saham dengan Generalized Autoregressive Conditional Heteroskedasticity (GARCH (2, 1) dikombinasikan dengan Analisis Autoregressive Distributed Lag (ARDL). Pengumpulan data dalam penelitian ini menggunakan data bulanan dari Bursa Efek Indonesia dari bulan Januari 2006 sampai Desember 2019. Penelitian ini menemukan bahwa, variable BI Rate tidak berpengaruh signifikan terhadap pasar saham syariah pada taraf α=5%. Ini menyoroti prinsip-prinsip Islam bahwa tingkat bunga bukanlah variabel yang signifikan dalam menjelaskan volatilitas pasar saham. Menurut temuan pada penelitian ini, penulis memberikan dukungan lebih lanjut bahwa menstabilkan suku bunga tidak akan berdampak signifikan pada volatilitas pasar saham syariah.
References
Amanah, N. K., Purwanto, B., & Ermawati, W. J. (2019). Apakah Saham Berlabel Syari’ah Memenuhi Kepatuhan dan Prinsip Moral Islam? Does the Sharia Labeled Stock Fulfill Islamic Moral Compliance and Principles? (Case Study: Indonesian Islamic Capital Market). Jurnal Manajemen Dan Organisasi, 10(2), 112–117.
Apriliskan Fajri, W., Alliv Nurdiana, D., & Rusgianto, S. (2020). Devita Alliv Nurdiana, & Sulistya Rusgianto. Journal of Islamic Eco-Nomics Lariba, 6, 1–18. https://doi.org/10.20885/jielariba.vol6.iss2.art5
Ardana, Y. (2016). ANALISIS PENGARUH VARIABEL MAKROEKONOMI TERHADAP INDEKS SAHAM SYARIAH INDONESIA: PERIODE MEI 2011-SEPTEMBER 2015 DENGAN MODEL ECM (Vol. 13, Issue 1).
Ash-Shiddiqy, M. (2019). PENGARUH INDEKS PRODUKSI INDUSTRI (IPI), SERTIFIKAT BANK INDONESIA SYARIAH (SBIS), INFLASI DAN NILAI TUKAR TERHADAP INDEKS SAHAM SYARIAH INDONESIA (PERIODE 2012-2018) (Vol. 3, Issue 1). Januari-Juni.
Ash-Shidiq, H., & Setiawan, A. B. (2015). ANALISIS PENGARUH SUKU BUNGA SBI, UANG BEREDAR, INFLASI DAN NILAI TUKAR TERHADAP INDEKS HARGA SAHAM JAKARTA ISLAMIC INDEX (JII) PERIODE 2009-2014. In Jurnal Ekonomi dan Perbankan Syariah (Vol. 3, Issue 2). www.idx.co.id
Inflasi, P., & Bunga, S. (n.d.). Kurs, dan Pertumbuhan PDB Terhadap Indeks Harga Saham Gabungan-Suramaya Suci Kewal.
Karim, A., Jabar, A., & Cahyadi, I. F. (2020). ) Pengaruh Exchange Rate, Inflasi, Risiko Sistematis Dan BI Rate Terhadap Return Saham Syariah Di Jakarta Islamic Index (JII) Periode. 4(1).
Kartika, A., Kendeng, J. v, & Ngisor, B. (2010). Volatilitas Harga Saham di Indonesia dan Malaysia (Vol. 12, Issue 1).
Karyatun, S., Waluyo, T., Muis, M., & Munir, A. R. (2021). The Islamic Stock Market and Macroeconomic Relationship. In PSYCHOLOGY AND EDUCATION (Vol. 58, Issue 1). www.psychologyandeducation.net
Khan, J. (2018). The Impact of Macroeconomic Variables on Stock Prices: A Case Study of Karachi Stock Exchange. www.iiste.org
Putra, U., Yptk, I., & Pratiwi, N. (n.d.). PENGARUH TINGKAT SUKU BUNGA, KURS DAN INFLASI TERHADAP JAKARTA ISLAMIC INDEX (JII) SIGIT SANJAYA.
Rachmawati, M., & Laila, N. (2015). rahmawati. FAKTOR MAKROEKONOMI YANG MEMPENGARUHI PERGERAKAN HARGA SAHAM PADA INDEKS SAHAM SYARIAH INDONESIA (ISSI) DI BURSA EFEK INDONESIA (BEI) 1, Vol.2 No. 11.
Santoso, H., Islam, E., Tinggi Ilmu Ekonomi AAS, S., & Mursito Wisnu, A. (2018). Proceeding Seminar Nasional & Call For Papers 124 Surakarta.
Taufiq, M., Batista, &, & Kefi, S. (n.d.). PENGARUH INFLASI, BI RATE DAN KURS TERHADAP INDEKS HARGA SAHAM GABUNGAN.
Widarjono, A. (2020). Does the Volatility of Macroeconomic Variables Depress The Profitability of Islamic Banking? JEJAK, 13(1), 30–42. https://doi.org/10.15294/jejak.v13i1.19460
Wulandari, C. (2021). PERKEMBANGAN SAHAM-SAHAM SYARIAH (JII) DAN FAKTOR-FAKTOR YANG MEMPENGARUHINYADisusun sebagai salah satu syarat menyelesaikan Program Studi Strata I pada Jurusan Ekonomi dan BisnisOleh :CANDRA WULANDARIB 300160007ILMU EKONOMI STUDI PEMBANGUNANFAKULTAS EKONOMI DAN BISNISUNIVERSITAS MUHAMMADIYAH SURAKARTA2020.
Yusof, R. M., Shabri, M., & Majid, A. (2007). Stock Market Volatility Transmission in Malaysia: Islamic Versus Conventional Stock Market. 20(2), 17–35.
Yusuf, A. A., & Hamzah, A. (2014). PENGARUH INFLASI, SUKU BUNGA, NILAI TUKAR/KURS, DAN IHSG TERHADAP HARGA SAHAM SYARIAH PENDEKATAN ERROR CORRECTION MODEL (Penelitian Pada PT Astra Agro Lestari Tbk di Jakarta Islamic Index) Periode 2006.1 sd 2013.12.
Zakaria, Z. (2012). Empirical evidence on the relationship between stock market volatility and macroeconomic volatility in Malaysia Validating the micro determinants of export performance model for Halal food and beverages industries in Malaysia View project marketing strategy for halal market View project. https://www.researchgate.net/publication/310613721
Downloads
Published
Issue
Section
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 4.0 International License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors can 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) before and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.
This work is licensed under a Creative Commons Attribution 4.0 International License.
