Electronic Resource

Indonesia Islamic Stock Exchange:Co-Movement And Macroeconomic Uncertainty Influences

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The Islamic stock market is not merely driven by economic fundamental but also
various internal and external factors. This paper aims to investigate whether comovement and macroeconomic uncertainty influence Islamic stock exchange in
Indonesia. Using Vector Error Correction Model (VECM) method, this research
utilizes time series monthly data span from January 2011 – June 2021. The finding
shows that in Jakarta Islamic Index (JII) model, EPU_EU (Economic Policy
Uncertainty Europe) is the only factors that influence JII significantly with negative
relationship for short run. In the long run, JII is influenced positively significant by
DJICHK (Dow Jones Islamic China), CPI (Consumer Price Index), and OIL; and it
is influenced negatively significant by IMPORT, EXPORT, EPU_US (Economic
Policy Uncertainty US), EPU_China (Economic Policy Uncertainty China), and
EPU_EU. Furthermore, IMUS (Dow Jones Islamic US), DJIEU (Dow Jones
Islamic EU), and BIRATE have no significant impact toward JII. Impulse Respond
Function (IRF) indicates that JII responds all variable shock but less responsive to
DJICHK and EPU China. The Forecast Error Variance Decomposition (FEVD) test
shows that OIL and IMUS variable as the biggest contributor in JII model

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Availability

Detail Information

Series Title

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Call Number

REF 332.6 JAM i

Publisher

Bogor : STEI TAZKIA., 2021

Collation

ES

Language

English

ISBN/ISSN

NIM.17101187

Classification

332.6

Content Type

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Media Type

-

Carrier Type

-

Edition

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Subject(s)

VECM
Islamic Stock Exchange
Co-movement
Macroeconomics Uncertanity

Specific Detail Info

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Statement of Responsibility

Ahmad Hilmi Jamaludin

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