Electronic Resource

Analisis Pengaruh Premi Risiko Pasar dan Nilai Tukar terhadap Return Jakarta Islamic Index

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This study aims to analyze the effect of market risk premium and exchange rate
on the return of Jakarta Islamic Index . By using the Vector Autoregression
(VAR) method, this study utilizes time series monthly data from January 2008
to December 2018. This paper finds that market risk premium has no
significant effect on the return of Jakarta Islamic Index, while exchange rate has
a significant positive effect on the return of Jakarta Islamic Index. Shocks to
market risk premium are responded negatively by return of Jakarta Islamic Index
while shocks to exchange rate are responded positively by return of Jakarta
Islamic Index. JII stocks based on sharia principles, so investors will be safer to
invest in JII stocks rather than conventional stocks because they are not affected
by changes in the conventional economic condition

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Availability

Detail Information

Series Title

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Call Number

REF 332.6 FAT a

Publisher

Bogor : IAI Tazia., 2019

Collation

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Language

Indonesia

ISBN/ISSN

17110015

Classification

332.6

Content Type

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Media Type

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Carrier Type

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Edition

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Subject(s)

Exchange Rate
Return
JII
VAR
Market risk premium

Specific Detail Info

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Statement of Responsibility

Fatmawati

Other version/related

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