The Effect of Dow Jones Industrial Average (DJIA) and Macroeconomic Variables on Indonesia’s Sharia Stock Index (ISSI) over the Period 2012-2021

Abstract

This research aims to test and analyze the influence of foreign indices in the form of DJIA and macroeconomic variables in the form of inflation, BI-Rate, exchange rate, and world gold prices on ISSI over the period from 2012 to 2021. This research uses quantitative methods with secondary data in the form of time-series. The analytical techniques used are the VAR and VECM. The research used data processing in the form of e-views 12 software. The results of this study show that in the long-term DJIA, BI-Rate, and exchange rate have a significant positive effect on the ISSI. Meanwhile, inflation variables and gold prices in the long term have a significant negative effect on ISSI. In the short-term, only inflation variable has a significant negative effect on ISSI. Meanwhile, other variables in the form of DJIA, BI-Rate, exchange rate, and world gold price did not have a significant effect on the ISSI. The results of this research can be used as additional information and considerations for companies in carrying out policies related to investment and can be used in anticipating the effects of macroeconomic changes for the stability of company value. In such a way, companies are able to consider them when choosing which investments and businesses need to be aware of the macroeconomic factors in a nation that can affect stock performance.