The Stability of the Indonesian Sharia Stock Index to Economic Shocks

Abstract

<p>The stock market has a strategic role in the development of a country's economy in the era of globalization, including the Islamic stock market. The rapid growth of the Islamic stock market, especially in developing countries, is a historical record in Indonesia's financial sector. This study aims to analyze the factors that influence the return of the Indonesian Sharia Stock Index (ISSI) in the short and long term, how long shocks occur, and how much the contribution of these factors. This study uses monthly time series data from January 2012 to December 2019 using the Vector Error Correction Model (VECM) method. VECM estimation results show the price of gold has a significant effect on the short and long term, while inflation has an impact on a long time. ISSI's return quickly reaches stability when it receives a shock from the exchange rate. The price of gold dominates the diversity of ISSI's performances. Stakeholders should consider several things that affect the ISSI return, pay attention to the economic climate, and anticipate quickly the shock that occurs.</p>

Examining the Role of Inflation Moderation in Mitigating the Impact of Crude Oil Prices on Indonesia's Sharia Stock Market

“…Furthermore, it is important to note that the results of this research support previous studies indicating the positive impact of crude oil prices on the Sharia stock market in Indonesia Indonesia (Bawono & Mutaqin, 2019;Masrizal et al, 2019;Zahrok et al, 2021). However, the literature also reflects divergent opinions, with some studies concluding a negative or insignificant impact of crude oil prices on Sharia stocks (Antonio et al, 2021;Fitrianto, 2020;Mahfudz & Nurhadi, 2021;Mubarok et al, 2020;Nawindra & Wijayanto, 2020;Noval, 2022;Rokhaniyah, 2020). This indicates the complexity of the relationship between crude oil prices and the Sharia stock market, which can be influenced by a number of economic variables and policies.…”

“…In contrast, Bawono & Mutaqin (2019), Masrizal, Ubaidillah Al Mustofa, &Zahrok et al (2021) concluded that crude oil prices have a positive effect on the Sharia Stock Market in Indonesia. However, other studies conducted by Mahfudz & Nurhadi (2021), Mubarok, Al Arif, & Mufraini (2020), Nawindra &Wijayanto (2020), andNoval (2022) indicate that crude oil prices do not have a significant impact on the Sharia Stock Market in Indonesia.…”

“…Some say that crude oil prices have a positive effect on the sharia stock market in Indonesia (Bawono & Mutaqin, 2019;Masrizal, Ubaidillah Al Mustofa, & Herianingrum, 2019;Zahrok et al, 2021). Some say that crude oil prices have a negative effect (Antonio et al, 2021;Fitrianto, 2020;Rokhaniyah, 2020), and there is also research that says that crude oil prices have no significant effect (Mahfudz & Nurhadi, 2021;Mubarok, Al Arif, & Mufraini, 2020;Nawindra & Wijayanto, 2020). This difference may be caused by moderating variables such as inflation.…”

Reaksi ketahanan pada Indeks Harga Saham Gabungan dan Indeks Saham Syariah Indonesia: bukti kondisi sebelum dan era Covid-19

“…Penelitian terdahulu yang dilakukan oleh Deng, Xu, & Lee (2022) menemukan bahwa kebijakan pembatasan sosial dalam rangka mengurangi penyebaran COVID-19 membuat kinerja pasar modal menjadi lambat, bahkan ke arah negatif. Selain itu, dalam penelitian Indrayono (2021) (Mubarok, Al Arif, & Mufraini, 2020). Dari fakta tersebut, maka diformulasikan hipotesis sebagai berikut : H2 : Tidak terdapat perbedaan pada ISSI sebelum dan ketika era COVID-19.…”

Research Path on Indonesia Shariah Stock Index Literatures

“…The Indonesian Stock Exchange (BEI) lists every Sharia Stock Index. For example, several studies related to Indonesia shariah stock index can be found in Agustin (2019), Mubarok et al, (2020), and also Alam et al, (2020).…”