Relationship between Islamic Stock Prices and Macroeconomic Variables: Evidence from Jakarta Stock Exchange Islamic Index | Zendy

Muhammad Rizky Prima Sakti | Zendy; Md. Yousuf Harun | Zendy

Open Access

Relationship between Islamic Stock Prices and Macroeconomic Variables: Evidence from Jakarta Stock Exchange Islamic Index

Author(s) -

Muhammad Rizky Prima Sakti,

Md. Yousuf Harun

Publication year - 2015

Publication title -

global review of islamic economics and business

Language(s) - English

Resource type - Journals

ISSN - 2338-7920

DOI - 10.14421/grieb.2013.011-06

Subject(s) - exchange rate , islam , economics , vector autoregression , money supply , stock exchange , stock (firearms) , stock market index , econometrics , industrial production , monetary economics , stock market , financial economics , indonesian , interest rate , macroeconomics , finance , engineering , mechanical engineering , paleontology , philosophy , theology , horse , biology , linguistics

This paper attempts to analyze the relationship between Jakarta Stock Exchange Islamic Index (JII) and selected macroeconomic variables namely exchange rate, industrial production, inflation rate, and money supply. We used monthly data from January 2000 to December 2010.The methodology used in this paper is time series techniques of co-integration and vector autoregression (VAR). In the analysis, we rely on variance decompositions and impulse-response functions to capture the strength of interactions among variables. The results revealed that there is co-integration between Islamic stock prices and macroeconomic variables. Specifically, Indonesian Islamic stock market are driven more by domestic factors. These macroeconomic factors considered to be emphasized as the policy instruments by the governments in order to stabilize Islamic stock prices.

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