Open AccessMacroeconomic Variables on Indonesian Sharia Capital Market
Author(s) -
Taufik Nugroho,
Aam Slamet Rusydiana
Publication year - 2019
Publication title -
shirkah
Language(s) - English
Resource type - Journals
eISSN - 2503-4243
pISSN - 2503-4235
DOI - 10.22515/shirkah.v3i2.198
Subject(s) - economics , sharia , indonesian , index (typography) , u.s. dollar index , error correction model , price index , variable (mathematics) , monetary economics , econometrics , exchange rate , us dollar , islam , mathematics , mathematical analysis , philosophy , linguistics , cointegration , world wide web , computer science , theology
This article emphasizes to analyze the effect of macroeconomic variables on sharia capital market in Indonesia by using Vector Error Correlation Model (VECM) approach method. The variables used are world oil price, Industry Production Index (IPI) Currency Exchange Rate to Dollar and Consumer Price Index (CPI) in Indonesia. The research show that in the Indonesian Stock Sharia Index (ISSI) model, the VECM in the ISSI model can explain in the short term the IPI variable, world oil price, rupiah to dollar, DJIA and CPI does not affect to ISSI variable. While in the long term, world oil prices are positive climate and Dow Jones Industrial Average (DJIA) variables negatively affect ISSI. In addition, FEVD test the world oil price has more dominant contribution than other variable 6.02%. Keywords: sharia capital market, macroeconomics, VECM, ISSI