Macroeconomic Variables on Indonesian Sharia Capital Market

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 I...

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Main Authors: Taufik Nugroho, Aam S. Rusydiana
Format: Article
Language:English
Published: IAIN Surakarta 2019-01-01
Series:Shirkah
Online Access:http://shirkah.or.id/new-ojs/index.php/home/article/view/198
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author Taufik Nugroho
Aam S. Rusydiana
author_facet Taufik Nugroho
Aam S. Rusydiana
author_sort Taufik Nugroho
collection DOAJ
description 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
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spelling doaj.art-df48c09c5f6a4fafbe23272ffa55a3ce2023-01-02T22:37:12ZengIAIN SurakartaShirkah2503-42352503-42432019-01-013210.22515/shirkah.v3i2.19844Macroeconomic Variables on Indonesian Sharia Capital MarketTaufik Nugroho0Aam S. Rusydiana1Sharia Economic Applied Research and Training (SMART) Consulting IndonesiaSharia Economic Applied Research and Training (SMART) IndonesiaThis 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, ISSIhttp://shirkah.or.id/new-ojs/index.php/home/article/view/198
spellingShingle Taufik Nugroho
Aam S. Rusydiana
Macroeconomic Variables on Indonesian Sharia Capital Market
Shirkah
title Macroeconomic Variables on Indonesian Sharia Capital Market
title_full Macroeconomic Variables on Indonesian Sharia Capital Market
title_fullStr Macroeconomic Variables on Indonesian Sharia Capital Market
title_full_unstemmed Macroeconomic Variables on Indonesian Sharia Capital Market
title_short Macroeconomic Variables on Indonesian Sharia Capital Market
title_sort macroeconomic variables on indonesian sharia capital market
url http://shirkah.or.id/new-ojs/index.php/home/article/view/198
work_keys_str_mv AT taufiknugroho macroeconomicvariablesonindonesianshariacapitalmarket
AT aamsrusydiana macroeconomicvariablesonindonesianshariacapitalmarket