Main Article Content

Abstract

Purpose: In this study, efforts have been made to explore the relationship between macroeconomic variables and the Jakarta Islamic Index during the period 2015.1-2019.8.

Methodology: the formulated model is a model to show the relationship. Long-term and short-term analysis using the classic assumption test and unit root test, co-integration test, and Granger causality test in the context of the ECM framework. For this purpose, macroeconomic variables are used as a measure of influence on the Jakarta Islamic Index

Findings: The results showed. Based on the analysis that has been done through cointegration and ECM tests, there is a long-term relationship between inflation variables, BI interest rates, foreign exchange rates, and the money supply with JII in 2015.1-2019.8. There is a short-term relationship between inflation variables, BI interest rates, foreign exchange rates, and the money supply with JII in 2015.1-2019.8.

Originality/contributions: This is the first study using JII in Indonesia which was registered at the Islamic University of Indonesia in 2015.1-2019.8

Keywords

Macroeconomic variables ECM sharia shares JII

Article Details

How to Cite
Yahya, T. (2020). The effect of macro variables on the Jakarta Islamic Index. Asian Journal of Islamic Management (AJIM), 2(1), 36–45. https://doi.org/10.20885/ajim.vol2.iss1.art4