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Abstract
This paper aims to analyse macro-economic variables such as industrial production index (IPI), exchange rate, gross domestic product (GDP), and inflation which can affect the movement of Islamic stocks price in order to contribute the sustainable development goals in Indonesia. The methodology of this study is quantitative approach with Error Correction Model (ECM). The data is obtained from Bank Indonesia, Central bureau of statistics Indonesia and Indonesia Stock Exchange during period January 2013 to December 2018 quarterly. The findings showed that IPI has positive effect, while the exchange rate has a negative effect on Islamic stock price. Also GDP and inflation variables has negative in some companies and positive effect in other companies.
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References
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- Asmy, M., Rohilina, W., Hassama, A., & Fouad, M. (2009). Effects of Macroeconomic Variables on Stock Prices in malaysia: An Approach of Error Correction Model. Journal Munich Personal RePEc Archieve (MPRA).
- Ayuningtyas, 2017, Factors affecting the price of corporate Islamic bonds in Indonesia, January 2010 - July 2015, Journal of Islamic Economics Lariba, Volume 3 Issue 1 January-June 2017.
- BAZNAS and UNDP Indonesia. (2017). The Role of Zakat in Supporting the Sustainable
- Harsono, Ardelia Rezeki dan Saparila Worokinasih, 2018, Pengaruh Inflasi, Suku Bunga, Dan Nilai Tukar Rupiah Terhadap Indeks Harga Saham Gabungan (Studi Pada Bursa Efek Indonesia Periode 2013-2017), Jurnal Administrasi Bisnis (JAB)|Vol. 60 No. 2 Juli 2018.
- Husnul , Raden Rustam Hidayat, Sri Sulasmiyati, 2014, Analisis Pengaruh Inflasi, Kurs (Idr/Usd), Produk Domestik Bruto Dan Harga Emas Dunia Terhadap Indeks Harga Saham Gabungan (Studi Pada Indonesia Periode 2008 - 2016), Jurnal Administrasi Bisnis (JAB)|Vol. 53 No. 1 Desember 2017.
- Junaidi, Jamal, A., & Syahnur, S. (2018). Sukuk and Endogeous Growth in Indonesia: Generalized Method of Moments Approach. Advances in Social Science, Education and Humanities Research, 633-639.
- Kementerian PPN/ Bappenas. (2019). Indonesia's Sustainable Development Projects 2019-2030. Jakarta: Bapennas.
- Kementrian Keuangan. (2018, October 14). Publikasi: Siaran Pers. Retrieved May 25, 2019, from Kementerian Keuangan Republik Indonesia Web site: https://www.kemenkeu.go.id/media/10799/siaran-pers-menkeu-jelaskan-peran-penting-keuangan-islam-dalam-mendukung-agenda-global-dan-nasional.pdf
- Kewal, 2012, Pengaruh Inflasi, Suku Bunga, Kurs, Dan Pertumbuhan Pdb Terhadap Indeks Harga Saham Gabungan, Jurnal Economia, Volume 8, Nomor 1, April 2012.
- Koop, Gary, (2004), Analysis Of Economic Data Second Edition, British Libabry Cataloguing in Publication Data.Kulsum, U., & Khuzaini. (2016). Pengaruh Risiko Sistematik, Kurs, Inflasi, Bunga terhadap Harga Saham pada Perusahaan Manufaktur. Jurnal Ilmu dan Riset Manajemen, 1-15.
- Marcus, A. J., Bodie, Z., & Kane, A. (2014). Investment (2nd ed.). (S. Empat, Trans.) New York: McGrow Hill.
- Mishkin, F. S. (2007). The Economics of Money, Banking, and Financial Market. Boston: Pearson.
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- Osamwonyi, I. O., & Evbayiro, E. I. (2012). The Relationship between Macroeconomic variables and Stock Maarket Index in Nigeria. Journal of Economics, 55-63.
- Otoritas Jasa Keuangan. (2019, February 14). Menu: Syariah: Data da Statistik: Data Sahami Syariah. Retrieved May 26, 2019, from Otoritas Jasa Keuangan Web site: https://www.ojk.go.id/id/kanal/syariah/data-dan-statistik/saham-syariah/Default.aspx
- Ozbay, E. (2009). The Relationship Between Stock Returns and Macroeconomic Factors: Evidence from Turkey. United Kingdom: University of Exeter.
- Prasetyanto , 2016, Pengaruh Produk Domestik Bruto Dan Inflasi Terhadap Indeks Harga Saham Gabungan Di Bursa Efek Indonesia Tahun 2002-2009, Jurnal Jurnal Riset Akuntansi dan Bisnis Airlangga Vol.1 No.1 2016.
- Rachmawati, M., & Laila, N. (2015). Faktor Makroekonomi yang Mempengaruhi Harga Saham pada Indeks Saham Syariah Indonesia (ISSI) di Bursa Efek Indonesia (BEI). Jurnal Ekonomi Syariah Teori dan Terapan, 928-942.
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- Rini, M. (2012). Obligasi Syariah (Sukuk) dan indikator Makroekonomi Indonesia: Sebuah Analisis Vector Error Correction Models (VECM). Bogor: Institut Pertanian Bogor.
- RRowland, & Mikail. (2013). Analisis Pengaruh Variabel Makroekonomi terhadap Indeks Saham Syariah Indonesia. Jurnal Ekonomi dan Bisnis, 117-128.
- Said, A., & Grassa, R. (2013). The Determinants of Sukuk Market Development: Does macroeconomic Factors Influences the Construction of Certain Structure of Sukuk? Journal of Applied Finance & Banking, 251-267.
- Sulastri, E. (2017). Pengaruh Makro Ekonomi terhadap Harga Saham Perusahaan Subsektor Farmasi yang Terdaftar di BEI Periode 2008-2015. Bogor: Universitas Pakuan.
- Tabloid Kontan. (2019, March 18). News: Epaper. Retrieved May 24, 2019, from Kontan Web site: https://investasi.kontan.co.id/
- United Nations. (2016). Home: Sustainable Development Goals. Retrieved May 25, 2019, from United Nations Web site: https://sustainabledevelopment.un.org/
- Vejzagic, M., & Zarafat, H. (2013). Relationship between Macroeconomic Variables and Stock Market Index: Cointegration Evidence from FTSE Bursa Malaysia Hijrah Shariah Index. Asian Journal of Management Sciences & Education, 94-108.
- Wahyuni, E. S. (2015). Analisi Faktor-faktor yang mempengaruhi Harga dan perkembangan Saham Syariah di Indonesia. Ekombis Review, 206-214.
- Yahya, M., Muhammad, F., Abu, M., & Awang, S. A. (2012). Macroeconomic variables and Malaysian Islamic Stock Market: a Time Series Analysis. Journal of Business Studies Quaterly, 1-13.
References
Abd. Madjid, M. S. (2016). The Short-run and Long-run Relationship in Indonesian Islamic Stock Returns. Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics), 1-18.
Asmy, M., Rohilina, W., Hassama, A., & Fouad, M. (2009). Effects of Macroeconomic Variables on Stock Prices in malaysia: An Approach of Error Correction Model. Journal Munich Personal RePEc Archieve (MPRA).
Ayuningtyas, 2017, Factors affecting the price of corporate Islamic bonds in Indonesia, January 2010 - July 2015, Journal of Islamic Economics Lariba, Volume 3 Issue 1 January-June 2017.
BAZNAS and UNDP Indonesia. (2017). The Role of Zakat in Supporting the Sustainable
Harsono, Ardelia Rezeki dan Saparila Worokinasih, 2018, Pengaruh Inflasi, Suku Bunga, Dan Nilai Tukar Rupiah Terhadap Indeks Harga Saham Gabungan (Studi Pada Bursa Efek Indonesia Periode 2013-2017), Jurnal Administrasi Bisnis (JAB)|Vol. 60 No. 2 Juli 2018.
Husnul , Raden Rustam Hidayat, Sri Sulasmiyati, 2014, Analisis Pengaruh Inflasi, Kurs (Idr/Usd), Produk Domestik Bruto Dan Harga Emas Dunia Terhadap Indeks Harga Saham Gabungan (Studi Pada Indonesia Periode 2008 - 2016), Jurnal Administrasi Bisnis (JAB)|Vol. 53 No. 1 Desember 2017.
Junaidi, Jamal, A., & Syahnur, S. (2018). Sukuk and Endogeous Growth in Indonesia: Generalized Method of Moments Approach. Advances in Social Science, Education and Humanities Research, 633-639.
Kementerian PPN/ Bappenas. (2019). Indonesia's Sustainable Development Projects 2019-2030. Jakarta: Bapennas.
Kementrian Keuangan. (2018, October 14). Publikasi: Siaran Pers. Retrieved May 25, 2019, from Kementerian Keuangan Republik Indonesia Web site: https://www.kemenkeu.go.id/media/10799/siaran-pers-menkeu-jelaskan-peran-penting-keuangan-islam-dalam-mendukung-agenda-global-dan-nasional.pdf
Kewal, 2012, Pengaruh Inflasi, Suku Bunga, Kurs, Dan Pertumbuhan Pdb Terhadap Indeks Harga Saham Gabungan, Jurnal Economia, Volume 8, Nomor 1, April 2012.
Koop, Gary, (2004), Analysis Of Economic Data Second Edition, British Libabry Cataloguing in Publication Data.Kulsum, U., & Khuzaini. (2016). Pengaruh Risiko Sistematik, Kurs, Inflasi, Bunga terhadap Harga Saham pada Perusahaan Manufaktur. Jurnal Ilmu dan Riset Manajemen, 1-15.
Marcus, A. J., Bodie, Z., & Kane, A. (2014). Investment (2nd ed.). (S. Empat, Trans.) New York: McGrow Hill.
Mishkin, F. S. (2007). The Economics of Money, Banking, and Financial Market. Boston: Pearson.
Munib, M. F. (2016). Pengaruh Kurs Rupiah, Inflasi dan BI Rate terhadap Harga Saham Perusahaan Sektor Perbankan di Bursa Efek Indonesia. E-Jurnal Administrasi Bisnis, 947-959.
Osamwonyi, I. O., & Evbayiro, E. I. (2012). The Relationship between Macroeconomic variables and Stock Maarket Index in Nigeria. Journal of Economics, 55-63.
Otoritas Jasa Keuangan. (2019, February 14). Menu: Syariah: Data da Statistik: Data Sahami Syariah. Retrieved May 26, 2019, from Otoritas Jasa Keuangan Web site: https://www.ojk.go.id/id/kanal/syariah/data-dan-statistik/saham-syariah/Default.aspx
Ozbay, E. (2009). The Relationship Between Stock Returns and Macroeconomic Factors: Evidence from Turkey. United Kingdom: University of Exeter.
Prasetyanto , 2016, Pengaruh Produk Domestik Bruto Dan Inflasi Terhadap Indeks Harga Saham Gabungan Di Bursa Efek Indonesia Tahun 2002-2009, Jurnal Jurnal Riset Akuntansi dan Bisnis Airlangga Vol.1 No.1 2016.
Rachmawati, M., & Laila, N. (2015). Faktor Makroekonomi yang Mempengaruhi Harga Saham pada Indeks Saham Syariah Indonesia (ISSI) di Bursa Efek Indonesia (BEI). Jurnal Ekonomi Syariah Teori dan Terapan, 928-942.
Republika. (2018, April 09). Home: Kolom. Retrieved May 26, 2019, from Republika Web site: https://www.republika.co.id/berita/kolom/wacana/18/04/08/p6vlkp440-sukuk-dan-agenda-pembangunan-berkelanjutan
Rini, M. (2012). Obligasi Syariah (Sukuk) dan indikator Makroekonomi Indonesia: Sebuah Analisis Vector Error Correction Models (VECM). Bogor: Institut Pertanian Bogor.
RRowland, & Mikail. (2013). Analisis Pengaruh Variabel Makroekonomi terhadap Indeks Saham Syariah Indonesia. Jurnal Ekonomi dan Bisnis, 117-128.
Said, A., & Grassa, R. (2013). The Determinants of Sukuk Market Development: Does macroeconomic Factors Influences the Construction of Certain Structure of Sukuk? Journal of Applied Finance & Banking, 251-267.
Sulastri, E. (2017). Pengaruh Makro Ekonomi terhadap Harga Saham Perusahaan Subsektor Farmasi yang Terdaftar di BEI Periode 2008-2015. Bogor: Universitas Pakuan.
Tabloid Kontan. (2019, March 18). News: Epaper. Retrieved May 24, 2019, from Kontan Web site: https://investasi.kontan.co.id/
United Nations. (2016). Home: Sustainable Development Goals. Retrieved May 25, 2019, from United Nations Web site: https://sustainabledevelopment.un.org/
Vejzagic, M., & Zarafat, H. (2013). Relationship between Macroeconomic Variables and Stock Market Index: Cointegration Evidence from FTSE Bursa Malaysia Hijrah Shariah Index. Asian Journal of Management Sciences & Education, 94-108.
Wahyuni, E. S. (2015). Analisi Faktor-faktor yang mempengaruhi Harga dan perkembangan Saham Syariah di Indonesia. Ekombis Review, 206-214.
Yahya, M., Muhammad, F., Abu, M., & Awang, S. A. (2012). Macroeconomic variables and Malaysian Islamic Stock Market: a Time Series Analysis. Journal of Business Studies Quaterly, 1-13.