Main Article Content
Abstract
Purpose – This study aims to perform the short-term and long-term relationships between net asset value of Islamic mutual funds within macroeconomic variables, to analyze responses towards the economic shock, and to analyze the composition of the net asset value of Islamic mutual funds within selected macroeconomic variables.
Methodology – Monthly data over the 2015-2019 period were analyzed using the Vector Error Correction Model (VECM), impulse response test, and variance decomposition test.
Findings – The results show that inflation, money supply, and gross domestic products had a positive and significant effect on the net asset value of Islamic mutual funds, on the other hand, the rupiah exchange rate had a negative thus insignificant effect on the net asset value of Islamic mutual funds.
Research limitation/implication – The main limitation of this research is the lack of a variable that represents the Islamicity index, which can differentiate the driven factors of FDI in Muslim and non-Muslim organization countries.
Practical implication – This study suggests that the society and the government should collaborate to maintain the stability of the rupiah exchange rate by buying domestic products, strengthening the real sector.
Originality – Here we provide an update data of macroeconomics variables dynamics (e.g. GDP, inflation, exchange rate, and money supply) and its implication to Islamic mutual funds – i.e. net asset value over 2015-2019. We used a novel timeseries analytical approach (VECM) to estimate the magnitude of macroeconomics effects to Islamic mutual funds in Indonesia.
Article Details
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References
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References
Muhammad, R., & Triharyono, C. (2019). Analysis of islamic banking financial performance before, during and after global financial crisis. Jurnal Ekonomi & Keuangan Islam, 5(2), 80–86. https://doi.org/10.20885/jeki.vol5.iss2.art5
Mukherjee, T. K., & Naka, A. (1995). Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model. Journal of Financial Research, 18(2), 223–237. https://doi.org/10.1111/j.1475-6803.1995.tb00563.x
Nandari, H. U. D. R. A. (2017). Pengaruh inflasi, kurs dan BI rate terhadap nilai aktiva bersih (NAB) reksadana syariah di Indonesia (periode 2010-2016). An-Nisbah: Jurnal Ekonomi Syariah, 4(1), 51–73. https://doi.org/10.21274/an.2017.4.1.51-74
Nugroho. (2009). Analisis Faktor-faktor Penentu Pembiayaan Perbankan Syariah di Indonesia: Aplikasi Model Vector Error Correction. Institut Pertanian Bogor.
Otoritas Jasa Keuangan. (2019a). Mengenal Pasar Modal Syariah. Retrieved from https://ojk.go.id/id/kanal/syariah/tentang-syariah/pages/pasar-modal-syariah.aspx. (accessed December 15, 2019)
Otoritas Jasa Keuangan. (2019b). Statistik Reksa Dana Syariah 2019 Desember. Retrieved from https://www.ojk.go.id/id/kanal/syariah/data-dan-statistik/reksa-dana-syariah/Pages/-Statistik-Reksa-Dana-Syariah---Desember-2019.aspx. (accessed February 20, 2020)
Otoritas Jasa Keuangan. (2019c). Statistik Reksa Dana Syariah 2019 Oktober. Retrieved December 14, 2019, Retrieved from https://www.ojk.go.id/id/kanal/syariah/data-dan-statistik/reksa-dana-syariah/Pages/-Statistik-Reksa-Dana-Syariah---Oktober-2019.aspx. (accessed December 14, 2019)
Otoritas Jasa Keuangan. (2020). Konsep Dasar Pasar Modal Syariah. Retrieved from https://www.ojk.go.id/id/kanal/pasar-modal/Pages/Syariah.aspx. (accessed January 19, 2020)
Panagiotidis, T., & Printzis, P. (2016). On the macroeconomic determinants of the housing market in Greece: a VECM approach. International Economics and Economic Policy, 13, 387–409. https://doi.org/10.1007/s10368-016-0345-3
Pangestu, M., & Dewi, G. (2018). 13. Indonesia and the digital economy: creative destruction, opportunities and challenges. In Digital Indonesia. https://doi.org/10.1355/9789814786003-019
Pradhan, R. P., & Bagchi, T. P. (2013). Effect of transportation infrastructure on economic growth in India: The VECM approach. Research in Transportation Economics, 381(1), 139–148. https://doi.org/10.1016/j.retrec.2012.05.008
Rachmawati, M., & Laila, N. (2015). Faktor Makro Ekonomi yang mempengaruhi pergerakan harga saham pada indeks saham Syariah Indonesia (ISSI) di Bursa Efek Indonesia (BEI). Jurnal Ekonomi Syariah Teori Dan Terapan, 2(11), 928–942. https://doi.org/http://dx.doi.org/10.20473/vol2iss201511pp%205p
Ristekdikti. (2018). Era Revolusi Industri 4.0 Saatnya Generasi Millenial Menjadi Dosen Masa Depan. Sumber Daya IPTEK Dan DIKTI. Retrieved from http://sumberdaya.ristekdikti.go.id/index.php/2018/01/30/era-revolusiindustri-4-0-saatnya-generasi-millenial-menjadi-dosen
Rodoni, A., Salim, M.A., Amalia, E., & Rakhmadi, R.S. (2017). Comparing Efficiency and Productivity in Islamic Banking: Case Study Indonesia, Malaysia and Pakistan. Al-Iqtishad: Journal of Islamic Economics, 9(2), 227–242. https://doi.org/10.15408/aiq.v9i2.5153
Shahbaz, M., Hye, Q. M. A., Tiwari, A. K., & Leitão, N. C. (2013). Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia. Renewable and Sustainable Energy Reviews, 25, 109–121. https://doi.org/10.1016/j.rser.2013.04.009
Siswantoro, D. (2012). Is 'not-real' price lawful?: The case of Islamic (sukuk) mutual funds in Indonesia during financial crisis. Journal of Islamic Accounting and Business Research, 3(2), 162–177. https://doi.org/10.1108/17590811211265966
Sujoko. (2009). Analisis Pengaruh Suku Bunga, Inflasi, Kurs Mata Uang, IHSG dan Dana Kelolaan Terhadap Imbal Hasil Reksadana Saham. Jurnal Ilmu Ekonomi Dan Manajemen, 5(2), 133–166. Retrieved from https://media.neliti.com/media/publications/242683-analisis-pengaruh-suku-bunga-inflasi-kur-62c9eba7.pdf
Suyyinah, S., & Affandi, A. (2018). The analysis of relationship between return rate on deposit of Islamic bank and conventional bank in Indonesia. Jurnal Ekonomi & Keuangan Islam, 4(1), 22–30. https://doi.org/10.20885/jeki.vol4.iss1.art3
The World Bank & Climate Investment Funds. (2013). Financing Renewable Energy: Options for Developing Financing Instruments Using Public Funds. Energy for Development. https://www.climateinvestmentfunds.org/knowledge-documents/financing-renewable-energy-options-developing-financing-instruments-using-public
Wahyuningtyas, S. Y. (2016). The online transportation network in Indonesia: A pendulum between the sharing economy and ex ante regulation. Competition and Regulation in Network Industries, 17(3), 260–280. https://doi.org/10.1177/178359171601700304
Wu, M. H., Tsai, W. C., & Chen, M. L. (2016). The effect of monetary policies on the relationship between advertising and mutual fund flows. Asia-Pacific Journal of Financial Studies, 45, 673–704. https://doi.org/10.1111/ajfs.12148