Article Sidebar
Main Article Content
Abstract
The study aims to examine the linkage of monetary policy and the Islamic stock market in Indonesia. Monetary policy variables are used in this study, namely, interest rate, exchange rate, and money supply (M2). Besides, the foreign interest rate is included as measured by FFR. At the same time, the shari’a index is used, namely Jakarta Islamic Index (JII). In the analysis, this study adopts the cointegration test, Granger causality test, and VECM. This study showed a negative long-term relationship between the variable interest rate and M2 to the JII stock price. The exchange rate variable has a positive long-term relationship with the JII stock price. While the foreign interest rate variable has a short-tem relation to the JII stock price, it doesn’t have a long term relationship.
Keywords
Article Details
Copyright (c) 2019 Zainul Hasan Quthbi
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
References
Adam, P., et, al. (2016). Foreign Intrest rates and the Islamic Stock Market Integration between Indonesia and Malaysia. Iran. Econ. Rev, Vol. 21, 639-659.
Ajija, et, al. (2011). Cara Cerdas Menguasai E-views. Jakarta: Salemba Empat
Agustin, Pramita, & Mawardi, I. (2014). Perilaku Investor Muslim dalam Bertransaksi Saham di Pasar Modal. Jurnal Ekonomi Syariah Teori & Terapan, Vol. 1, 874-892.
Atgur, Musa. (2017). Causality Analysis of Monetary Policy on Stock Markets: The Case of Turkey. Journal of Knowledge Management, Economics and Information technology, Vol. 7, 1-20.
Batubara, & Saskara. (2015). Analisis Hubungan Ekspor, Impor, PDB, dan Utang Luar Negeri Indonesia Periode 1970-2013. Jurnal Ekonomi Kuantitatif Terapan, Vol. 8, 46-55.
Bosupeng, Mpho. (2014). Sensitivity of Stock Prices to Money Supply Dynamics. International Journal of Novel Research in Marketing Management and Economics, Vol. 1, 58-65.
Echekoba, et, al. (2018). Effect of Monetary Policy on the Performance of the Nigerian Capital Market (1986-2016): Stylized Facts from ARDL Approach. Advences in Research, 1-15.
Firdaus, Rahmat, &Ariyanti, M. (2011). Pengantar Teori Moneter: Serta Aplikasinya pada Sistem Ekonomi Konvensional dan Syariah. Bandung: Alfabeta.
Gottwald, Radim. (2015). The Ralationship among Stock Prices, Inflation and Money Supply in the United States. FINANCNE TRHY, Vol. 2.
Gujarati, Damodar. (2006). Dasar-Dasar Ekonometrika. Jakarta: Erlangga.
Hakansson, R. (2016). The Impact of Monetary Policy Announcements on Stock Price. Bachelor’s Thesis Universitatis Gothorum Carolinae.
Ibrahim, M., F. (2009). The Relationship Between Monetary Policy and Islamic Stock Market. Labuan e-Journal of Muamalah and Society, Vol. 3, 49-64.
Kose, Yasar. (2010). On the Causality Between Stock Prices and Exchange Rates: Evidence from Turkish Financial Market. Problem and Perspectives Management, Vol. 8, 127-135.
Maski, Ghozali. (2007). Transmisi Kebijakan Moneter: Kajian Teoritis dan Empiris. Malang: BPFE UNIBRAW.
Pantas, P., E. (2017). Guncangan Variabel Makroekonomi Terhadap Jakarta Islamic Index (JII). Jurnal Cakrawala, Vol. 12, 28-43.
Ray, Sarbapriya. (2014). Empirical Analysis on the Causal Connection Between Money Supply and Stock Price in India. American Journal of Service Science and Management. Vol. 1, 1-9
Tendelilin, Eduardus. (2000). Pasar Modal Indonesia: Problem dan Prospek. Jurnal Wahana, Vol. 3.
Warjiyo, Perry, & Juhro. (2016). Kebijakan Bank Sentral: Teori dan Praktik. Jakarta: Raja Grafindo Persada.
Williams, Trokon. (2014). The Causal Relationship Between Stock Price and Intrest Rates. University of Nairobi
Yuliadi, Imamuddin. (2008). Ekonomi Moneter. Jakarta: Indeks.
References
Adam, P., et, al. (2016). Foreign Intrest rates and the Islamic Stock Market Integration between Indonesia and Malaysia. Iran. Econ. Rev, Vol. 21, 639-659.
Ajija, et, al. (2011). Cara Cerdas Menguasai E-views. Jakarta: Salemba Empat
Agustin, Pramita, & Mawardi, I. (2014). Perilaku Investor Muslim dalam Bertransaksi Saham di Pasar Modal. Jurnal Ekonomi Syariah Teori & Terapan, Vol. 1, 874-892.
Atgur, Musa. (2017). Causality Analysis of Monetary Policy on Stock Markets: The Case of Turkey. Journal of Knowledge Management, Economics and Information technology, Vol. 7, 1-20.
Batubara, & Saskara. (2015). Analisis Hubungan Ekspor, Impor, PDB, dan Utang Luar Negeri Indonesia Periode 1970-2013. Jurnal Ekonomi Kuantitatif Terapan, Vol. 8, 46-55.
Bosupeng, Mpho. (2014). Sensitivity of Stock Prices to Money Supply Dynamics. International Journal of Novel Research in Marketing Management and Economics, Vol. 1, 58-65.
Echekoba, et, al. (2018). Effect of Monetary Policy on the Performance of the Nigerian Capital Market (1986-2016): Stylized Facts from ARDL Approach. Advences in Research, 1-15.
Firdaus, Rahmat, &Ariyanti, M. (2011). Pengantar Teori Moneter: Serta Aplikasinya pada Sistem Ekonomi Konvensional dan Syariah. Bandung: Alfabeta.
Gottwald, Radim. (2015). The Ralationship among Stock Prices, Inflation and Money Supply in the United States. FINANCNE TRHY, Vol. 2.
Gujarati, Damodar. (2006). Dasar-Dasar Ekonometrika. Jakarta: Erlangga.
Hakansson, R. (2016). The Impact of Monetary Policy Announcements on Stock Price. Bachelor’s Thesis Universitatis Gothorum Carolinae.
Ibrahim, M., F. (2009). The Relationship Between Monetary Policy and Islamic Stock Market. Labuan e-Journal of Muamalah and Society, Vol. 3, 49-64.
Kose, Yasar. (2010). On the Causality Between Stock Prices and Exchange Rates: Evidence from Turkish Financial Market. Problem and Perspectives Management, Vol. 8, 127-135.
Maski, Ghozali. (2007). Transmisi Kebijakan Moneter: Kajian Teoritis dan Empiris. Malang: BPFE UNIBRAW.
Pantas, P., E. (2017). Guncangan Variabel Makroekonomi Terhadap Jakarta Islamic Index (JII). Jurnal Cakrawala, Vol. 12, 28-43.
Ray, Sarbapriya. (2014). Empirical Analysis on the Causal Connection Between Money Supply and Stock Price in India. American Journal of Service Science and Management. Vol. 1, 1-9
Tendelilin, Eduardus. (2000). Pasar Modal Indonesia: Problem dan Prospek. Jurnal Wahana, Vol. 3.
Warjiyo, Perry, & Juhro. (2016). Kebijakan Bank Sentral: Teori dan Praktik. Jakarta: Raja Grafindo Persada.
Williams, Trokon. (2014). The Causal Relationship Between Stock Price and Intrest Rates. University of Nairobi
Yuliadi, Imamuddin. (2008). Ekonomi Moneter. Jakarta: Indeks.