Dinda Azzahroh Fathimiyah and Bayu Arie Fianto, - (2020) Pengaruh Variabel Makro Ekonomi Dan Dow Jones Islamic Market Index Terhadap Harga Saham Pada Indeks Saham Syariah Indonesia (Issi) Tahun 2012-2019. Jurnal Ekonomi Syariah Teori dan Terapan, 7 (11). pp. 2183-2191. ISSN 2407-1935, eISSN : 2502-1508

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Abstract

This study aims to analyze the effect of inflation, exchange rates, world oil prices, world gold prices, and the Dow Jones Islamic Market Index (DJIM) on stock prices in the Indonesian Islamic stock index (ISSI) 2012 - 2019. Data used in this study is data closing price using a quantitative research approach using the Error Correction Model (ECM) method. The variables used in this study are inflation, exchange rates, world oil prices, world gold prices, and the Dow Jones Islamic Market Index (DJIM). The estimation results show that the inflation variable and world oil price, in the long run, have a significant positive effect on the ISSI stock price. Meanwhile, the world gold price, in the long run, has a significant negative effect on the ISSI stock price. However, the exchange rate and DJIM variables did not have a significant effect on the ISSI stock price. This study adds a robustness test out of sampling data consisting of 25%, 50%, 75% which shows that the application of different periods can go through the method stages and produce consistent estimates.

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