Masrizal Masrizal, - and Miftahurrahman, - and Sri Herianingrum, - and Yayan Firmansah, - (2020) The Effect Of Country Risk And Macroeconomic On Jakarta Islamic Index. Jurnal Ekonomi dan Bisnis Islam, 6 (1). pp. 151-174. ISSN pISSN : 2442-6563 eISSN : 2525-3027

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Abstract

This study examines the impacts of Indonesia's country risks (i.e. financial risk, political risk, and economic risk), exchange rate, oil prices, and industrial production index on the Jakarta Islamic Index (JII). This research use monthly data from January 2003 to March 2016 with a quantitative research approach that applies Johansen Cointegration Test and Vector Error Correction Model (VECM) to see the long-term impact and response of shocks on certain variables. The findings show the existence of short-term and long-term causalities between macroeconomic variables and the Jakarta Islamic index. Specifically, in the long run, financial risk, oil prices, and exchange rates have a significant positive effect on Jakarta Islamic Index, while economic risks and industrial production index have a significant negative on Jakarta Islamic Index. This finding shows that investors consider financial risks, economic risks, and exchange rates in investments. This finding also tells the government that several important macroeconomic indicators need to be considered.

Item Type:	Article
Uncontrolled Keywords:	Country Risk, Macroeconomic, Jakarta Islamic Index, Vector Error Correction Model, Indonesia
Subjects:	H Social Sciences H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions:	04. Fakultas Ekonomi dan Bisnis > Ekonomi Syariah 04. Fakultas Ekonomi dan Bisnis > S2 Sains Ekonomi Islam 04. Fakultas Ekonomi dan Bisnis > S3 Ilmu Ekonomi Islam
Creators:	Creators NIM Masrizal Masrizal, - UNSPECIFIED Miftahurrahman, - UNSPECIFIED Sri Herianingrum, - NIDN0007026907 Yayan Firmansah, - UNSPECIFIED
Depositing User:	Tn Sugeng Riyanto
Date Deposited:	03 Dec 2022 03:05
Last Modified:	03 Dec 2022 03:05
URI:	http://repository.unair.ac.id/id/eprint/118999
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