Facrhrina Putri, Sherly Annida (2024) DETERMINANTS OF MACROECONOMIC VARIABLES ON THE INDONESIAN SHARIA STOCK INDEX (ISSI) 2017-2023 PERIOD. S1 Undergraduate thesis, Universitas Darussalam Gontor.

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Abstract

The establishment of a Sharia-based economic system has the potential to increase public investment interest. The capital market plays a vital role in the global economy. Investors expect good results, halal, and market resilience and balance through these investment activities. They expect to influence in both the long and short term. One of the most popular investments is investment in Sharia-based stocks. The Islamic capital market itself in principle puts forward Islamic sharia as its main foundation. The Indonesian Sharia Stock Index (ISSI) is the dependent variable, and the independent variable of this study is the impact of macroeconomic variables on the Indonesian Sharia Stock Index (ISSI). The data taken is secondary data taken from the official websites of Bank Indonesia, the Indonesia Stock Exchange, and the Financial Services Authority. The data analysis technique used in this research is the Vector Error Correction Model (VECM) using Eviews 12. The estimation results show that there is no short-term relationship in all variables. Exchange Rate, Inflation, Interest Rate, and Money Supply have a negative and insignificant influence on ISSI. In the long term, the variables of Exchange Rate, Inflation, and Money Supply have a mutual influence and cointegration between variables. The Exchange Rate and Money Supply variables have a positive and significant effect on the ISSI, while the Inflation and Interest Rate variables have no long-term relationship or no cointegration, inflation and interest rates have a negative and insignificant effect on the ISSI. The variable that contributes most to the Indonesian Sharia Stock Index is the Exchange Rate variable by 7.68%, then the Money Supply variable 0.29%, the Interest Rate variable by 0.28% and the Iflation variable by 0.01%. Further research is expected to add other macroeconomic variables and use different data analyses to be more varied.

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