The Islamic Capital Market Volatility: A Comparative Study Between in Indonesia and Malaysia

Abstract

This study attempts to examine the short-term and long-term relationship among selected global anddomestic macroeconomic variables fromeach country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selectedmacroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECMJEL Classification: E52, E44

The Effectiveness of Monetary Policy Towards Stock Index Case Study : Jakarta Islamic Index 2006-2014

“…If birate rose by one percent, the JII shares will decrease by 74.7714 percent. Results of this research was supported by Antonio et al (2013) which shows that birate have a significant negative effect on the JII. JII response to birate occurs due to changes in interest rates is information for investors related to investment returns.…”

“…If the exchange rate rose by 1 percent then JII stocks will fall by 779.8585/100 = 7.7985 percent. Result of this research was supported by Antonio et al (2013) Which shows that the exchange rate has a significant negative effect on the JII. The weakening rupiah trigger a rise in commodity prices, including production product supported this research.…”

“…The higher foreign interest rate compare to domestic interest rate results in capital outflow, because investors think it would be more profitable for them to invest abroad rather than inside the country. Regarding to that issue, the rise of foreign interest rate while domestic interest rate fall will negatively impact domestic capital market (Antonio et al, 2013) In the reserach of Handayani (2007) shows that interest rate SBI, exchange rate in Dollar US and inflation affect the fluctuation of Indeks Harga Saham Gabungan (IHSG). Interest rate SBIhas a negative impact towards IHSG, meanwhile exchange rate of Dollar US and inflation has a positive influence.…”

Dampak Guncangan Variabel Makroekonomi terhadap Beta Indeks Sektoral di BEI

“…Sektor pertambangan, industri dasar dan properti merupakan sektor yang merespon negatif guncangan dari inflasi kondisi terjadi karena tingkat inflasi Indonesia yang cukup terkendali sehingga tidak menimbulkan kekhawatiran investor dalam maupun luar negeri (Antonio et al 2013). Stabilnya tingkat inflasi oleh investor juga disinyalir sebagai peningkatan pertumbuhan ekonomi Indonesia.…”

“…Hasil menunjukan bahwa, guncangan oil price direspon positif oleh beta sektor pertambangan, industri dasar dan properti. Hasil ini berkesuaian dengan hipotesis dan mendukung penelitian yang dilakukan sebelumnya oleh Witjaksono (2010); Lenny et al (2008); dan Antonio et al (2013).…”