ANALISIS DINAMIS PENGARUH INDIKATOR MAKROEKONOMI TERHADAP KAPITALISASI PASAR JAKARTA ISLAMIC INDEX (JII): PENDEKATAN ERROR CORRECTION MODEL (ECM)
DOI:
https://doi.org/10.70197/jebisma.v3i2.151Keywords:
Kurs, BI 7-Day Reverse Repo Rate, Inflasi, Kapitalisasi Pasar, Jakarta Islamic Index, Error Correction ModelAbstract
The purpose of this study is to examine how the market capitalization of the Jakarta Islamic Index (JII) was affected by inflation, the BI 7-Day Reverse Repo Rate (BI7DRR), and the currency rate between January 2016 and December 2024. The Financial Services Authority (OJK) and Bank Indonesia (BI) are the sources of secondary data used in this study. The Error Correction Model (ECM), an analytical technique that may detect both short-term and long-term associations as well as the process of adjustment towards market equilibrium, is employed. The findings indicate that while the exchange rate has a negligible short-term impact on JII market capitalization, it has a favorable and large long-term impact. Although not in the short term, the BI7DRR interest rate has a favorable and noteworthy impact over the long run. In the meantime, there is no discernible short- or long-term impact of inflation on JII market capitalization. These results highlight how crucial interest rate policy and currency rate stability are to fostering the growth of Indonesia's Islamic capital market.
Downloads
References
Agestiani, A., & Sutanto, H. A. (2019). Pengaruh Indikator Makro Dan Harga Emas Dunia Terhadap Indeks Harga Saham Syariah (Jakarta Islamic Index). ECONBANK: Journal of Economics and Banking, 1(1), 26–38. https://doi.org/10.35829/econbank.v1i1.1
Al-Arif, M. N. R., & Rahmawati, Y. (2018). Manajemen risiko perbankan syariah : (suatu pengantar) (Cet. I: Ma). Pustaka Setia. https://opac.perpusnas.go.id/DetailOpac.aspx?id=1150099
Al Ghifari, R. A., Kristianingsih, K., & Tamara, D. A. D. (2021). Analisis Pengaruh Variabel Makroekonomi Terhadap Jakarta Islamic Index. Journal of Applied Islamic Economics and Finance, 2(1), 75–83. https://doi.org/10.35313/jaief.v2i1.2871
Alex, K., Bodie, Z., & Marcus, A. J. (2014). Manajemen Portofolio dan Investasi (Edisi Ke 9). Salemba Empat. https://digilib.ub.ac.id/opac/detail-opac?id=13206
Angesti, N. M., & Setyadharma, A. (2022). The Effect of the Covid-19 Pandemic and Macroeconomic Variables on the Jakarta Islamic Index (JII) in Indonesia Stock Exchange. Management Analysis Journal, 11(2), 124–133. http://maj.unnes.ac.id
As Shadiqqy, M. (2020). Pengaruh Indeks Produksi Industri (IPI), Sertifikat Bank Indonesia Syariah (SBIS), Inflasi dan Nilai Tukar terhadap Indeks Saham Syariah Indoneisa (periode 2012-2018). Panangkaran: Jurnal Penelitian Agama Dan Masyarakat, 3(2), 39. https://doi.org/10.14421/panangkaran.2019.0301-03
Balthazaar, D. (2021). Macroeconomic Variables and Stock Market Performance in Sri Lanka: An ARDL Bound Testing Approach. South Asian Journal of Business Insights, 1(2), 43–58. https://doi.org/10.4038/sajbi.v1i2.27
Beaver, W. H. (1989). Financial Reporting: An Accounting Revolution ( (2nd Editio). Prentice Hall. https://archive.org/details/financialreporti0000beav_b4e9
Boloupremo, T., & Agboufa, M. (2023). Impact of Inflation, Interest Rates, Exchange Rates and GDP Growth on Stock Market Capitalization in Nigeria By. African Banking and Finance Review Journal (ABFRJ) International, 7(7), 16–26.
Candera, M. (2024). European Journal of Science, Innovation and Technology EJSIT Artificial Intelligence in Education. 4(1), 207. www.ejsit-journal.com
Dian Wahyudi, & Abdul Qoyum. (2023). Macroeconomic Variables and Jakarta Islamic Index (JII) in Indonesia: an Approach of Error Correction Model. Sunan Kalijaga: Islamic Economics Journal, 1(2), 47–70. https://doi.org/10.14421/skiej.2022.1.2.1752
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74(366), 427. https://doi.org/10.2307/2286348
Pasar Modal dan Pedoman Umum Penerapan Prinsip Syariah di Bidang Pasar Modal, Dewan Syariah NaDSN-MUI. “Pasar Modal Dan Pedoman Umum Penerapan Prinsip Syariah Di Bidang Pasar Modal.” Dewan Syariah Nasional MUI (2008): 278–279.sional MUI 278 (2003).
Engle, R. F., & Granger, C. W. J. (1987a). Co-Integration and Error Correction : Representation , Estimation, and Testing. 55(2), 251–276.
Engle, R. F., & Granger, C. W. J. (1987b). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251. https://doi.org/10.2307/1913236
Ewubare, D. B., Chukwu, E. S., & Ezekwe, C. I. (2022). Exploring the Role of Exchange Rate in Driving Market Capitalization in Nigeria. Saudi Journal of Economics and Finance, 6(6), 200–207. https://doi.org/10.36348/sjef.2022.v06i06.002
Fadhilah, N., & Sukmana, R. (2017). Pengaruh Sertifikat Bank Indonesia Syariah (SBIS), Jakarta Islamic Index (JII), Tingkat Inflasi, dan Index Harga Saham Gabungan (IHSG) Terhadap Nilai Tukar: Pendekatan Autoregressive Distributed LAG (ARDL). Jurnal Ekonomi Syariah Teori Dan Terapan, 4(10), 833. https://doi.org/10.20473/vol4iss201710pp833-846
Friedman, M. (1956). Studies in the quantity theory of money. Chicago The University of Press. https://psb.feb.ui.ac.id/index.php?p=show_detail&id=47172
Friedman, M. (1968). The role of monetary policy. The Role of Monetary Policy, March, 1–93. https://doi.org/10.4324/9781912281091
Fuadi, A. (2020). INFLASI DAN NILAI TUKAR RUPIAH TERHADAP INDEKS SAHAM SYARIAH INDONESIA. Jurnal Akuntansi Bisnis Pelita Bangsa, 5(01), 1–12. https://doi.org/10.37366/akubis.v5i01.102
Ghassani, R. D., & Raditya Sukmana. (2020). Pengaruh Variabel Makroekonomi Terhadap Jakarta Islamic Index (Jii) Periode Januari 2004 Hingga Desember 2017. Journal GEEJ, 7(2), 372–385.
Gujarati, D. N., & Porter., D. C. (2015). Dasar-dasar Ekonometrika (Buku 1). Salemba Empat. http://libstie.latansamashiro.ac.id//index.php?p=show_detail&id=1186
Hardi, I., Idroes, G. M., Utami, R. T., Dahlia, P., Mirza, M. A. F., Humam, R. A., Chairunnisa, R., Hardia, N. A. K., & Mahdani, R. (2023). Dynamic Impact of Inflation and Exchange Rate in Indonesia’s Top 10 Market Capitalization Companies: Implications for Stock Prices. Indatu Journal of Management and Accounting, 1(2), 51–59. https://doi.org/10.60084/ijma.v1i2.110
Hartono, J. (2022). Portofolio dan Analisis Investasi (E. K. 2 (ed.)). Andi. https://books.google.co.id/books/about/PORTOFOLIO_DAN_ANALISIS_INVESTASI.html?id=s7mBEAAAQBAJ&redir_esc=y
Heri Sasono, & Nurhanan Said. (2023). Analisis Pengaruh Variabel Makro Terhadap IHSG di Indonesia Periode 2010 Sampai 2021. Lokawati : Jurnal Penelitian Manajemen Dan Inovasi Riset, 1(4), 11–25. https://doi.org/10.61132/lokawati.v1i4.124
Hidayat, F. F., Rotinsulu, T. O., & Mandeij, D. (2021). Analisis Pengaruh Variabel-Variabel Ekonomi Makro Terhadap Indeks Harga Saham Gabungan Di Bursa Efek Indonesia Periode 2016:Q1-2020:Q4. Jurnal Berkala Ilmiah Efisiensi, 21(06).
Hidayati, N., & Sukmaningrum, P. S. (2021). FAKTOR YANG MEMPENGARUHI VOLATILITAS HARGA SAHAM PADA EMITEN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX. Jurnal Ekonomi Syariah Teori Dan Terapan, 8(6), 706. https://doi.org/10.20473/vol8iss20216pp706-713
Igoni, S., Henry Ogiri, I., & Orlu, L. (2020). Perceived Macroeconomic Factors and Stock Market Capitalization: Experience from the Nigerian Economy Perspective. Asian Journal of Economics and Empirical Research, 7(1), 105–114. https://doi.org/10.20448/journal.501.2020.71.105.114
Junaidi, A., Wibowo, M. G., & Hasni. (2020). Pengaruh Variabel Ekonomi Makro Terhadap Indeks Saham Syariah Indonesia (ISSI) Periode Tahun 2014-2019. Jurnal Ekonomi Dan Bisnis, 4(2), 273–284.
Kamal, M., Kasmawati, Rodi, Thamrin, H., & Iskandar. (2021). PENGARUH TINGKAT INFLASI DAN NILAI TUKAR (KURS) RUPIAH TERHADAP INDEKS SAHAM SYARIAH INDONESIA (ISSI). Jurnal Tabarru’: Islamic Banking and Finance, 4(2), 521–531. https://doi.org/10.25299/jtb.2021.vol4(2).8310
Karim, A. (2013). Bank Islam Analisis Fiqih dan Keuangan. Raja Grafindo Pesrasa.
Krugman, P. R., Obstfeld, M., & Melitz, M. J. (2018). International Economics: Theory & Policy (Edisi 11). Education Limited Edinburgh Gate Harlow CM20 2JE. https://opaclib.inaba.ac.id/index.php?p=show_detail&id=1374&keywords=
Maharani, R. A., Taufik, R., & Kurniawati, R. (2024). Determinan Faktor-faktor Ekonomi Makro terhadap Indeks Harga Saham Gabungan : Studi Kasus Pada Bursa Efek Indonesia Periode 2017-2022. INNOVATIVE: Journal Of Social Science Research, 4(1), 6235–6246. https://j-innovative.org/index.php/Innovative
Maulana, A., & Maris, Y. (2022). PENGARUH INFLASI, NILAI TUKAR, DAN BI RATE TERHADAP INDEKS SAHAM SYARIAH INDONESIA (ISSI). WORLDVIEW ( Jurnal Ekonomi Bisnis Dan Sosial Sains ), 1(1), 35–48. https://doi.org/10.38156/worldview.v1i1.115
Mawaddah, R. Z., Widyaningtias, A., & Amaroh, S. (2024). Pengaruh Inflasi, Nilai Tukar, dan Produk Domestik Bruto terhadap Indeks Harga Saham di Jakarta Islamic Index. JIOSE: Journal of Indonesian Sharia Economics, 3(1), 1–16. https://doi.org/10.35878/jiose.v3i1.805
Molefhi, K. (2021). The Impact of Macroeconomic Variables on Capital Market Development in Botswana’s Economy. IX(Ii), 204–222.
Nachrowi, N. D., & Usman, H. (2006). Pendekatan populer dan praktis ekonometrika untuk analisis ekonomi dan keuangan. Lembaga penerbit Fakultas Ekonomi Universitas Indonesia. https://inlislite.uin-suska.ac.id/opac/detail-opac?id=19526
Natsir, M. (2014). Ekonomi Moneter & Kebank Sentralan. Mitra Wacana Media. https://inlislite.dispustaka.sumselprov.go.id/opac/detail-opac?id=41865
Nugroho, I., Hidayatullah, M. S., & Jayanti, A. A. (2023). The Effect of Inflation, Exchange Rate, and BI Rate on the Indonesian Sharia Stock Index. Journal of Islamic Economics and Finance Studies, 4(1), 114–132. https://doi.org/10.47700/jiefes.v4i1.5804
Olivier J. Blanchard, D. R. J. (2018). Macroeconomics. Pearson. https://books.google.co.id/books?id=qfDmjgEACAAJ
Otoritas Jasa Keuangan. (2025). Data Rata-rata Kapitalisasi Pasar Jakarta Islamic Index (JII) Tahun 2016-2024. Otoritas Jasa Keuangan Republik Indonesia. https://ojk.go.id/id/kanal/syariah/data-dan-statistik/saham-syariah/Pages/Statistik-Saham-Syariah---Oktober-2024.aspx
Pramana, M. S., Pura, I. P. I. P., Idawati, I. A. A., Utama, I. K. A. B., & Baretto, V. N. (2024). The Effect of Inflation, Interest Rates, and Exchange Rates on The Jakarta Composite Index. Jurnal Manajemen Bisnis, 11(1), 151–163. https://doi.org/10.33096/jmb.v11i1.704
Purnamasari, T. R., Imamah, N., & Wahyuni, S. T. (2021). Pengaruh Inflasi, Suku Bunga BI, Tingkat Bagi Hasil dan Office Channeling terhadap Total Aset Perbankan Syariah di Indonesia. Bharanomics, 1(2), 121–128. https://doi.org/10.46821/bharanomics.v1i2.161
Puspasari, C. D. (2023). Pengaruh Variabel Makroekonomi dan Kapitalisasi Pasar terhadap Return On Equity (ROE) Saham Syariah (Studi Pada jakarta Islamic Index (JII) Periode 2017-2021). Jurnal Muamalat Indonesia - Jmi, 3(2), 308–322. https://doi.org/10.26418/jmi.v3i2.65394
Restiawan, S. A., & Asytuti, R. (2020). EVALUASI FAKTOR EKONOMI MAKRO DALAM MEMPENGARUHI HARGA SAHAM. AKURASI: Jurnal Riset Akuntansi Dan Keuangan, 2(1), 21–28. https://doi.org/10.36407/akurasi.v2i1.155
Schumpeter, J. A., & Keynes, J. M. (1936). The General Theory of Employment, Interest and Money. Journal of the American Statistical Association, 31(196), 791. https://doi.org/10.2307/2278703
Setiawan, S. A. (2020). Does Macroeconomic Condition Matter for Stock Market? Evidence of Indonesia Stock Market Performance for 21 Years. Jurnal Perencanaan Pembangunan: The Indonesian Journal of Development Planning, 4(1), 27–39. https://doi.org/10.36574/jpp.v4i1.105
Shehab, A. Al. (2023). Macroeconomic determinants of stock market returns: Evidence from Oman. Asian Economic and Financial Review, 13(11), 801–817. https://doi.org/10.55493/5002.v13i11.4866
Shiller, R. J. (2015). Iraconal Excitement: Third Edition Revised and Expanded (Edisi Ke 3). Princeton University Press. https://books.google.co.id/books/about/Irrational_Exuberance.html?id=_aIpBQAAQBAJ&redir_esc=y
Sihombing, P., & Samsudin, I. (2024). Research of Economics and Business Determinants of the Developed Country Index and Indonesian Macroeconomic on the IDX Growth 30 and IDX Value 30. 2(2), 78–93.
Siregar, B. G., & Muhammad Isa. (2020). Variabel Makro Ekonomi Dalam Mempengaruhi Perkembangan Saham Syariah Di Jakarta Islamic Index (Jii) Periode 2013-2017. Jurnal Penelitian Ekonomi Akuntansi (JENSI), Vol 4 No 1. https://doi.org/https://doi.org/10.33060/jensi.v4i1
Soemitra, A. (2014). Masa Depan Pasar Modal Syariah di Indonesia. Prenada Media Group. https://books.google.co.id/books/about/Masa_Depan_Pasar_Modal_Syariah_di_Indone.html?id=5KjJDwAAQBAJ&redir_esc=y
Solikin, & Suseno. (2002). Penyusunan Statistik Uang Beredar. Bank Indonesia. https://psb.feb.ui.ac.id/index.php?p=show_detail&id=50379
Sukirno, S. (2016). Makroekonomi Teori Pengantar. Rajawali Pers. https://elibrary.bsi.ac.id/readbook/201062/makroekonomi-teori-pengantar
Suliyani, A., & Benarda, B. (2023). Pengaruh Ukuran Perusahaan, Inflasi Dan Suku Bunga SBI Terhadap Return Saham Syariah Di Jakarta Islamic Index (JII) Periode 2016-2020. JPSDa: Jurnal Perbankan Syariah Darussalam, 3(1), 22–30. https://doi.org/10.30739/jpsda.v3i1.1646
Tandelilin, E. (2010). Portofolio Dan Investasi : Teori Dan Aplikasi (Ed. 1, Cet). Kanisius. https://inlislite.uin-suska.ac.id/opac/detail-opac?id=17692
Tumundo, S. R., Falah, S., & Pangayow, B. J. . (2020). PENGARUH SUKU BUNGA REVERSE REPO RATE DAN INFLASI TERHADAP RETURN SAHAM (Studi Empiris Pada Perusahaan Sektor Keuangan Yang Terdaftar Di Bursa Efek Indonesia Periode 2016-2018). JURNAL AKUNTANSI DAN KEUANGAN DAERAH, 15(1). https://doi.org/10.52062/jakd.v15i1.1463
Wooldridge, J. M. (2013). Introductory Econometrics: A Modern Approach (Edisi Ke 5). South-Western Cengage Learning.
Yusuf, A., Gwadabe, M., & Ukashatua, A. Y. (2025). the Impact of Macroeconomic Variables on Stock Market Index in Nigeria. African Journal of Management Sciences (AJMS), 1(1), 160–175. https://www.researchgate.net/publication/326403154
Zahidal Hakim, M. (2020). Pengaruh Makro Ekonomi Terhadap Indeks Saham Di Jakarta Islamic Index (Jii). I-ECONOMICS: A Research Journal on Islamic Economics, 6(2), 194–206.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2025 Sigit Pramono, Titi
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
