Analysis of the Relationship Between the Indonesian Sharia Stock Price Index and the Sharia Stock Price Index of Malaysia, Tuki, and China
Deky Candra Saputra (a), Sri Herianingrum (b), Yusril (c), Azrul Afrillana (d)

a) Faculty of Economics and Business, University of Airlangga
*dekycandra1999[at]gmail.com
b) Faculty of Economics and Business, University of Airlangga
*sri.herianingrum[at]feb.unair.ac.id
c) Faculty of Economics and Business, University of Airlangga
*ysrlysl30[at]gmail.com
d) Faculty of Economics and Business, University of Airlangga
*azrulafril21[at]gmail.com

Abstract

The dynamics of the Islamic capital market is not an isolated activity from economic activities outside the capital market. Because it has an important role in supporting economic development in a country, especially Indonesia. The increase and decrease in the performance of the Indonesian sharia capital market (JKISSI) is influenced by various factors, both internal and external. Internally, JKISSI is influenced by domestic macroeconomic variables, while externally, the economic conditions of foreign countries also influence JKISSI movements. This research aims to analyze the relationship between the Indonesian Sharia Stock Index (JKISSI) and the Dow Jones Islamic Market Turkey Index (DJIMTR), the Dow Jones Islamic Market China/Hong Kong Titans 30 Index (DJICHK), and the Dow Jones Islamic World Malaysia Titans 25 Index (DJMY25). The method used in this research is the Vector Error Correction Model (VECM), with a monthly time series from January 2016 to May 2022. The research results show that in the short term all independent variables have no significant effect on JKISSI. Meanwhile, in the long term, DJIMTR and DJICHK have a significant negative influence on JKISSI. Meanwhile, DJMY25 has a significant positive influence on JKISSI.

Keywords: Sharia Capital Market, Vector Error Correction Model, Dow Jones Islamic Market

Topic: Islamic capital market