Macroeconomic Determinants and Global Islamic Market Linkages of the Jakarta Islamic Index

Rahmat Fitriansyah, Mohamad Soleh Nurzaman

Abstract


Amidst significant volatility and a sustained decline over the past decade, the Jakarta Islamic Index (JII) performance is closely linked to domestic macroeconomic conditions and global Islamic equity trends. This study employs Vector Autoregression (VAR) and Vector Error Correction Model (VECM) methodologies to analyze the short- and long-term impacts of key macroeconomic indicators—Bank Indonesia interest rate (BI Rate), Consumer Price Index (CPI), Rupiah exchange rate (ER), global oil prices (CO), and Dow Jones Islamic Market (DJIM) indices from the US, Europe, and Japan—on the JII. Short-term findings reveal negative effects from the BI Rate and DJIM Europe, and positive impacts from the CPI and DJIM Japan. In the long term, ER, CO, and DJIM Japan negatively influence the JII, while DJIM US provides positive contributions. Significant contributors to JII fluctuations include DJIM Japan, CPI, and CO, with adverse responses to BI Rate and DJIM US shocks. These findings underscore the imperative for policymakers to maintain exchange rate stability, manage monetary policy prudently, and consider energy diversification. For Sharia investors, the results advocate for strategic portfolio diversification, incorporating global Sharia-compliant equities and inflation-resistant assets to navigate the identified risks and optimize returns.

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ABSTRAK - Indikator Makroekonomi dan Pasar Modal Syariah Global pada Jakarta Islamic Index. Di tengah volatilitas signifikan dan penurunan berkelanjutan selama dekade terakhir, kinerja Jakarta Islamic Index (JII) terkait erat dengan kondisi makroekonomi domestik dan tren pasar ekuitas syariah global. Penelitian ini menggunakan metode Vector Autoregression (VAR) dan Vector Error Correction Model (VECM) untuk menganalisis dampak jangka pendek dan jangka panjang dari indikator makroekonomi utama, yaitu suku bunga Bank Indonesia (BI Rate), Indeks Harga Konsumen (CPI), nilai tukar Rupiah terhadap Dolar AS (ER), harga minyak global (CO), dan indeks Dow Jones Islamic Market (DJIM) dari AS, Eropa, dan Jepang, terhadap JII. Hasil jangka pendek menunjukkan dampak negatif dari BI Rate dan DJIM Eropa, serta dampak positif dari CPI dan DJIM Jepang. Dalam jangka panjang, ER, CO, dan DJIM Jepang memberikan pengaruh negatif terhadap JII, sementara DJIM AS memberikan kontribusi positif. Kontributor utama terhadap fluktuasi JII adalah DJIM Jepang, CPI, dan CO, dengan respons negatif terhadap kejutan dari BI Rate dan DJIM AS. Temuan ini mendorong pembuat kebijakan untuk menjaga stabilitas nilai tukar, mengelola kebijakan moneter secara bijaksana, dan mempertimbangkan diversifikasi energi. Bagi investor syariah, hasil studi ini mendukung diversifikasi portofolio strategis, menggabungkan ekuitas syariah global dan aset tahan inflasi untuk mengelola risiko yang teridentifikasi dan mengoptimalkan imbal hasil.


Keywords


Jakarta Islamic Index, Macroeconomic Indicators, Dow Jones Islamic Market, VECM, Sharia Capital Market

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