Determinan Makroekonomi yang Memengaruhi Indeks Saham Syariah Indonesia (ISSI) Periode 2011-2022

Muhammad Ilham Perdana, Dini Indrawati

Abstract


Penelitian ini bertujuan untuk menguji pengaruh variabel makroekonomi terhadap Indeks Saham Syariah Indonesia (ISSI). Variabel makroekonomi meliputi jumlah uang beredar, inflasi, nilai tukar, dan harga minyak mentah dunia. Penelitian menggunakan metode Vector Error Correction Model (VECM), data bersifat runtut waktu bulanan rentang periode pengamatan Mei 2011 hingga Desember 2022. Temuan studi menunjukkan bahwa pada jangka panjang variabel jumlah uang beredar, inflasi, dan harga minyak mentah dunia berpengaruh signifikan terhadap ISSI, sementara variabel nilai tukar tidak berpengaruh signifikan terhadap ISSI. Penelitian ini mengimplikasikan bahwa pergerakan ISS sensitif terhadap perubahan faktor makroekonomi, investor harus memperhatikan informasi terkait aktivitas perekonomian negara sebagai bahan analisis investasi sebelum pengambilan keputusan dalam berinvestasi pada pasar saham syariah.

Keywords


Variabel Makroekonomi, Saham Syariah, ISSI, VECM

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DOI: https://doi.org/10.24198/jebi.v13i2.2106

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