Comovement Indeks Pasar Saham Syariah dan Variabel Makro Ekonomi: Pendekatan Regime-Switching Regression

Buddi Wibowo

Abstract


Hubungan imbal hasil indeks syariah dengan variabel makroekonomi merupakan topik riset yang cukup banyak menarik perhatian para peneliti. Comovement antara indeks syariah dengan indeks pasar saham konvensional mengindikasikan adanya hubungan kointegrasi antara kedua pasar tersebut. Comovement antara indeks syariah dan indeks pasar konvensional jauh lebih kuat pada saat volatilitas  rendah dibandingkan pada regime volatilitas yang tinggi. Signifikannya hubungan antara imbal hasil indeks syariah di Bursa Efek Indonesia dengan perubahan suku bunga memunculkan pertanyaan apakah saham-saham perusahaan yang termasuk di dalam Jakarta Islamic Index telah disaring secara ketat sehingga komponen biaya bunga sudah minimal atau karena mikro struktur pasar saham Indonesia yang didominasi investor asing.          Model regresi Markov regime-Switching mengungkapkan adanya perbedaan signfikan pengaruh perubahan nilai tukar terhadap imbal hasil indeks syariah  antara regime volatilitas yang tinggi dengan regime volatilitas yang rendah. Pengaruh nilai tukar hanya signifikan pada saat regime volatilitas yang rendah. Hal ini tidak dapat diungkap jika kita hanya menggunakan model regresi linier OLS biasa.


Keywords


Indeks Syariah; Suku Bunga; Nilai Tukar;Regime Switching

Full Text:

PDF

References


Abdul Majid, M. S., & Mohd. Yusof, R. (2009). Long-run relationship between Islamic stock returns and macroeconomic variabels: An application of the autoregressive distributed lag model. Humanomics, 25, 127-141.

Ajmi, A. N., Hammoudeh, S., Nguyen, D., & Sarafrazi, S. (2014). How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests. Journal of International Financial Markets, Institutions & Money, 28, 213-227.

Albaity, A., & Ahmad, R. (2008). Performance of Syariah and composite indices: Evidence from bursa Malaysia. Asian Academy of Management Journal of Accounting and Finance, 4, 23-43.

Albaity, M. S. (2011). Impact of the monetary policy instruments on Islamic stock market index return. Economics Discussion Papers, No 2011-26. Kiel Institute for the World Economy

Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relations over time. Journal of the Royal Statistical Society, 37, 149-192

Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of Business, 59, 383e403

Choudhry, T. (2001). Inflation and rates of return on stock: Evidence from high inflation countries. Journal of International Financial Markets, Institutions and Money, 11, 75-96

Dvorak, T, 2005. Do Domestic Investors Have an Information Advantage? Evidence from Indonesia, The Journal of Finance, 60(2), 817–839

Fama, E. (1981). Stock returns, real activity, inflation, and money. American Economic Review, 71, 545-565.

Geske, R., & Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. The Journal of Finance, XXXVIII, 1-33

Hondroyiannis, G., & Papapetrou, E. (2006). Stock returns and inflation in Greece: A Markov switching approach. Review of Financial Studies, 15, 76-94.

Hussin, M. Y. M., Muhammad, F., Abu Hussin, M. F., & Abdul Razak, A.(2012). The relationship between oil price, exchange rate and Islamic stock market in Malaysia. Research Journal of Finance and Accounting, 3, 2222-2847

Mohd. Yusof, R., & Abdul Majid, M. S. (2007). Stock market volatility transmission in Malaysia: Islamic versus conventional stock market. Journal of King Abdulaziz University: Islamic Economics, 20, 17-35

Naifar, N. (2016). Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach. The Quarterly Review of Economics and Finance, 61, 29-39.

Prima Sakti, M. R., & Harun, M. D. Y. (2013). Relationship between Islamic stock prices and macroeconomic variabels: Evidence from Jakarta stock exchange Islamic index. Global Review of Islamic Economics and Business, 1, 71-84.

Rigobon, R., & Sack, B. (2004). The impact of monetary policy on asset prices. Journal of Monetary Economics, 51, 1553-1575.

Shamsuddin, A. (2014). Are Dow Jones Islamic equity indices exposed to interest rate risk? Economic Modelling, 39, 273-281.

Shiller, S., & Beltratti, A. (1992). Stock prices and bond yields: Can their comovements be explained in terms of present value models? Journal of Monetary Economics, 30, 25-44.




DOI: http://dx.doi.org/10.21043/iqtishadia.v10i2.2237

Refbacks

  • There are currently no refbacks.


Copyright (c) 2018 IQTISHADIA Jurnal Kajian Ekonomi dan Bisnis Islam

Iqtishadia Journal Indexed by :

http://journal.stainkudus.ac.id/indexing/crossref.jpghttp://journal.stainkudus.ac.id/indexing/moraref.jpghttp://journal.stainkudus.ac.id/indexing/ipi.jpghttp://journal.stainkudus.ac.id/indexing/academiaedu.jpghttp://journal.stainkudus.ac.id/indexing/googlescholar.jpghttp://journal.stainkudus.ac.id/indexing/sinta.jpghttp://journal.stainkudus.ac.id/indexing/issuu.jpghttp://journal.stainkudus.ac.id/indexing/cosmos.jpghttp://journal.stainkudus.ac.id/indexing/isjd.jpghttp://journal.stainkudus.ac.id/indexing/journalfactor.jpghttp://journal.stainkudus.ac.id/indexing/jifactor.jpghttp://journal.stainkudus.ac.id/indexing/journaltocs.jpghttp://journal.stainkudus.ac.id/indexing/scholarsteer.jpghttp://journal.stainkudus.ac.id/indexing/academiakeys.jpg

Creative Commons License
Iqtishadia : Jurnal Kajian Ekonomi dan Bisnis Islam is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

View My Stats