A Time Series Analysis of Macroeconomic Factors Influencing the Movement of the Indonesian Sharia Stock Index Between 2018 - 2024

Abstract

The purpose of this study is to investigate how the Indonesian Sharia Stock Index (ISSI) is affected by current macroeconomic data between 2018 and 2024. These indicators include inflation, the money supply, the IDR/USD ratio, and the 7-Day BI Reverse Repo Rate. The quantitative methodology of this study uses time-based observations as secondary data. The technique used is multiple linear regression analysis. Before estimating, the Augmented Dickey Fuller (ADF) test is used to evaluate stationarity. Additionally, the validity and robustness of the model are confirmed using the traditional assumptions about multicollinearity, heteroscedasticity, and autocorrelation. When compared side by side, the findings demonstrate that every macroeconomic issue has a major impact on ISSI. Nevertheless, only the exchange rate had a statistically significant detrimental effect on ISSI in the partial study, indicating that a decline in currency value is associated with a decline in the index. Although their interactions are in line with theoretical expectations, inflation, BI interest rates, and the money supply do not exhibit a statistically significant influence. This study adds empirical literature that is relatively rare on the Islamic stock index by observing a long period of time that includes the pre-pandemic, pandemic, and post-pandemic phases. This provides new information about the responsiveness of ISSI to macroeconomic factors. The aforementioned results indicate that maintaining tukar stability is crucial for improving the Islamic market's efficiency. Because of this, those who create regulations and policies are encouraged to take steps to stabilize the value of the currency, while investors are encouraged to increase the flow of money when making investment decisions. The existing methodology and the utilization of domestic macroeconomic indicators form the foundation of this study. In the past, research has been conducted to analyze global factors and employ more sophisticated econometric techniques in order to get more comprehensive conclusions.