The Effect Of Economic Crisis Indicators On The Performance Of Conventional And Islamic Capital Markets In Indonesia; A Comparative Analysis

Authors

  • Yenny Kornitasari Faculty Economics and Business, Universitas Brawijaya, Indonesia
  • Amarissa Novianaputri Prasetya

DOI:

https://doi.org/10.29040/jiei.v8i3.5588

Keywords:

crisis indicators, VECM, IHSG, ISSI

Abstract

The objective of this research is to analyze the different effects of economic crisis indicators on the performance of conventional and Islamic capital markets in Indonesia and the stability of both capital markets during shocks using Vector Error Correction Model (VECM). Monthly time-series data from 2015 to 2019 were used, the variables are inflation, interest rate, SIBOR, developed countries’ economic growth, foreign exchange reserves, and world oil prices. This study finds that, in the long run, inflation affects the performance of the capital markets and that the economic growth of developed countries influences conventional capital markets. In the short run, foreign exchange reserves influence both capital markets, and the economic growth of developed countries affects Islamic capital market. Significant differences in stability due to shocks were not found in both markets if observed using IRF test and variance decomposition. If later on shocks in economic crisis indicators that can refer to the occurrence of crises were to be found, the stability of both capital markets would be affected.

References

Aditya, Sinaga, B. M., & Maulana, T. A. (2018). Pengaruh Indeks Bursa Luar Negeri, Indikator Makroekonomi dan Krisis Ekonomi Global Terhadap Indeks Harga Saham Gabungan di Indonesia. Jurnal Aplikasi dan Manajemen Bisnis, 4(2): 284 - 295.

Afrizal, S., & Farlian, T. (2017). Kontribusi Pasar Modal Terhadap Pertumbuhan Ekonomi Indonesia. Jurnal Ilmiah Mahasiswa (JIM) Ekonomi Pembangunan Fakultas Ekonomi dan Bisnis, 2(2): 248 – 255.

Amansyah, Muhammad F. (2014). "Analisis Pengaruh Nilai Tukar, Foreign Exchange Reserves, dan PDB Terhadap Indeks Harga Saham di Indonesia". Skripsi. Fakultas Ekonomi dan Bisnis: Universitas Hassanudin.

Antonio, Muhammad S. dkk (2013). The Islamic Capital Market Volatility: A Comparative Study Between in Indonesia and Malaysia. Buletin Ekonomi Moneter dan Perbankan, 392 - 416.

Filis, G., Degiannakis, S., & Floros, C. (2011). Dynamic Correlation between Stock Market and Oil Prices: The Case of Oil-importing and Oil-exporting Countries. International Reviews of Financial Analysis, 152-164.

Firdausi, N. A., Fahmi, I., & Saptono, I. T. (2016). Pengaruh Indeks Harga Saham Regional ASEAN dan Variable Makroekonomi terhadap Indeks Harga Saham Syariah Indonesia (ISSI). Jurnal Al Muzara'ah, 76-96.

Handoyo, D. R. (2012). Profabilitas Variable Fundamental Ekonomi Indonesia Dan Financial Contagion Effect Terhadap Terjadinya Krisis FInancial Di Indonesia. Majalah Ekonomi, 16-28.

Hsing, Yu (2011). Impact Of Macroeconomics Variables on the U.S. Stock Market Index and Policy Implications. Economics Bulletin, 31(1): 883 - 892.

Kaminsky, G. L., & Reinhart, C. M. (1998). Leading Indicators of Currency Crises. IMF Staff Papers, 1-48.

Nezky, M. (2013). Pengaruh Krisis Ekonomi Amerika Serikat Terhadap Bursa Saham Dan Perdagangan Indonesia. Buletin Ekonomi Moneter Dan Perbankan, 15(3), 89–103. https://doi.org/10.21098/bemp.v15i3.69

Ningsih, Meidina M dan Ikaputera W, (2018). Pengaruh BI Rate dan Inflation Terhadap Indeks Harga Saham Gabungan (Studi Pada Indeks Properti, Real Estate, dan Building Construction, di BEI Periode 2013-2017). Manajerial, 3(5): 247-258.

Oktarina, Dian. (2016). Pengaruh Beberapa Indeks Saham Global dan Indikator Makroekonomi Terhadap Pergerakan IHSG. Journal of Bussiness and Banking, 5(2): 163 – 182.

Oktavilia, Shanty (2008). Deteksi Dini Krisis Perbankan Indonesia: Indentifikasi Variable Makro dengan Model Legit. JEJAK, 1(1): 50 – 62

Pahlevi, Reza Widhar. (2019). Sensitivitas Makroekonomi dan Moneter Terhadap IHSG. AFRE Accounting and Finance Review, 2(1): 65 - 72.

Raraga, Filus dkk. (2012). Analisis Pengaruh Harga Minyak dan Harga Emas Terhadap Hubungan Timbal-balik Kurs dan Indeks Harga Saham Gabungan (IHSG) DI Bursa Efek Indonesia (BEI) 2000 - 2013. Jurnal Bisnis Strategi, 21(1):72 – 94

Setyastuti, Rini (2007). Sensitifitas Kinerja Pasar Modal Indonesia dan Nilai Tukar Rupiah Terhadap Penyebaran Krisis Asia. KINERJA, 11(1): 76 – 91.

Sunariyah (2006). Pengantar Pengetahuan Pasar Modal. Yogyakarta: UPPT-STIM YKPN Yogyakarta.

Suciningtyas, S. A., & R., K. (2015). Analisis Dampak Variable Makro Ekonomi Terhadap Indeks Saham Syariah Indonesia (ISSI). Jurnal 2 CBAM, 398-412

Syafrudin (1994). Analisis Paritas Interest Rate, Studi Kasus Di Indonesia:1978.I - 1991.IV. Jurnal Ekonomi dan Bisnis Indonesia Vol 9.

Tandelilin, Eduardus (2017). Pasar Modal: Manajemen Portofolio dan Investasi. Yogyakarta: Kanisius

Wibowo, Febrian Wahyu (2019). Determinan Tingkat Interest Rate, Indeks Dow Jones, NIIKKEI 225, dan Straits Time terhadap ISSI. El DInar, 7(1): 32 – 47.

Zakaria, et al.. (2018). Determinan Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia. Future Jurnal Manajemen dan Akuntansi, 5(2): 119 – 131.

Downloads

Published

05-11-2022

How to Cite

Kornitasari, Y., & Prasetya, A. N. (2022). The Effect Of Economic Crisis Indicators On The Performance Of Conventional And Islamic Capital Markets In Indonesia; A Comparative Analysis. Jurnal Ilmiah Ekonomi Islam, 8(3), 3565–3573. https://doi.org/10.29040/jiei.v8i3.5588

Issue

Vol. 8 No. 3 (2022): JIEI : Vol.8, No.3, 2022

Section

Articles

Citation Check

License

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Similar Articles

1 2 3 4 5 6 7 8 9 10 > >> 

You may also start an advanced similarity search for this article.

Most read articles by the same author(s)