Macroeconomics Variables, International Islamic Indices, and The Return Volatility in Jakarta Islamic Index
Author(s)Pratama, Yoghi Citra; State Islamic University (UIN) Syarif Hidayatullah Jakarta
Azzis, Abdul; State Islamic University (UIN) Syarif Hidayatullah Jakarta
KeywordsBI rate, inflation, IDR-USD exchange rate, DJIUS index, DJIUK index, FTSJP index, FTSMY index, ARCH
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AbstractThe aim of this research is to analyze the effect of BI rate, inflation rate, IDR-USD exchange rate, Dow Jones Islamic U.S index (DJIUS), Dow Jones Islamic U.K index (DJIUK), FTSE Japan Shariah 100 index (FTSJP) and FTSE Malaysia Hijrah Shariah index (FTSMY) on return volatility of Jakarta Islamic Index during the period of 2007-2016. The analysis method used in this research is Auto Regressive Conditional Heteroscedastic-Generalized Auto Regressive Conditional Heteroscedastic (ARCH-GARCH). The result of this research showed that all variables i.e BI rate, inflation rate, IDR-USD exchange rate, DJIUS index, DJIUK index, FTSJP index and FTSMY index have simultanously significant impact on return volatility of JII. While t-test results show that BI rate, IDR-USD exchange rate, DJIUK index and FTSMY index have significant impact on return volatility of JII. The results also showed that the value of adjusted R square is 58,93%.
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