ANALISIS PENGARUH VARIABEL MAKROEKONOMI DAN INDEKS SAHAM INTERNASIONAL TERHADAP SHARIA MARKET INDEX DI INDONESIA DAN MALAYSIA

MITA AGUSTIANI, . (2025) ANALISIS PENGARUH VARIABEL MAKROEKONOMI DAN INDEKS SAHAM INTERNASIONAL TERHADAP SHARIA MARKET INDEX DI INDONESIA DAN MALAYSIA. Magister thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

ABSTRAK Penelitian ini bertujuan untuk menganalisis pengaruh variabel makroekonomi Indeks Harga Konsumen (IHK), Nilai Tukar, Jumlah Uang Beredar (M2), retail sales serta indeks saham internasional Dow Jones Islamic Market (DJIM) dan Dow Jones Industrial Average (DJIA) terhadap indeks saham syariah di Indonesia dan Malaysia yaitu Jakarta Islamic Index dan FTSE Bursa Malaysia Hijrah Shariah Index, dengan merujuk pada teori Arbitrage Pricing Theory (APT) sebagai dasar dalam menilai kontribusi faktor ekonomi sistematis terhadap pergerakan indeks saham syariah. Metode yang digunakan adalah regresi linear berganda dengan data bulanan periode Januari 2015-Desember 2024. Hasil penelitian menunjukkan bahwa Jakarta Islamic Index (JII) dipengaruhi secara signifikan oleh Indeks Harga Konsumen (IHK), nilai tukar, dan Dow Jones Industrial Average (DJIA). Secara spesifik, nilai tukar berpengaruh negatif dan signifikan, Dow Jones Industrial Average (DJIA) berpengaruh positif dan signifikan, keduanya sesuai dengan arah hipotesis. Sebaliknya, Indeks Harga Konsumen (IHK) bertentangan dengan arah hipotesis yaitu berpengaruh positif dan signifikan. Sementara itu, FTSE Bursa Malaysia Hijrah Shariah Index secara signifikan dan positif dipengaruhi oleh retail sales dan Dow Jones Islamic Market (DJIM). Temuan ini memberikan implikasi teoritis bahwa pengaruh variabel makroekonomi dan indeks saham internasional terhadap indeks saham syariah bersifat kontekstual dan tidak dapat digeneralisasi lintas negara. Secara praktis, hasil ini memberikan panduan bagi investor dan pembuat kebijakan untuk menyusun strategi investasi serta kebijakan ekonomi yang lebih tepat sasaran sesuai karakteristik pasar syariah di Indonesia dan Malaysia. Kata Kunci: Sharia Market Index, Variabel Makroekonomi, Indeks Saham Internasional, Arbitrage Pricing Theory (APT), Regresi Linear Berganda. ***** ABSTRACT This study aims to analyze the influence of macroeconomic variables Consumer Price Index (CPI), exchange rate, money supply (M2), retail sales as well as international stock indices, namely the Dow Jones Islamic Market (DJIM) and the Dow Jones Industrial Average (DJIA), on Sharia stock indices in Indonesia and Malaysia, specifically the Jakarta Islamic Index (JII) and the FTSE Bursa Malaysia Hijrah Shariah Index. The study refers to the Arbitrage Pricing Theory (APT) as a framework for assessing the contribution of systematic economic factors to the movement of Sharia stock indices. The method used is multiple linear regression with monthly data covering the period from January 2015 to December 2024. The results show that the Jakarta Islamic Index (JII) is significantly influenced by the Consumer Price Index (CPI), exchange rate, and the Dow Jones Industrial Average (DJIA). Specifically, the exchange rate has a significant negative effect, and the DJIA has a significant positive effect, both of which are consistent with the hypothesized directions. Conversely, the Consumer Price Index (CPI) has a significant positive effect, which contradicts the hypothesized direction. Meanwhile, the FTSE Bursa Malaysia Hijrah Shariah Index (FHSI) is significantly and positively influenced by retail sales and the Dow Jones Islamic Market (DJIM). These findings provide theoretical implications that the influence of macroeconomic variables and international stock indices on Sharia stock indices is contextual and cannot be generalized across countries. Practically, these results offer guidance for investors and policymakers to formulate more targeted investment strategies and economic policies in accordance with the specific characteristics of Sharia markets in Indonesia and Malaysia. Keywords: Sharia Market Index, Macroeconomic Variables, International Stock Indices, Arbitrage Pricing Theory (APT), Multiple Linear Regression.

Item Type:	Thesis (Magister)
Additional Information:	1. Prof. Dr. Umi Widyastuti, SE, ME ; 2. Prof. Dr. IGKA Ulupui, SE, M.Si, Ak
Subjects:	Ilmu Sosial > Teori Ekonomi Ilmu Sosial > Sejarah Ekonomi, Kondisi Ekonomi Ilmu Sosial > Keuangan
Divisions:	FE > S2 Manajemen
Depositing User:	Mita Agustiani .
Date Deposited:	06 Aug 2025 03:16
Last Modified:	06 Aug 2025 03:16
URI:	http://repository.unj.ac.id/id/eprint/58205

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