宏观经济变量、国际伊斯兰指数和雅加达伊斯兰指数的回报波动性

AlIqtishad Jurnal Ilmu Ekonomi Syariah Pub Date : 2018-01-01 DOI:10.15408/aiq.v10i1.5550

Yoghi Citra Pratama, Abdul Azzis

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引用次数: 7

摘要

在了解伊斯兰股票市场行为的基础上，本研究的主要目的是分析宏观经济指标和国际伊斯兰指数对雅加达伊斯兰指数收益波动率的影响。本研究采用自回归条件异方差-广义自回归条件异方差(ARCH-GARCH)分析方法。研究结果表明，BI率、通货膨胀率、印尼卢比兑美元汇率、吉布斯指数、吉布克指数、富时jp指数、富时my指数等变量同时对JII的收益波动率产生显著影响。而t检验结果显示，BI利率、印尼卢比兑美元汇率、DJIUK指数和富时指数对JII的收益波动率有实质性影响。DOI: 10.15408 / aiq.v10i1.5550

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Macroeconomic Variables, International Islamic Indices, and the Return Volatility in Jakarta Islamic Index

According to understand the behavior of Islamic equity markets the primary objective of this research is to analyze the effect of macroeconomic indicators and International Islamic Index on return volatility of Jakarta Islamic Index. The analysis method used in this study is AutoRegressive Conditional Heteroscedastic-Generalized AutoRegressive 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 a simultaneously 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 a substantial effect on return volatility of JII. DOI: 10.15408/aiq.v10i1.5550

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AlIqtishad Jurnal Ilmu Ekonomi Syariah

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审稿时长

24 weeks