The Sensitivity of the Indonesian Islamic Stock Prices to Macroeconomic Variables: An Asymmetric Approach

• 발행기관: 한국유통과학회
• 저자명: Agus WIDARJONO Jannahar Saddam Ash SHIDIQIE Lak Lak Nazhat El HASANAH
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 181~190쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

This paper empirically examines the asymmetric response of the Indonesian Islamic stock market to macroeconomic variables encompassing money supply, domestic output, exchange rate, and Federal Reserve rate. Our study employs the Jakarta Islamic Index (JII) after the financial crisis in the Southeast Asian country using monthly data from January 2000 to December 2019. Non-linear Autoregressive Distributed lag (NARDL) is applied. Our study considers two models consisting of the model without the Federal Reserve rate and the model with it. Our findings confirm the long-run link between Jakarta Islamic Index and macroeconomic factors being studied. Furthermore, the Jakarta Islamic Index asymmetrically responds to broad money supply and exchange rate, but not to domestic output and Federal Reserve rate. A reduction in the money supply has a worse effect on Islamic stock prices as compared to an increase in the money supply. The Jakarta Islamic Index responds differently to depreciation and appreciation. The transmission of the exchange rate to Islamic stock prices occurs only for appreciation. Our study finds an absence of transmission mechanism from the domestic output and the interest rate to Islamic stock prices. Our results imply that the easy money policy and stabilizing currency are key to supporting Indonesian Islamic stock prices.

목차

1. Introduction

2. Literature Review

3. Methodology and Data

4. Results and Discussion

5. Conclusions

References

키워드

Macroeconomic Variables Islamic Stock Prices Asymmetric Link Indonesia