ANALISIS HUBUNGAN FAKTOR MAKRO EKONOMI DENGAN INDEKS HARGA SAHAM SYARIAH MENGGUNAKAN VECTOR ERROR CORRECTION MODEL (VECM)

Novita Sari Pulungan, Budi Gautama, Abdul Nasser Hasibuan, Nurhayati Nurhayati

Abstract


Jumlah emiten yang terdaftar di Jakarta Islamic Index masih terbatas, sementara fluktuasi indeks harga saham syariah meningkat signifikan dalam waktu singkat. Di sisi lain, ada penurunan indeks harga saham syariah meskipun pertumbuhan ekonomi meningkat, begitupun dengan inflasi dan kurs hubungannya dengan indeks harga saham syariah tidak selalu linier, tetapi masih ada interaksi dan kontribusi antar variabel terkait. Tujuan penelitian ini adalah untuk menganalisis hubungan interaksi dan kontribusi pertumbuhan ekonomi, inflasi, dan kurs dengan indeks harga saham syariah menggunakan Vector Error Correction Model. Metode penelitian ini menggunakan Analisis Vector Error Correction Model dengan alat analisis Eviews 10. Hasil penelitian menunjukkan bahwa terdapat hubungan interaksi dan kontribusi pertumbuhan ekonomi, inflasi, dan kurs dengan indeks harga saham syariah. Pada uji kointegrasi menunjukkan bahwa terjadi kointegrasi dalam penelitian. Hal ini dapat dilihat pada analisis Impulse Response Functions bahwa pada periode kedua respons dari indeks harga saham syariah terhadap pertumbuhan ekonomi menjadi -3,30%, inflasi sebesar 13,13%, dan kurs sebesar 1,20%. Serta, kontribusi langsung dari indeks harga saham syariah secara bertahap menurun, sementara kontribusi dari pertumbuhan ekonomi meningkat hingga mencapai sekitar 0,26%, inflasi sebesar 4,96%, dan kurs sebesar 0,029%.


Keywords


Indeks Harga Saham Syariah, Pertumbuhan Ekonomi, Inflasi, Kurs, VECM.

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DOI: https://doi.org/10.46576/bn.v7i2.4873

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