Indikator Makroekonomi dan Pengaruhnya Terhadap Indeks Saham Syariah di Indonesia

Heri Sudarsono


This study aimed to analyze the influence of variables of money supply (M2), constumer price index (CPI), exchange rate (ER), BI Rate (BIRATE), Sertifikat Bank Indonesia Syariah (SBIS)  with Shari'ah Indonesia Stock Index (ISSI). To see that effect will be made by the tests in stages Vector Autoregression. The data used in this research is secondary data during the period January 2012 until December 2016. The finding in long run shows that ISSI is positively significantly affected by CPI and it is negatively significantly affected by M2, ER and BIRATE. Granger-Causality test resulth shows that there are causality between CPI with BIRATE and CPI with SBIS, but there are three undirectional relationship which includes ISSI to ER, M2 to BIRATE and SBIS to BIRATE.

DOI: 10.15408/ess.v8i2.7219


money supply; consumption price index; exchange rate; BI rate

Full Text:



Ardana, Y. (2016). Variabel Makroekonomi terhadap Indeks Saham Syariah Indonesia. Media Trend. Vol. 11(2): 117-130

Asmy, M., Rohilina, W., Hassama, A., & Fouad, M (2010). Effects of Macroeconomic Variables on Stock Prices in Malaysia: An Approach of Error Correction Model. MPRA Paper. No.20970

Beik, I. S & Fatmawati, S. W. (2013). Pengaruh Indeks harga Saham Syariah Internasional dan variabel Makro Ekonomi terhadap Jakarta Islamic Index. Al Iqtishad: Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics). Vol. 6(2): 155-179. doi:

Bekhet, H. A. & Mugableh, M. I. (2012). Investigating Equilibrium Relationship between Macroeconomic Variables and Malaysian Stock Market Index through Bounds Tests Approach. International Journal of Economics and Finance. Vol. 4(10): 69-81. doi:

Damayanti, S. M. (2014). Analisis Pengaruh Variabel-variabel Makroekonomi terhadap Tingkat Pengembalian di Pasar Modal. Binus Business Review. Vol. 5(1): 267-277. doi:

Hosseini, S. M., Ahmad, Z., & Lay, Y. W. (2011). The Role of Macroeconomic Variables on Stock Market Index in China and India. International Journal of Economics and Finance. Vol. 3(6): 233-243. doi:

Hussin, M. Y. M., Muhammad, F., Abu, M. F. & Awang, S.A. (2012). Macroeconomic Variable and Malaysian Islamic Stock Market: A time Series Analysis. Journal of Business Studies Quarterly. Vol. 3 (4): 1-13.

Kuwomu, J. K. M & Victor, O. N. (2011). Macroeconomic Variables and Stock Market Returns: Full Information Maximum Likelihood Estimation. Journal of Finance and Accounting. Vol. 2 (4): 49-63

Menike, L. M. C. S. (2006). The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lanka Stock Market. Sabaragamuwa University Journal. Vol. 6 (1): 50-67

Nasir, M., Fakriah., & Ayuwandirah. (2016). Analisis Variabel Makroekonomi terhadap Indeks Saham Syariah Indonesia dengan Metode Pendekatan Vector Autoregression. Jurnal Ekonomi dan Bisnis. Vol. 15(1): 53-63.

Pasaribu, R. B. F & Firdaus, M. (2013). Analisis Pengaruh Variabel Makroekonomi terhadap Indeks Saham Syariah Indonesia. Jurnal Ekonomi & Bisnis. Vol. 7(2): 117-128

Rahmawati, M N &. Laila. (2015). Faktor Makroekonomi yang Mempengaruhi Pergerakan Harga Saham pada Indeks Saham Syariah Indonesia (ISSI) di Bursa Efek Indonesia (BEI). JESTT. Vol. 2(11): 928-942

Majid, M. S . A., & Yusof, R. M. (2009). Long-run Relationship Between Islamic Stock Returns and Macroeconomic Variables An Application of The Autoregressive Distributed Lag Model. Humanomics. Vol. 25 (2): 127-141. doi:

DOI: Abstract - 0 PDF - 0


  • There are currently no refbacks.

Hasil gambar untuk DOAJCrossRefBASE-Search Open Archives Initiative


View My Stats