Influence of Indonesia Exchange Rate, Inflation and Bank Indonesia
Sharia Certificates on Net Asset Value of Sharia Mixed Mutual Funds
in Indonesia
Tresna Mutiara, Suryana Suryana, and Suci Aprilliani Utami
Universitas Pendidikan Indonesia, Bandung, Indonesia
Keywords: Rupiah Exchange Rate, Inflation, SBIS, Net Asset Value, Sharia Mixed Mutual Fund.
Abstract: Sharia Mutual Fund is the first sharia investment instrument in Indonesia on 1996 by Danareksa company,
then there is a sharia mixed mutual funds whose performance is seen from Net Asset Value (NAV) issued by
the Financial Services Authority (OJK). Net Asset Value of Sharia Mutual Funds has reached 16,204.97
Billion, the achievement is quite good. However, it is still smaller than the achievements made by
conventional mutual funds that amounted to 340,186.39 billion. This study aims to examine the effect of
macroeconomic variables which are Indonesia Rupiah Exchange Rate, Inflation and Bank Indonesia Sharia
Certificates (SBIS) against NAV Sharia Mutual Funds. This research uses quantitative approach by using
pooled data from January 2013 until February 2017. Data analysis technique used is pooled data regression
analysis. The result of this research concludes Indonesia exchange rate has a significant negative effect on
NAV of sharia mixed mutual fund, Inflation has positive significant effect to NAV of sharia mixed mutual
fund and SBIS has a significant positive effect on NAV of sharia mixed mutual fund. The implication of this
study that if the exchange rate rises or in the sense of depreciated rupiah, then the influence is very significant
to Sharia Mixed Mutual Funds NAV.
1 INTRODUCTION
Sharia mixed mutual funds are one of the instruments
of investment in the capital market wherein 2016 the
average of Sharia Mixed Mutual Funds get the
highest performance of 9.29% above the average of
stock mutual funds that only provide 7.7%
performance (Hendrayana, 2017). It shows that
Sharia Mixed Mutual Funds have good potential in
sharia capital market. However, if viewed by its
funds, Sharia Mixed Mutual Fund is ranked fourth
compared to the type of investment in Islamic mutual
funds (Utami, et al., 2014). The development of
Sharia Mutual Funds can be seen from Net Asset
Value (NAV) which is every day announced. NAV is
the purchase price or selling price of mutual fund
units. NAV can be calculated by summing up the total
value of securities owned and subtracted by the
obligations of mutual funds (Rangkuti & Ja'far,
2012).
2 LITERATURE REVIEW
Theoretically, the exchange rate hurts investment
because a decline in the exchange rate will reduce
investment through its negative influence on
domestic absorbs or known as expenditure reducing
effect. Because of this decline in exchange rates will
cause the real value of public assets caused by the rise
in the price level in general and will further reduce the
domestic demand of the community. The symptoms
at company level respond by decreasing in capital
expenditure/allocation on investment (Ulfah, et al.,
2014).
Inflation influence on Investment is an increase in
the inflation rate that will lead to a decrease in
investment activity due to two things, the savings
decreased and investment returns expected by
investors to rise. Rising inflation rate causes investors
to expect high returns because of the impact of rising
inflation impact on the decline in the value of investor
savings (Purwanto, 2004).
The effect of Bank Indonesia Sharia Certificates
(SBIS) on Net Asset Value of Sharia Mutual Funds
78
Mutiara, T., Suryana, S. and Utami, S.
Influence of Indonesia Exchange Rate, Inflation and Bank Indonesia Sharia Certificates on Net Asset Value of Sharia Mixed Mutual Funds in Indonesia.
In Proceedings of the 1st International Conference on Islamic Economics, Business, and Philanthropy (ICIEBP 2017) - Transforming Islamic Economy and Societies, pages 78-82
ISBN: 978-989-758-315-5
Copyright © 2018 by SCITEPRESS – Science and Technology Publications, Lda. All rights reserved

(Beik & Ali, 2012) is the increase of SBIS will be an
incentive for investment managers to invest their
managed funds into SBIS instruments, so it is
expected to increase returns for investors. With the
conditions, then, as a result, NAV Mutual fund sharia
will also increase. By the theory put forward by
Keynes on Liquidity Preference which states that the
function of money is also used to speculate,
depending on the interest rate savings of a country,
whereby a higher expected profit will be selected
(Boediono, 2001).
3 METHODOLOGY
The objects of this research are Exchange Rate,
Inflation Rate, Bank Indonesia Sharia Certificate
(SBIS) and Net Asset Value Sharia Mixed Mutual
Fund with data amounted to 50 periods from January
2013 to February 2017.
Data analysis is done through a series of test using
Data Panel analyst whose excellence is to show and
consider the heterogeneity of individual variables
specifically.
4 RESULT AND DISCUSSION
4.1 Classical Assumption Test
4.1.1 Multicollinearity Test
Table 1: Multicollinearity Test Result.
XRATE
INF
SBIS
XRATE
1.000000
-0.326234
0.642540
INF
-0.326234
1.000000
0.193243
SBIS
0.642540
0.193243
1.000000
Based on the results of multicollinearity test in
Table 1 it can be seen that all variables have a low
coefficient which is below 0.80, so the conclusion,
there is no multicollinearity.
4.1.2 Heteroskedasticity Test
Table 2: Heteroskedasticity Test Result.
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
-0.078154
0.630456
-0.123963
0.9014
XRATE
0.019316
0.075151
0.257029
0.7974
INF
-0.032228
0.022231
-1.449714
0.1484
SBIS
0.001624
0.070294
0.023107
0.9816
Based on Table 2 it can be seen that the
probability of each variable >0.05. Inflation rate
variable 0.1484 > 0.05, exchange rate variable 0.7974
> 0.05 and SBIS variable 0.9816 > 0.05. So, the
conclusions are that all variables do not occur
heteroscedasticity.
4.2 Selection of Panel Data Regression
Model
4.2.1 Chow Test
Table 3. Chow Test Result.
Redundant Fixed Effects Tests
Pool: NAB_RDS
Test cross-section fixed effects
Effects Test
Statistic
d.f.
Prob.
Cross-section F
354.740731
(4,242)
0.0000
Cross-section Chi-
square
481.553766
4
0.0000
From table 3 results can be seen that the value of
chi-square is 0.0000 which the value is smaller than
the alpha value of 0.05. From these results, it can be
concluded that the right model for panel data
regression is Fixed Effect Model, which means H
0
is
rejected, and H
1
is accepted.
4.2.2 Hausman Test
Table 4: Hausman Test Result.
Correlated Random Effects - Hausman Test
Pool: NAB_RDS
Test cross-section random effects
Test Summary
Chi-Sq.
Statistic
Chi-Sq.
d.f.
Prob.
Cross-section random
0.000000
3
1.0000
This study has a large number of time series units
while N (number of cross section units) are small, so
in this case, the general choice will be based on the
convenience of calculation and more efficient using
fixed-effect model.
The following models are best used for estimation
results:
Influence of Indonesia Exchange Rate, Inflation and Bank Indonesia Sharia Certificates on Net Asset Value of Sharia Mixed Mutual Funds
in Indonesia
79

Table 5: Fixed-effect Model Result.
Dependent Variable: NAB?
Method: Pooled Least Squares
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
18.19882
1.604925
11.33936
0.0000
XRATE
-1.578346
0.181213
-8.709870
0.0000
INFLASI
0.017782
0.008861
2.006739
0.0459
SBIS
0.087303
0.028100
3.106836
0.0021
Fixed
Effects
(Cross)
_MISB—C
-0.443044
_TRIM—C
0.371954
_DSB—C
0.716621
_PNM—C
-0.569918
_CSB—C
-0.075613
The result of regression estimation in Table 5
shows the following equation:
The model explained that every 1% increase in
rupiah exchange rate, the amount of NAV would
decrease by 1.54%. As for every 1% rise in inflation,
NAV will increase by 0.12%, and for a 1% increase
in SBIS rate, NAV will increase by 0, 09%. Then D1,
D2, D3, D4, and D5 are Dummy variables to know
the change of intercept between companies
explaining the effect of each company's difference
Sharia Mixed Mutual Funds.
4.3 Hypothesis Testing
4.3.1 Partial Test (t-Test)
The t values of the tables in this study were obtained
from the distribution tables t, alpha/significance rate
(α) and degree of freedom (df), where df = n - k = 250
- 4 = 246, then with df 246 and α = 5% (0,05) equal
to 1.969654. Next t table value will be compared with
the value of t values to determine the decision to
accept H
0
or reject H
0
.
4.3.2 Influence of Exchange Rate on NAV of
Sharia Mixed Mutual Funds
Table 6: Exchange Rate to NAV t-Test Result.
Coef
Std. Error
t-Stat
Prob.
-1,578346
0.181213
-8,709870
0.0000
Based on Table 6, shows the t value (-8,71)
because the t-values analysis (±) is considered
absolute, then t arithmetic is (8.71) larger than t-table
(1.969) which means reject H
0
and receive H
1
. Then
the probability level is smaller than α = (0.05), so the
conclusion is exchange rate has significant influence
to NAV with the negative relationship, it shows that
every 1% increase of Exchange Rate will influence to
decrease NAV of 1.58%.
4.3.3 Influence of Inflation on NAV Sharia
Mixed Mutual Funds
Table 7: Inflation Rate to NAV t-Test Result.
Coef
Std. Error
t-Stat
Prob.
0,017782
0,008861
2,006739
0,0459
Based on Table 7 shows the t-values (2.01) higher
than t-table (1.969) which means reject H
0
and accept
H
1
. Then the probability level is smaller than α =
(0.05), so the conclusion is Inflation has a significant
effect to NAV with the Positive relationship, it shows
that every Inflation increase of 1% hence will
influence to increase NAV of 0.017782%.
4.3.4 Influence of SBIS on NAV Sharia
Mixed Mutual Funds
Table 8: SBIS to NAV t-Test Result.
Coef
Std. Error
t-Stat
Prob.
0,087303
0,028100
3,106836
0,0021
Based on Table 8 shows the t-values (3.11) is
higher than t-table (1.969) which means reject H0 and
accept Ha. Then the probability level is smaller than
α = (0.05), so the conclusion is SBIS has a significant
effect on NAV with the Positive relationship, it shows
that every 1% increase of SBIS will influence to
increase NAV by 0,09%.
4.3.5 Simultaneous Test (F-Test)
The provision obtais the value of F-table is N2 = n -
k, N1 = k - 1. Where (n) is the number of observations,
and (k) is the number of independent variables plus
NAB
it
= 18.19882 – 0.443044D
1
+ 0.371954D
2
+ 0.716621D
3
– 0.569918D
4
– 0.075613D
5
– 1.578346X
1it
+ 0.017782
X2it
+ 0.087303
X3it +
e
it
ICIEBP 2017 - 1st International Conference on Islamic Economics, Business and Philanthropy
80

constants. So, the value of F table used in this study is
N2 = 250 - 4 = 246 and N1 = 4 - 1 = 3 and α = 0.05,
then the value of F-table used is 8.537653. The
following results will be displayed using EViews
software.
Table 9: F-Test Result.
F-statistic
225,6171
Prob (F-statistic)
0,000000
Based on Table 9, it is known that F-statistic
(225,6171) is greater than F-table (8,537653), and its
probability (0,000000) is smaller than the significance
level (0.05). Then it can be concluded that all the
independent variables, i.e., Exchange Rate, Inflation,
and SBIS simultaneously affect the dependent
variable that is NAV Sharia Mixed Mutual Fund.
4.3.6 Determination Coefficient
Table 10: R-Squared Result.
Adjust R-Squared
Value
Adjust R-squared
0.863286
Based on Table 10 which is regression analysis of
panel data with fixed effect model shows adjusted R
square equal to 0.863286. It shows that 86.3286
percent of NAV Sharia Mixed Mutual Funds can be
explained by independent variables namely Exchange
Rate, Inflation and SBIS). While the rest (100 percent
- 86.3286 percent = 13.6714 percent) can be
explained outside the model model. Based on the
research results, the Rupiah exchange rate against US
Dollar tends to rise, and Sharia Mixed Mutual Funds
NAV tend to fall; thus there is a negative influence on
the Rupiah Exchange Rate to Dollar with Sharia
Mixed Mutual Funds NAV. Inflation tends to fall, and
Sharia Mixed Mutual Funds NAV tend to fall; thus
there is a definite influence between Inflation with
Sharia Mixed Mutual Funds NAV. SBIS tend to
decrease, and Sharia Mixed Mutual Funds NAV tend
to decrease; thus there is a definite influence between
SBIS with Sharia Mixed Mutual Funds NAV.
5 CONCLUSION
Based on the research results, the Rupiah exchange
rate against US Dollar tends to rise, and Sharia Mixed
Mutual Funds NAV tend to fall; thus there is a
negative influence on the Rupiah Exchange Rate to
Dollar with Sharia Mixed Mutual Funds NAV.
Inflation tends to fall, and Sharia Mixed Mutual
Funds NAV tend to fall; thus there is a definite
influence between Inflation with Sharia Mixed
Mutual Funds NAV. SBIS tend to decrease, and
Sharia Mixed Mutual Funds NAV tend to decrease;
thus there is a definite influence between SBIS with
Sharia Mixed Mutual Funds NAV.
Based on the findings of this research it can be
exposed the implication that if the exchange rate rises
or in the sense of depreciated rupiah, then the
influence is very significant to Sharia Mixed Mutual
Funds NAV. If left for a long tie will have an impact
on the decrease Sharia Mixed Mutual Funds NAV.
Then if Inflation continues to rise typically not mean
in the hyper category, then Sharia Mixed Mutual
Funds NAV will increase. However, if inflation left
in the hyper category will cause bankrupt of Sharia
mutual fund company because of high-cost burden.
Otherwise, if inflation left in the deficient category
will make the economic passion for being slow, so the
Sharia Mixed Mutual Funds NAV will be lower.
Meanwhile, if SBIS always increases will be
accompanied by NAV increase because there is a
guarantee of bonus from Bank Indonesia to mutual
fund companies that invest in SBIS, and vice versa.
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Beik, I. S., Ali, K., 2012. Pengaruh Makroekonomi
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Boediono, 2001. Ekonomi Moneter. 3 penyunt. Yogyakarta:
BPFE.
Hendrayana, W., 2017. Kinerja Reksadana Campuran
Syariah 2016. [Online]
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Rangkuti, L., Ja'far, H., 2012. Analisis Faktor-faktor yang
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Influence of Indonesia Exchange Rate, Inflation and Bank Indonesia Sharia Certificates on Net Asset Value of Sharia Mixed Mutual Funds
in Indonesia
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indonesia. Media Ekonomi dan Manajemen, 02 Juli,
Volume 29, p. 97.
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