Vector Autoregression Analysis on Inflation Rate, Interest Rate and Rupiah Exchange Rate with Indonesia Sharia Stock Index

Bangkit Pratama, Eeng Ahman, Elis Mediawati

2017

Abstract

Sector that is able to survive the financial crisis on 1998 is based on Islamic economic institutions, and its success still survive today. So, the development of Islamic financial institutions is growing rapidly in various parts of the world. One of that sector which developing significant is Islamic stocks, in Indonesia the entire Islamic stocks in gathered in the Indonesia Sharia Stock Index (ISSI). Milestone in the development of Islamic stocks themselves starting from the publication of the Jakarta Islamic Index (JII) in 2000 and then continued ISSI in 2011. Ironically ISSI which include overall sharia shares listed on Indonesia Stock Exchange is much cheaper than JII which only consists of 30 stocks, this indicates the considerable price gap. This research will try to uncover how the relationship between macroeconomic variables that exist in Indonesia using Autoregression Vector analysis (VAR) from May 2011 to February 2017. Analysis of VAR has the advantages which are multivariate, free of spurious variable endogeneity and exogeneity and can detect relationships between variables. The result of this study indicates that previous period of ISSI and BI Rate has positive influence to ISSI, while Inflation and Rupiah-Dollar exchange rate has negative influence to ISSI.

Paper Citation

in Harvard Style

Pratama B., Ahman E. and Mediawati E. (2017). Vector Autoregression Analysis on Inflation Rate, Interest Rate and Rupiah Exchange Rate with Indonesia Sharia Stock Index.In 1st International Conference on Islamic Economics, Business, and Philanthropy - Volume 1: ICIEBP, ISBN 978-989-758-315-5, pages 87-91. DOI: 10.5220/0007077300870091

in Bibtex Style

@conference{iciebp17,
author={Bangkit Pratama and Eeng Ahman and Elis Mediawati},
title={Vector Autoregression Analysis on Inflation Rate, Interest Rate and Rupiah Exchange Rate with Indonesia Sharia Stock Index},
booktitle={1st International Conference on Islamic Economics, Business, and Philanthropy - Volume 1: ICIEBP,},
year={2017},
pages={87-91},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0007077300870091},
isbn={978-989-758-315-5},
}

in EndNote Style

TY - CONF

JO - 1st International Conference on Islamic Economics, Business, and Philanthropy - Volume 1: ICIEBP,
TI - Vector Autoregression Analysis on Inflation Rate, Interest Rate and Rupiah Exchange Rate with Indonesia Sharia Stock Index
SN - 978-989-758-315-5
AU - Pratama B.
AU - Ahman E.
AU - Mediawati E.
PY - 2017
SP - 87
EP - 91
DO - 10.5220/0007077300870091