ANALISIS PERBANDINGAN VOLATILITAS HARGA ISSI DENGAN IHSG: STUDI KASUS MASA TURMOIL PERIODE 2019-2020
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Keywords

IHSG
ISSI
Masa Turmoil
Volatilitas

Abstract

Abstrak: Penelitian ini bertujuan untuk menganalisis dan membandingkan pengaruh masa turmoil antara volatilitas Indeks Saham Syariah Indonesia (ISSI) dengan Indeks Harga Saham Gabungan (IHSG). Serta, menganalisis dan membandingkan seberapa besar variabel-variabel makroekonomi yang mencerminkan masa turmoil pada tahun 2019 hingga 2020 mempengaruhi volatilitas ISSI dan IHSG. Masa turmoil dalam penelitian ini yaitu penurunan harga minyak dunia, perang dagang antara Amerika Serikat dengan China, pandemi Covid-19 dan demo penolakan Rancangan Undang-Undang (RUU) Cipta Kerja dengan variabel Produk Domestik Bruto (PDB), inflasi, kurs rupiah-dolar, suku bunga, harga minyak dunia, Shanghai Stock Exchange (SSE) Composite Index, New York Stock Exchange (NYSE). Variabel yang digunakan adalah data lima hari kerja dari tahun 2019 hingga 2020. Metode analisis yang digunakan yaitu analisis kuantitatif menggunakan TGARCH Model dan VECM. Berdasarkan hasil TGARCH menunjukkan bahwa volatilitas ISSI memiliki pengaruh yang lebih kecil terhadap masa turmoil. Namun, hasil analisis VECM menunjukkan masa turmoil tahun 2019 hingga 2020 lebih berdampak pada volatilitas ISSI dibandingkan dengan volatilitas IHSG. 

Abstract: This study aims to analyze and compare the effect of turmoil period on the volatility of Indonesian Sharia Stock Index (ISSI) and Jakarta Composite Index (JCI). As well, analyzing and comparing the impact of macroeconomic variables that reflect turmoil period in 2019 to 2020 affect the volatility of ISSI and JCI. The turmoil period in this research are the decline in world oil prices, trade war between the United States and China, Covid-19 pandemic and demonstration against the Omnibus Law. Variables in this model are Gross Domestic Product (GDP), inflation, rupiah-dollar exchange rate, interest rates, world oil prices, Shanghai Stock Exchange (SSE) Composite Index and New York Stock Exchange (NYSE). The variables used five working days data from 2019 to 2020. The analytical method used in this research is quantitative analysis using TGARCH Model and VECM. Based on the results of TGARCH, it shows that the volatility of ISSI has less effect on the turmoil period. However, the results of VECM analysis shows that the turmoil period of 2019 to 2020 has more impact on the volatility of ISSI than the volatility of  JCI.

 

https://doi.org/10.21274/an.v8i2.4382
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