A linkage of monetary policy and conventional-Islamic stocks: Indonesia evidence

Retnasih, Nora Ria ORCID: https://orcid.org/0000-0001-5915-8871 (2022) A linkage of monetary policy and conventional-Islamic stocks: Indonesia evidence. Jurnal Inovasi Ekonomi, 7 (3). pp. 197-206. ISSN 2686-3804

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Abstract

This research aims to analyze the relationship between monetary economic variables (money supply, inflation, exchange rates, and BI rate) toward the index of sharia stock value (JII) and conventional stock index values (LQ45) over a short and long period. Moreover, predicting the value of each index in the future period is also another objective of this research. The methods used in this quantitative research are Vector Error Correction Model (VECM). The data analyzed in this research is monthly data from January 2019 to December 2021. The result of the long-term VECM test shows that inflation, exchange rate, and BI rate significantly affect both stock indexes. Meanwhile, the result of the short-term test, the money supply affects the JII index, and inflation affects both of the indexes. The results of the IRF test show that the response of LQ45 and JII is very small on monetary variable shocks with a stable value in the long term. The results of the FEVD test show that the variation in the LQ45 is affected by monetary variables in a small percentage, while the effect on the JII is quite high.

Item Type:	Journal Article
Keywords:	money supply; inflation; exchange rate; interest rate; LQ45; JII
Subjects:	14 ECONOMICS > 1401 Economic Theory > 140102 Macroeconomic Theory 14 ECONOMICS > 1403 Econometrics > 140305 Time-Series Analysis 14 ECONOMICS > 1499 Other Economics
Divisions:	Faculty of Economics > Department of Management
Depositing User:	Nora Ria Retnasih
Date Deposited:	10 Feb 2023 11:33

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