KINERJA JAKARTA ISLAMIC INDEX KETIKA TERJADI PERISTIWA GEOPOLITIK

Authors

  • Dito Abhista Pratama Brawijaya University
  • Muhammad Dandy Alif Wildana Fakultas Ekonomi dan Bisnis Universitas Brawijaya

Keywords:

Covid-19, Russia Invasion, Jakarta Islamic Index, Structural Breaks, Geopolitics

Abstract

The financial market, in this case the capital market, always reacts to a historical or geopolitical event. Covid-19 and the Russian invasion of Ukraine caused changes in the performance of the JII. In this study, researchers want to know the effect of inflation, exchange rates, interest rates, crude oil, coal and gold on the JII and analyze the performance of the JII, using the Gregory C. Chow structural change test which proposed in 1960 on the JII price variable to determine the structure of the time series prior and post events occured. The results of this study indicate that there are only three out of six that affect the JII, including the exchange rate variable that has a significant negative effect, coal which has a significant positive effect and gold which has a significant negative effect on the JII. The Covid-19 event (March 2020) and the Russian invasion of Ukraine (February 2022) were also proven to be breakpoints in the data and structural changes occurred in the data prior and post the event occurred.

References

Agestiani, A., Arif Sutanto, H., & Tinggi Ilmu Ekonomi Bank BPD Jateng, S. (2019). Pengaruh Indikator Makro dan Harga Emas Dunia terhadap Indeks Harga Saham Syariah (Jakarta Islamic Index). www.ojk.go.id

Akhtaruzzaman, M., Boubaker, S., Lucey, B. M., & Sensoy, A. (2021). Is gold a hedge or a safe-haven asset in the COVID–19 crisis? Economic Modelling, 102. https://doi.org/10.1016/j.econmod.2021.105588

Alawiyah, T., & Setiyaningsih, R. F. (2020). Analisis Syariah Online Trading System (SOTS) atas Kinerja Indeks Saham Syariah Indonesia selama Pandemi Covid-19 Di Pasar Modal. Agustus, 7, 13–22. https://www.idx.co.id

Amal, M. A., & Musthofa, M. W. (2023). The Impact of the Dow Jones Islamic Market, Interest Rate, Rupiah Exchange Rate, and Inflation on the Indonesian Sharia Stock Index during 2018-2022 Period. Jurnal Ekonomi Syariah Teori Dan Terapan, 10(2), 188–202. https://doi.org/10.20473/vol10iss20232pp188-202

Anggriana, R. S., & Paramita, R. A. S. (2020). Analisis Pengaruh Bi Rate, Kurs, Inflasi, Harga Minyak, dan Harga Emas Dunia terhadap Indeks Harga Saham Gabungan Periode 2016-2019. Jurnal Ilmu Manajemen, 8(3), 1085–1098.

Bai, J., Bali, T. G., & Wen, Q. (2021). Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence. Journal of Financial Economics, 142(3), 1017–1037. https://doi.org/10.1016/j.jfineco.2021.05.003

Bank Indonesia. (2023). Data Inflasi. https://www.bi.go.id/id/statistik/indikator/data-inflasi.aspx

Bhuiyan, E. M., & Chowdhury, M. (2020). Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada. Quarterly Review of Economics and Finance, 77, 62–74. https://doi.org/10.1016/j.qref.2019.10.005

Boungou, W., & Yatié, A. (2022). The impact of the Ukraine–Russia war on world stock market returns. Economics Letters, 215. https://doi.org/10.1016/j.econlet.2022.110516

Bouri, E., Shahzad, S. J. H., Roubaud, D., Kristoufek, L., & Lucey, B. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. Quarterly Review of Economics and Finance, 77, 156–164. https://doi.org/10.1016/j.qref.2020.03.004

Bouzgarrou, H., Ftiti, Z., Louhichi, W., & Yousfi, M. (2023). What can we learn about the market reaction to macroeconomic surprise? Evidence from the COVID-19 crisis. Research in International Business and Finance, 64. https://doi.org/10.1016/j.ribaf.2023.101876

BPS. (2020). Ekonomi Indonesia Triwulan I 2020 Tumbuh 2,97 Persen. https://www.bps.go.id/pressrelease/2020/05/05/1736/ekonomi-indonesia-triwulan-i-2020-tumbuh-2-97-persen.html

Chen, L., Min, F., Liu, W., & Wen, F. (2022). The Impact of the Infectious diseases and Commodity on Stock Markets. Finance Research Letters, 47. https://doi.org/10.1016/j.frl.2022.102848

Cheng, C. H. J., & Chiu, C. W. (Jeremy). (2018). How important are global geopolitical risks to emerging countries? International Economics, 156, 305–325. https://doi.org/10.1016/j.inteco.2018.05.002

Das, D., Kannadhasan, M., & Bhattacharyya, M. (2019). Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike? North American Journal of Economics and Finance, 48, 1–19. https://doi.org/10.1016/j.najef.2019.01.008

Fahmi, I. (2006). Analisis Investasi : Dalam Perspektif Ekonomi dan Politik (A. Wijaya, Ed.).

Faisal, A., Hasanah, A., & Adam, A. M. (2021). Pengaruh Fundamental Perusahaan dan Reaksi Pasar Modal sebelum san saat Pandemi Covid-19 terhadap Return Saham (Studi Kasus Jakarta Islamic Index periode 2016-2020). Jurnal Ekonomi Syariah Teori Dan Terapan, 8(6), 771. https://doi.org/10.20473/vol8iss20216pp771-784

Ferré, I. (2023). The oil market looks drastically different today than it did when Russia invaded Ukraine. https://finance.yahoo.com/news/the-oil-market-looks-drastically-different-today-than-it-did-when-russia-invaded-ukraine-203904387.html?guccounter=1&guce_referrer=aHR0cHM6Ly93d3cuZ29vZ2xlLmNvbS8&guce_referrer_sig=AQAAACYiruZ2IAkgvo60uIN53a3XHDGI1KW7VfyRsAwQ_m4LP4dDCG2lomLKgjgP5IanrNyXVZMooTSnRhOmoG3bxOfHVRkD2xaEEIhSviNFY7wo5ds7-JDqRqWcnsTuOOk8zslpCfhpVKiWNggjrM03EWTskz4ot9G13oJWQZ5dFyCy

Fitriany. (2012). Analisa Pengaruh Krisis Global Financial Terhadap Jakarta Islamic Index (JII) dan Index Harga Saham Gabungan (IHSG). Jurnal Ekonomi & Keuangan Islam, 2(1), 1–12.

Gharehgozli, O., & Lee, S. (2022). Money Supply and Inflation after COVID-19. Economies, 10(5). https://doi.org/10.3390/economies10050101

Guo, R., Chen, Y., Lo, K. L., & Mi, J. J. (2021). The influence of international crude oil price on the crude oil spot price in China. Procedia Computer Science, 199, 1144–1151. https://doi.org/10.1016/j.procs.2022.01.145

Handayani, H., & Purba, C. O. (2022). The Impact of Russian Ukraine Conflict on Macroeconomics in Indonesia. Jurnal Mirai Management, 7(3), 471–481. https://doi.org/10.37531/mirai.v7i3.2492

Hasan, M. B., Hassan, M. K., Rashid, M. M., & Alhenawi, Y. (2021). Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic? Global Finance Journal, 50. https://doi.org/10.1016/j.gfj.2021.100668

Hesniati, H., Ogawa, A. Y., Clarence, A., Topher, C., & Engelina, J. (2022). Pengaruh Inflation, Interest Rate, dan Exchange Rate terhadap IHSG di Bursa Efek Indonesia pada Tahun 2011-2021. Studi Ilmu Manajemen Dan Organisasi, 3(1), 261–271. https://doi.org/10.35912/simo.v3i1.1078

Hidayati, S., & Sukmaningrum, P. S. (2019). Pengaruh Variabel Makroekonomi terhadap Jakarta Islamic Index periode 2011-2018. Jurnal Ekonomi Syariah Teori Dan Terapan, 6(9), 1894–1908.

IDX. (2022). Produk Syariah. https://www.idx.co.id/id/idx-syariah/produk-syariah

Insaidoo, M., Ullah, A., Dziwornu, R. K., Amoako, S., & Abdul-Mumuni, A. (2023). COVID-19 pandemic and stock market performance: A comparative study of emerging economies. Heliyon, 9(5). https://doi.org/10.1016/j.heliyon.2023.e16054

Irfan, M., Kassim, S., Dhimmar, S., Zahid, M., Fahmi, N., & Fuadi, Z. (2021). Reaction Of Islamic Stock Market To Macroeconomic Variables: A Study Of India And Indonesia. JEBIS: Jurnal Ekonomi Dan Bisnis Islam, 7(1). https://doi.org/10.20473/jebis.v7i1

Izzeldin, M., Muradoğlu, Y. G., Pappas, V., Petropoulou, A., & Sivaprasad, S. (2023). The impact of the Russian-Ukrainian war on global financial markets. International Review of Financial Analysis, 87. https://doi.org/10.1016/j.irfa.2023.102598

Kamal, M. R., Ahmed, S., & Hasan, M. M. (2023). The impact of the Russia-Ukraine crisis on the stock market: Evidence from Australia. Pacific Basin Finance Journal, 79. https://doi.org/10.1016/j.pacfin.2023.102036

Katmas, E., & Indarningsih, N. A. (2022). The Effect of Bi Interest Rate, Exchange Rate, and Inflation on The Indonesian Sharia Stock Index (ISSI). Indonesian Interdisciplinary Journal of Sharia Economics (IIJSE), 5(2), 2621–606.

Kemenag. (2022). Jumlah Penduduk menurut Agama. https://satudata.kemenag.go.id/dataset/detail/jumlah-penduduk-menurut-agama

Kemnaker. (2020). Menaker Ida: 29,12 Juta Orang Penduduk Usia Kerja Terdampak Pandemi Covid-19. https://kemnaker.go.id/news/detail/menaker-ida-2912-juta-orang-penduduk-usia-kerja-terdampak-pandemi-covid-19

Krismawati, D., & Fitriyani, A. L. (2022). Dampak Konflik Rusia-Ukraina. https://bigdata.bps.go.id/documents/datain/Datain-April-edit.pdf

Kusuma, D. T., Az-Zahra, S., Huda Apriyadi, M., Siregar, B., & Tinggi Ilmu Ekonomi YKPN Yogyakarta, S. (2022). Reaksi Pasar Modal Indonesia Terhadap Peristiwa Perang Rusia Dan Ukraina. JIMEA (Jurnal Ilmiah MEA), 6(3).

Kusumawardani, A. (2022). Fluktuasi Harga Saham dan Volume Transaksi Saham Sebelum dan Sesudah Pengumuman Covid-19 pada Perusahaan Farmasi yang Terdaftar di Bei. Jurnal Apresiasi Ekonomi, 10(1), 1–8.

Lee, B. J., Yang, C. W., & Huang, B. N. (2012). Oil price movements and stock markets revisited: A case of sector stock price indexes in the G-7 countries. Energy Economics, 34(5), 1284–1300. https://doi.org/10.1016/j.eneco.2012.06.004

Mailangkay, J., Ekonomi, F., Bisnis, D., Manajemen, J., Sam, U., & Manado, R. (2013). Integrasi Pasar Modal Indonesia dan Beberapa Bursa Di Dunia (Periode Januari 2013-Maret 2013). Integrasi Pasar Modal…. 722 Jurnal EMBA, 1(3), 722–731.

Mankiw, N. G. (2008). Brief Principles of Macroeconomics (5th ed.).

Messakh, S. R., Amtiran, P. Y., & Ratu, M. (2019). Pengaruh Inflasi dan Suku Bunga terhadap Investasi dalam Negeri di Indonesia. Journal of Management, 8(1), 1–15.

Muhari, S. (2021). Kinerja Jakarta Islamic Index dimasa Pandemi Covid-19 Tahun 2020. 5(1).

Mukmin, A., & Firmansyah, D. (2015). Analisis Perbandingan Volatilitas Indeks Harga Saham IHSG dan JII. In Jurnal Ekonomi dan Perbankan Syariah (Vol. 3, Issue 1). www.ojk.go.id

Nurfarkhana, A., & Anita, T. (2021). The Impact of Money Supply and The Inflation Rate on Indonesia Composite Index: Case Study in Indonesia Stock Exchange 2008-2017. Business and Accounting Research (IJEBAR) Peer Reviewed-International Journal, 5(2). https://jurnal.stie-aas.ac.id/index.php/IJEBAR

Nurmasari, I. (2020). Dampak Covid-19 Terhadap Perubahan Harga Saham dan Volume Transaksi. 3(3), 230.

OJK. (2022). Infografis Hasil Survei Nasional Literasi dan Inklusi Keuangan Tahun 2022. https://ojk.go.id/id/berita-dan-kegiatan/info-terkini/Pages/Infografis-Survei-Nasional-Literasi-dan-Inklusi-Keuangan-Tahun-2022.aspx

Prastyo, E. W. Z., & Setiartiti, L. (2018). Analisis Determinasi Harga Komoditas Pertambangan Terhadap Indeks Mining di IHSG (Indeks Harga Saham Gabungan) Periode Januari 2016-Agustus. In Journal of Economics Research and Social Sciences (Vol. 2, Issue 1). www.investing.com.

Putra, A. R., & Robiyanto, R. (2019). The effect of commodity price changes and USD/IDR exchange rate on Indonesian mining companies’ stock return. Jurnal Keuangan Dan Perbankan, 23(1). https://doi.org/10.26905/jkdp.v23i1.2084

Ratri, D. A., & Munawar. (2022). Analisis Pengaruh Suku Bunga (Bi Rate), Jumlah Uang Beredar Dan Ekspor Terhadap Inflasi di Indonesia pada Masa Pandemi Covid-19. Journal of Development Economic and Social Studies, 1(1), 58–70.

Reilly, F. K., & Brown, K. C. (2012). Investment Analysis and Portfolio Management.

RISSC. (2023). The Muslim 500: The World’s 500 Most Influential Muslims. https://themuslim500.com/download/

Santosa, H., & Wisnu, A. M. (2018). Analisis Pengaruh Nilai Tukar Rupiah, Suku Bunga SBI, Inflasi Terhadap Jakarta Islamic Index. Jurnal Ilmiah Ekonomi Islam, 4(03), 160. https://doi.org/10.29040/jiei.v4i03.295

Sebo, S. S., & Nafi, H. M. (2020). Pengaruh Inflasi, Nilai Tukar, Suku Bunga, Dan Volume Transaksi Terhadap Harga Saham Perusahaan Pada Kondisi Pandemi Covid-19. Jurnal Akuntansi Dan Perpajakan, 6(2), 113–126. http://jurnal.unmer.ac.id/index.php/ap

Suginam, S., Siska, E., & Hidayat, S. (2021). Pengaruh Nilai Tukar Uang, Jumlah Uang Beredar dengan Kegiatan Export Terhadap Inflasi Pada Masa Pandemic Covid-19. Ekonomi, Keuangan, Investasi Dan Syariah (EKUITAS), 3(2), 33–38. https://doi.org/10.47065/ekuitas.v3i2.1032

Syahri, A., & Robiyanto, R. (2020). The correlation of gold, exchange rate, and stock market on Covid-19 pandemic period. Jurnal Keuangan Dan Perbankan, 24(3). https://doi.org/10.26905/jkdp.v24i3.4621

Tambunan, D. (2020). Investasi Saham di Masa Pandemi COVID-19. Jurnal Sekretari Dan Manajemen, 4(2). http://ejournal.bsi.ac.id/ejurnal/index.php/widyacipta

Tambunan, D., & Hendarsih, I. (2022). Waspada Investasi Ilegal di Indonesia. Perspektif: Jurnal Ekonomi & Manajemen Universitas Bina Sarana Informatika , 20(1). https://doi.org/10.31294/jp.v20i1

Trisnadewi, S., & Pradipa, K. A. (2023). Analisis Studi Peristiwa Invasi Rusia ke Ukraina terhadap Harga Saham IDX 80 Di Bursa Efek Indonesia. 3(1).

Wicaksono, C. A., & Adyaksana, R. I. (2020). Analisis Reaksi Investor Sebagai Dampak Covid-19 Pada Sektor Perbankan di Indonesia. JIAFE (Jurnal Ilmiah Akuntansi Fakultas Ekonomi), 6(2). https://doi.org/10.34204/jiafe.v6i2.2227

Widarjono, A. (2013). Ekonometrika (4th ed.). UPP STIM YKPN.

Widjaja, M., Gaby, & Havidz, S. A. H. (2023). Are gold and cryptocurrency a safe haven for stocks and bonds? Conventional vs Islamic markets during the COVID-19 pandemic. European Journal of Management and Business Economics. https://doi.org/10.1108/EJMBE-05-2022-0135

Widyawati, N. L., & Ningtyas, M. N. (2022). Analysis Of Financial And Share Performance Performance Before And After The Covid-19 Pandemic On The Indonesia Stock Exchange (IDX). https://doi.org/10.32812/jibeka.v16i2.1029

Wong, H. T. (2022). The impact of real exchange rates on real stock prices. Journal of Economics, Finance and Administrative Science, 27(54), 262–276. https://doi.org/10.1108/JEFAS-03-2021-0011

World Health Organization. (2020). Covid Timeline. https://www.who.int/news/item/29-06-2020-covidtimeline

Yasri, G. F., & Anas, E. P. (2023). Impact Of Global Energy Index And Crude Oil & Coal Price To Indonesia Stock Indices. Eduvest-Journal of Universal Studies, 3. http://eduvest.greenvest.co.id

Zeuspita, A. C. A., & Yadnya, I. P. (2019). Pengaruh CAR, NPL, DER dan LAR terhadap ROA pada Bank Umum di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 8(12), 7411. https://doi.org/10.24843/ejmunud.2019.v08.i12.p25

Published

2024-05-03

Issue

Section

Articles