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Title: Analisis Pengaruh Variabel Makroekonomi dan Indeks Saham Syariah Regional terhadap Risiko Jakarta Islamic Index (JII)
Authors: Abdul Azzis
Advisors: Yoghi Citra Pratama
Keywords: rate;ARCH;FTSMY index;FTSJP index;DJIUK index;DJIUS index;IDR-USD exchange rate;, inflation
Issue Date: 7-Mar-2017
Publisher: Jakarta: Fakultas Ekonomi dan Bisnis UIN Syarif Hidayatullah Jakarta
Abstract: Dow Jones Islamic U.K index (DJIUK), FTSE Japan Shariah 100 index (FTSJP) and FTSE Malaysia Hijrah Shariah index (FTSMY) on risk of Jakarta Islamic Index during the period of 2007-2016. The analysis method used in this research is Auto Regressive Conditional Heteroscedastic-Generalized Auto Regressive Conditional Heteroscedastic (ARCH-GARCH). The result of this research showed that all variables i.e BI rate, inflation rate, IDR-USD exchange rate, DJIUS index, DJIUK index, FTSJP index and FTSMY index have simultanously significant impact on risk of JII. While t-test results show that BI rate, IDR-USD exchange rate, DJIUK index and FTSMY index have significant impact on risk of JII. The results also showed that the value of adjusted R square is 59,49%.
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