Makro ekonomi dan pasar saham syariah: pendekatan autoregressive distributed lag

Yuliasti Linawati, Farma Andiansyah, Muhammad Ghafur Wibowo

Abstract


Penelitian ini bertujuan untuk mengalisis hubungan antara variabel makro ekonomi seperti inflasi, nilai tukar, dan suku bunga terhadap pasar saham syariah di Indonesia yang diwakili oleh indeks JII. Periode waktu yang digunakan yaitu mulai dari bulan Januari 2014 hingga Januari 2020, dengan menggunakan pendekatan autoregressive distributed lag. Adapun secara keseluruhan, hasil penelitian menyimpulkan bahwa baik dalam jangka pendek maupun jangka panjang seluruh variabel yang digunakan dalam penelitian terbukti mampu memengaruhi pasar saham syariah di Indonesia.


Keywords


Makro ekonomi; pasar saham; autoregressive distributed lag

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DOI: https://doi.org/10.30872/jinv.v17i3.10035

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