Signifikansi Fluktuasi Harga Pasar Komoditas Dunia dan Indikator Makroekonomi terhadap Saham Syariah di Indonesia

Abstract

The Significance Of Global Commodity Market Price Fluctuations And Macroeconomic Indicators On The Sharia Stock Index In Indonesia This study aims to analyse the impact of world commodity prices and macroeconomic indicators on the movement of the Indonesian Sharia Stock Index (ISSI) during the period January 2017 to December 2023. This research uses a quantitative descriptive approach with the Autoregressive Distributed Lag (ARDL), Impulse Response Function (IRF), and Variance Decomposition analysis methods with the help of EViews 12 software. The variables used in this study include gold prices, coal prices, palm oil prices (CPO), USD / IDR exchange rates, and the Indonesian Sharia Stock Index (ISSI) as the dependent variable. The results show that gold prices have a negative but insignificant influence on the ISSI in the long run. In contrast, coal prices have a positive and significant influence in the long term. CPO price is proven to have a significant effect on ISSI both in the short and long term. Meanwhile, the USD/IDR exchange rate shows a significant influence in the short term but not significant in the long term on the ISSI.Through impulse response analysis, ISSI responds positively to shocks originating from coal prices and CPO prices, while gold prices and exchange rates respond negatively. Based on the variance decomposition results, the contribution of gold price, coal price, CPO price, and exchange rate variables to ISSI fluctuations gradually increased until the end of the observation period, with a total contribution to ISSI variations of 5.58%. Keywords: World Commodity Prices, Macroeconomic Indicators, Indonesian Indonesian Sharia Stock Index (ISSI)