Journal articles on the topic 'The Global Sharia Stock Index'

This research seeks to examine the impact of the Global Islamic Stock Index (Dow Jones Islamic Market US) and macroeconomic factors (Inflation, BI Rate, Exchange Rate, and Money Supply) on the Indonesian Sharia Stock Index, with the Dow Jones Industrial Average (DJIA) acting as a moderating variable. Employing a quantitative methodology, the study incorporates descriptive analysis and hypothesis testing using the SmartPLS application to assess estimation outcomes. Secondary data from 2014 to 2023, including monthly Inflation, BI Rate, Exchange Rate, and Money Supply figures, taken from the official website of Bank Indonesia. Data for ISSI, DJIMUS, and DJIA were obtained from monthly closing prices on www.finance.yahoo.com. Findings reveal that DJIMUS exerts a significant negative influence on ISSI, while DJIA does not significantly moderate this relationship. Inflation and the BI Rate show no significant effects on ISSI; however, DJIA significantly moderates the BI Rate's influence on ISSI. The Exchange Rate has a significant negative impact on ISSI, whereas the Money Supply demonstrates a significant positive effect, though DJIA does not moderate its influence. The study focuses on monthly data from 2014 to 2023, limiting its reflection of daily or weekly stock market fluctuations. This research offers insights for academics and practitioners in Islamic finance and macroeconomics by exploring the interplay between global Islamic stock indices, macroeconomic indicators, and domestic Islamic stock indices, with consideration of global stock market moderation

This study aims to examine the spillover and contagion effects of global financial markets on the Indonesian Sharia Stock Index (ISSI) post-COVID-19. The study uses the Vector Error Correction Model method to explore the short-term and long-term relationships between ISSI and global financial markets. The data used in this study are time series data, namely the ISSI and several other countries that have a significant influence on the global economy, which were observed from May to July 2022. The results of the study show that the USD has a positive influence on ISSI in the short and long term. At the same time, the JPY and HKD have a negative influence on ISSI. The GBP and SGD do not have a significant influence on ISSI developments. The economic, business and financial sectors began to adjust after the COVID-19 pandemic ended, including the Indonesian Sharia Stock Index. Contagion occurs from one country’s financial system to another, which is influenced by aspects of volatility, exchange rates, the global crisis, the stock market, and stock indices. It is considered that this study can help the government to adjust better conditions of Islamic stocks in Indonesia. Acknowledgment The authors would like to thank the Research and Innovation Institute (LRI), Universitas Muhammadiyah Surakarta, for the enormous financial support in writing this study through the HIT funding scheme with number 02/A.6-II/FAI/1/2022.

This study analyzes the factors influencing the Sharia Stock Index in Indonesia based on world gold prices, crude oil prices, and BI Rate. Furthermore, to observe more complex conditions, the exchange rate was included as a form of mediation. The data in this study are time-series data collected from May 2011 to December 2023. The data were analyzed using time-series data regression, which involved mediating variables. The results show that world gold prices, crude oil prices, and the BI rate significantly affect the Indonesian Sharia Stock Index. The exchange rate mediates the effect of gold and crude oil prices on the Indonesian Sharia Stock Index but does not mediate the BI rate. This finding implies that the dynamics of global commodity prices and exchange rates should be the primary consideration in the investment strategy for Sharia stocks in Indonesia. In addition, the influence of the BI rate shows that the role of domestic monetary policy has also been proven to be significant in influencing the movement of the index.

Indonesia is one of the largest Muslim countries in the world that makes sharia investments in the capital market with efforts to develop the Islamic financial sector. Several factors that influence stock price fluctuations include global indices and macroeconomic variables. This study aims to determine the simultaneous and partial effect of the Dow Jones Industrial Average (DJIA), Inflation Rate, BI 7-Day Repo Rate, and USD/IDR Exchange Rate on the Indonesian Sharia Stock Index (ISSI). This study uses secondary data in the form of monthly index summary reports obtained from financial websites. The object of research is the Indonesian Sharia Stock Index. This study has a population of 60 data with the determination of the sample using saturated samples. The data analysis technique used multiple linear regression analysis techniques. Hypothesis testing using the F test and T test. The results of the simultaneous test analysis (Test F) show that the variables of the Dow Jones Industrial Average (DJIA) (X1), Inflation Rate (X2), BI 7-Day Repo Rate (X3) and USD/IDR Exchange Rate (X4) has a significant influence on the Indonesian Sharia Stock Index (ISSI) on the Indonesia Stock Exchange (IDX) Period August 2016 – July 2021. Partially, the DJIA Index and the Inflation Rate have a positive and significant effect on Indonesian Sharia Stock Index. Meanwhile, the BI 7-Day Repo Rate and the USD/IDR Exchange Rate have a negative and significant effect on Indonesian Sharia Stock Index.

<p><em>Globalization is rapidly causing an integration of economic and financial systems worldwide, resulting in shocks to the Islamic stock index and reducing the benefits of diversification for investors. Therefore, this study analyzes the integration, influence, response, and contribution of shocks to each developing country’s Islamic stock index. Specifically, analyzing the effect of developing country sharia stock index shocks on Indonesia's sharia stock index. The study uses monthly time series data for 2011-2021 with samples from Indonesia, Turkey, Malaysia, Pakistan, Kuwait, and India using the Vector Error Correction Model (VECM) method. The results showed cointegration or a long-term relationship in the developing countries’ sharia stock index. The Malaysian Islamic Stock Index and the Indian Islamic Stock Index influence the Indonesian Islamic Stock Index. Furthermore, the Indonesian Islamic Stock Index stabilized the fastest in response to the Turkish Islamic Stock Index shocks. However, the Malaysian Islamic Stock Index shock contributes the most to the Indonesian Islamic Stock Index. Developing countries could improve the infrastructure of the Islamic stock index and policy reforms. This would minimize the impact of international stock index shocks and accelerate integration. Investors should consider the dominant economic strength, geographical factors, and trade relations in determining portfolio diversification in global economic conditions.</em></p><div class="notranslate" style="all: initial;"> </div>

This study aims to find out empirically the effect of macroeconomics variables on the movements of the Indonesian Islamic Stock Index (ISSI). This research uses quantitative research methods, using multiple linear regression analysis models. Data collection uses secondary data from documentation related data. Data is taken from the monthly closing price of each variable from May 2011 to May 2019. The research test uses the t test and F test and is processed using Eviews8. The results showed that BI Rate and Exchange Rates (Kurs) has a negative and signifcant impact on Indonesia Sharia Stock Index (ISSI). However, the variable Bank Indonesia Certificates Sharia (SBIS), FED Rate, and World Gold Price, they do not have signficant influence on the Indonesia Sharia Stock Index (ISSI). The results showed that Bank Indonesia Certificates Sharia (SBIS), BI Rate, Exchange Rates (Kurs), FED Rate, and World Gold Price had a significant simultaneous effect on the ISSI, and the result of determination coefficient adjusted R2 values of 35,2%.

<p><em>Covid-19 has caused problems, including the global Islamic capital market. The rapid and extraordinary development of Covid-19 has rocked sharia investment in Indonesia. This study looks at the interaction of the global Islamic stock market with the Indonesian Islamic stock market, namely the Jakarta Islamic Index (JII), in the Covid-19 shock. Data is collected from within the global Islamic capital market sourced from the Dow Jones Islamic Market World Index, and the Indonesian Islamic capital market is sourced from the Indonesia Stock Exchange (IDX). They are generalizing the research period carried out during the covid-19 period starting from March 2020 to November 2022. This research used several stages of the Cointegration Test, Granger Causality Test, IRF (Impulse Response Function) Test and Forecasting Error Variance Decomposition (FEVD) Test. The study results show that the global Islamic stock market has had a significant impact on the Indonesian Islamic stock market both in the short and long term in the era of the covid-19 shock.</em></p>

The escalation of the Israel-Palestine conflict has garnered global attention. Public condemnation through mass boycotts of pro-Israel products has significantly impacted capital markets, particularly the sharia stock market in countries with Muslim majority populations. The volatility of sharia stock returns becomes a crucial focal point in this context as it serves as a sensitive indicator of geopolitical events and changes in investor sentiment. This study investigates the connection between the volatility of sharia stock returns in Indonesia and investor sentiment as a result of the Israel-Palestine conflict. Researchers use the GARCH (1,1) model to look at how investor sentiment and the conflict between Israel and Palestine affect the volatility of Sharia stock returns indexed by the Jakarta Islamic Index (JII), using monthly data from January 2012 to February 2024. The researchers hypothesized that investor sentiment and the Israeli-Palestine conflict affect Islamic stock returns in Indonesia, but the results of this study show that the two factors have no effect on Islamic stock returns. The findings of this research provide valuable insights for financial market practitioners, investors, and regulators in understanding the impact of geopolitical conflicts on the capital market, particularly in the context of sharia stocks in Indonesia. By considering investor sentiment factors and market fluctuations triggered by such geopolitical events, this study provides a stronger foundation for wise investment decision-making and effective risk management, thereby enhancing the stability and performance of sharia capital markets in the future.

This study analyzes the influence ZISWAF, Gini ratio, the total export value, the index of industrial production, sharia stock index investment to GDP growth, in the short and long term. Qualitative data were taken from BPS, Baznas, ACT Global Waqf, the FSA from March 2006 until December 2017 using the methodology of The Error Correction Model (ECM). The results of this study indicate that the variable Gini Ratio, Ziswaf, Total exports, Production Index and Sharia Stock Index on GDP economic growth have significant and positive effects in the long term and the short term. Meaning that these variables have a relationship with GDP economic growth. If the variable decreases or slows down-then GDP economic growth also. While total exports have insignificant effects and negative effects on GDP economic growth. The R-square regression value of the long-term model produces a proportion of 96 percent, the short-term model produces a proportion of 97 percent. Both in the long-run and short-run models, the highest coefficient value is the value of the Gini ratio with 4.941522 and 0.348043. All positive coefficients, Gini ratio variables, ziswaf and production index have a significant effect on gdp, total exports and sharia stock indexes do not have a significant effect on gdp both in the long and short-term models. 
 It implies in the future, fiscal economic policy makers to economic growth that opened a lot of employment, by encouraging resource based economic activities of Indonesia's largest export-oriented agriculture and mining. Good Corporate goverment should do so gini ratio of the areas surrounding the economy improved and people kesejahtaeraan increase.

<p>This study aims to explore the global development of Sharia-compliant stock investment by examining renowned international journal publications. This study employs a methodical literature review approach to look for papers using the term “Islamic Stocks” utilizing the Scopus aggregator. The author reviewed 71 research publications on Islamic shares published between 2014 to 2023. Based on these findings, the diversification of Islamic stocks provides notable benefits as it considers economic groupings ranging from industrialized to emerging nations. Islamic investment principles and mood are significant factors in the dynamics of the financial market. The Islamic stock market is often less dangerous during times of extreme events. Despite the COVID-19 pandemic affecting the stability of the Sharia stock index, some stocks have demonstrated their ability to withstand changes in investor state of mind. Essentially, this literature aims to provide basic guidance for decision-makers in investing and risk management in Islamic financial markets. It covers topics such as the potential of Islamic markets, risk, exposure, and interactions with external factors.</p>

Capital market liberalization provides international diversification opportunities for investors in the capital market. However, developments in information technology that lead to the speed of information dissemination encourage capital market integration, in which a country's capital market will relate to other countries' capital markets. This study uses a quantitative approach and determines the Jakarta Islamic Index (JII) and the Dow Jones Islamic Market Index (DJIMI) as research samples. The method used is GARCH and Sobel test. The study results show that Indonesia's Islamic stock index is integrated with the global Islamic stock index. The index integration relationship is influenced by investors' risk perceptions, where investors' risk perceptions have an asymmetric negative relationship with stock index returns indicating a leverage effect. Meanwhile, investors' perceptions of risk cannot mediate the effect of returns on the integration of Islamic stock indices.

Introduction to The Problem: The movement of the Islamic stock index can be influenced by changes in domestic macroeconomic conditions, not only domestic macroeconomics but also influenced by the stock markets of other countries.Purpose/Objective Study: The main objective of this study is to analyze the influence of the domestic macroeconomic and global stock indices on the Indonesian sharia stock index.Design/Methodology/Approach: This study uses a quantitative methodology with secondary data. The data sample method is saturated sample that all members of the population are used to be the research sample. The type of research data is monthly time series with a time period from May 2011 - July 2019, the selection of the Vactor Error Correction Model (VECM) research method based on the stationarity of the data on the first difference and the existence of cointegration models.Findings: The results showed in the short term all variables did not show a significant effect. In the long run, interest rates have a negative effect, while the exchange rate shows a positive effect on the movement of Islamic stock price indexes. Global stock indices such as the Shanghai Stock Exchange Index show a negative effect, and the Standard & Poor's 500 index shows a positive effect. While the Nikkei 225 index did not show a significant effect on the Indonesian Islamic stock index.

The efficiency of the Islamic stock market is pivotal amid global economic uncertainties, serving as a resilient alternative to conventional markets through adherence to sharia principles. This study aims to analyze the efficiency, volatility, and performance of the Indonesian Islamic stock market (Jakarta Islamic Index/JII) over a five-year period (2019–2024), reflecting global economic challenges. Using a quantitative approach, this research employs volatility and performance analysis models with data drawn from financial reports and macroeconomic indicators. Findings reveal that while the Islamic stock market in Indonesia experiences increased volatility during economic crises, it demonstrates superior stability and competitive returns compared to conventional markets. These results underscore the role of sharia principles in mitigating speculative risks and enhancing market resilience. Implications of this study suggest that policymakers, investors, and regulators can leverage the insights to develop strategies for risk management and investment optimization within the Islamic capital market ecosystem. Enhanced financial literacy and technological innovations are recommended to bolster transparency and efficiency, ensuring sustainability in the global economic landscape.

Research Aims: This study examines how several macroeconomic factors influence shifts in the Indonesian Sharia Stock Index (ISSI). The analyzed factors include M2, currency exchange rates, the Industrial Production Index (IPI), inflation, the BI Rate, and global gold prices. Design/methodology/approach: The study employs a quantitative approach using monthly secondary data from 2014 to 2023. The Vector Error Correction Model (VECM) is used to determine both short-term and long-term relationships between variables. Additionally, Variance Decomposition (VD) and Impulse Response Function (IRF) analysis are utilized to assess the interactions among the variables. Research Findings: The study finds that M2, exchange rates, IPI, inflation, and gold prices exhibit long-term effects on ISSI, while the BI Rate does not. In the short term, ISSI is primarily influenced by IPI. The IRF analysis indicates that ISSI responds positively to shocks in M2 and gold prices but remains relatively stable concerning exchange rates and the BI Rate. Theoretical Contribution/Originality: The findings offer crucial insights for investors and regulators in understanding the macroeconomic dynamics influencing the Indonesian Sharia stock market. The study enhances the comprehension of how economic variables interact with ISSI, contributing to more informed investment and policy decisions. Keywords: VECM, Macroeconomics, Indonesian Sharia Stock Index.

This study aims to investigate the role of inflation and interest rates in influencing the performance of Sharia-leading stocks, especially those included in the Jakarta Islamic Index (JII). Globally, Indonesia has become the seventh leading center of sharia finance. Global challenges and fluctuating domestic economic conditions have suppressed the performance of sharia stocks since 2023. Sharia stocks' unique characteristics distinguish them from conventional capital markets, creating a research gap in understanding the factors influencing them. This study used a quantitative approach and the data was taken from the period January 2020 to July 2024. The result of the t-test found that the t-count value is -0.229, which is greater than the t-table (-0.229 <1.674). A negative value indicates that inflation has a negative effect in the opposite direction to the performance of sharia stocks. Likewise, the interest rates are known that the t-count value of -0.841 is smaller than the t-table (1.674) or it can be stated that -0.81 < 1.674. That means in this context there is no statistically significant effect of the interest rate variable on the performance of Islamic stocks in the JII. The results of simultaneous testing showed that the F-count is 0.535, smaller than the F-table value of 3.47 which means inflation and interest rates did not significantly influence the performance of Sharia stocks. These findings are interesting considering that both variables are usually considered the main factors influencing the stock market in general. This indicates that sharia stocks in Jakarta Islamic Index (JII) have their own mechanism for dealing with macroeconomic changes, so their movement is not entirely dependent on fluctuations in inflation and interest rates.


 Corona Virus Dieases 2019 (Covid-19) has become a global pandemic that has hit almost all countries. No exception, Indonesia is also the place where the epidemic has hit. Apart from the health sector, the economic sector is one of the sectors most affected as well. This can beseen in the country's economic recession and the decline in the stock price index. This research aims to determine the comparison of the Islamic stock index before and during the Covid-19 pandemic. Method this research is to use quantitative descriptive analysis method using paired sample t-test. The research was conducted from March 1, 2019 to March 1, 2021. The results showed that the increase in the number of Covid-19 cases did not significantly affect the movement of the Indonesian Sharia Stock Index (ISSI) so there was no significant difference between average prices. ISSI shares before and during the Covid-19 pandemic. With the results of this study, it is hoped that it can provide a reference for investors to choose and invest in Islamic stocks, because the strength of Islamic stocks is quite good.

This study aims to examine the determinant factors that influence Islamic stocks, JII. The development of the global economy will have an impact on economic turnover in Indonesia. This condition leads to sharing prices will be affected by the global economy. Strengthening in various sectors is needed so that JII stability can be maintained. This study uses quantitative methods with the Vector Error Correction Model (VECM) analysis which can determine the factors that influence the Jakarta Islamic Index (JII) in the long run. The time-series data used is monthly data from January 2011 to December 2018. The result of this research presents the macroeconomic variables affect JII in the long run. This has implications for JII stability depending on the exchange rate of the rupiah against the US dollar, the business cycle, inflation, economic growth, and interest rates. Exchange rates and business cycles have a negative relationship with JII. Meanwhile, interest rates, CPI and IPI have a positive relationship with JII. This research shows the macroeconomic factors from the business-cycle, which can be taken to be determined. It seems that this study might be a suggestion for investors in making wise decisions in investing. Furthermore, the government plays a very important role in maintaining the stability of Islamic stocks and the factors that influence them. In addition, strengthening monetary policy is needed due to the stock movements cannot be separated from the policy.

Indonesia is the country with the largest muslim population in the world, so information related to sharia stock indexes has a fairly important role to understand capital market dynamics and investment decisions. This research aims to find out the simultaneous and partial influence of the Dow Jones Industrial Average, World Oil Prices, BI 7-Day reverse Repo Rate and Inflation on the Jakarta Islamic Index stock index on the Indonesia Stock Exchange. This study uses a type of skunder data in the form of historical records of reports per end of the month of the index obtained from the official financial website, namely Bank Indonesia, Investing and the Indonesia Stock Exchange. The population in this study is a time-series data of 60 months, starting from September 2016 to August 2021 with a sample determination technique using the saturated sample method. Data is tested and analyzed using multiple linear regression analysis techniques. Hypotheses are tested using the F test and the t test. The results of the analysis showed that simultaneously variable Dow Jones Industral Average (DJIA), World Oil Price, BI 7-Day reverse Repo Rate and Inflation had a significant effect on the Jakarta Islamic Index (JII) Stock Index on the Indonesia Stock Exchange (IDX). Partially DJIA and BI 7-Day reverse Repo Rate negative but not significant, while World Oil Price and Inflation have a significant positive effect on the Jakarta Islamic Index (JII).

Islamic financial market is the growing innovation of global financial market which moves together with conventional and sectorial counterpart in many countries. As the fastest growing investment component, Shariah compliant stock index in Bursa Malaysia has picked up positive momentum and attracted more attention to the investors, policy makers, issuers and researchers. The main objective of this study is to investigate the co-movement between Shariah compliant stock and sectorial stocks indexes performance in Bursa Malaysia using a standard time series techniques. For understanding a long run and short run co-movement among the Shariah compliant stock index, composite stock index and sectorial stock indexes, a co-integration approach, Vector Error Correction Model (VECM) have been applied respectively in this study. In addition, Granger causality test have been adopted to determine the lead-lag relationship. The findings show that in the long run, Shariah compliant index stock price and sectorial indexes stock price move together but in short run, speed of adjustment varies among the variables. Ganger causality test shows that there are bidirectional, unidirectional and no causality relationships between Shariah compliant and sectorial indexes.

Global stock markets experienced several spikes and dips during the pandemic. In March 2020, there was a sharp decline in many stock exchanges around the world, known as "Black Thursday". Major stock indice such as S&P 1200 Global Board Market Index (BMI) Shariah experienced significant declines in a short period of time. However, since those declines, global stock markets have experienced a strong recovery. Huge economic stimulus, hopes for a COVID-19 vaccine, and measures to ease restrictions have made investors more optimistic. Many major stock indices have managed to reach new highs in recent months. The movement of of the global Islamic stock market during the pandemic also depends on regional and country-specific factors. Overall, the global Islamic stock market experienced volatility during the COVID-19 pandemic, but has shown signs of recovery. Investment decisions in the global Islamic stock market during the pandemic need to take into account factors that affect sector and country-specific performance.

This study investigates how key macroeconomic variables influence the Islamic stock market in Indonesia through analysis of the Jakarta Islamic Index (JII). The research examines the impact of interest rates, inflation, exchange rates, and global gold prices on Islamic stock price movements, using monthly time series data from 2017 to 2021. The study employs multiple linear regression analysis with classical assumption tests to analyze the relationships between these variables. The findings reveal that interest rates have a significant positive effect on Islamic stock prices, while exchange rates demonstrate a significant negative impact. Inflation shows a negative but insignificant influence, and global gold prices exhibit a negative but statistically insignificant effect on the Islamic stock index. The model explains 69.8% of the variance in Islamic stock prices, indicating the substantial role of macroeconomic factors in determining Islamic stock market performance. These results provide valuable insights for investors, policymakers, and market participants in understanding the dynamics of Islamic stock markets and their relationship with broader economic conditions. The study contributes to the growing literature on Islamic finance by demonstrating how Sharia-compliant investments respond to various macroeconomic factors, offering practical implications for investment strategies and market regulation.

ABSTRACT The research aims to determine the impact of the Dow Jones Islamic Market (DJIM), Interest Rates, Rupiah Exchange Rate, and Inflation on the Indonesian Sharia Stock Index (ISSI). This research is a quantitative research with data processing using Eviews 10 software. Data collection uses secondary data of the time series type and the method of analysis used is multiple linear regression. Before data analysis was carried out, the researcher conducted a classic assumption test to ensure that the model met the assumptions of the OLS method. The data is taken from the monthly closing price or value of each variable from 2018-2022 (60 months). The results of the study show that simultaneously the Indonesian Sharia Stock Index is influenced by the Dow Jones Islamic Market, Interest Rates, the rupiah exchange rate, and inflation. The amount of influence caused by the independent variable is 75.4% on the dependent variable. While partially the Dow Jones Islamic Market, interest rates and inflation have a significant positive effect, while the rupiah exchange rate has a significant negative effect on the Indonesian sharia stock index. The influence exerted by the dow jones Islamic market, interest rates, rupiah exchange rate and inflation on the Indonesian Islamic stock index gives an illustration to investors that the fluctuations in the price of Islamic stock indexes can be influenced by foreign indices, the national economy and the global economy. Keywords: Dow jones Islamic market, interest rates, rupiah exchange rates, inflation, Indonesian sharia stock index ABSTRAK Penelitian bertujuan mengetahui pengaruh Dow Jones Islamic Market (DJIM), Suku Bunga, Kurs Rupiah, dan Inflasi terhadap Indeks Saham Syariah Indonesia (ISSI). Penelitian ini merupakan penelitian kuantitatif dengan pengolahan data menggunakan software Eviews 10. Pengumpulan data menggunakan data sekunder tipe time series serta metode analisis yang dipakai adalah regresi linear berganda. Sebelum analisis data dilakukan, peneliti melakukan uji asumsi klasik untuk memastikan model telah memenuhi asumsi metode OLS. Data diambil dari harga atau nilai penutupan bulanan masing-masing variabel dari tahun 2018-2022 (60 bulan). Hasil penelitian menunjukkan bahwa secara simultan Indeks Saham Syariah Indonesia dipengaruhi oleh Dow Jones Islamic Market, Suku Bunga, kurs rupiah, dan inflasi. Besaran pengaruh yang disebabkan variabel independen sebesar 75.4% terhadap variabel dependen. Sedangkan secara parsial Dow Jones Islamic Market, Suku Bunga dan inflasi berpengaruh positif signifikan, sedangkan kurs rupiah berpengaruh negatif signifikan terhadap Indeks saham syariah Indonesia. Pengaruh yang diberikan oleh dow jones islamic market, suku bunga, kurs rupiah dan inflasi terhadap indeks saham syariah Indonesia memberikan gambaran kepada investor bahwasannya naik turunnya harga indeks saham syariah dapat dipengaruhi oleh indeks luar negeri, ekonomi nasional dan ekonomi global. Kata Kunci: Dow Jones Islamic Market, Suku Bunga, Kurs Rupiah, Inflasi, Indeks Saham Syariah Indonesia

Due to the company's ongoing global expansion, numerous investors are competing to invest their money in it. The purpose of this is to get ready for the future. The stock prices of numerous companies have fallen as a result of the COVID-19 pandemic. But this actually causes Islamic stocks to rise gradually until they finally experience an increase in investors each year. In order to help investors who are considering investing in sharia-based companies, this study aims to test the effects of the determinants of the determinants of Sharia stock investment decisions on company value. Purposive sampling with non-probability sampling was used for the sampling technique. The method used for quantitative descriptive analysis in this study is multiple linear regression analysis. The conclusions in this study show that investment opportunities, profitability, debt policy and dividend policy have a significant effect on the value of the company simultaneously and partially the investment opportunity, profitability and debt policy have a significant effect on the value of the company while the dividend policy does not have a significant effect on the value of the company in the Jakarta Islamic Index.

Value at Risk (VaR) is one of the tools recommended Bank Indonesia to gauge the risk of an investment, the VaR approach tends to be more associated with the conventional assumption of a normal distribution, while contemporary empirical findings indicate the existence of patterns of abnormality in the nature of statistical data, especially on financial data. Up to this time shares in the Jakarta Islamic Index (JII) is still heavily influenced by the dynamics of market volatility which one, so the necessary in-depth analysis to help investors make the right decisions in investing. This research addresses the issue of risk analysis model using the VaR approach using a variety of model Heterokedastic Timeseris Conditionals (CHT) and find the best model. As for the data used is the daily closing stock index data-Sharia stocks (JII) post-crisis global 2008 (January 2009 – June 2011) and the software used is E-Views 5.1 and Excel 2007. The results obtained are of 16 (sixteen) model approach to VaR-CHT used, only 5 (five) a valid model on a confidence level of 99%, i.e. Approach (2.2) GARCH, GARCH M standard deviation GARCH (1,1), M Log (Variansi) (1,1), TARCH M Log (Variansi) (1,1), EGARCH and M Log (Variansi) (1,1). The VaR Model of the CHT are the best and recommended in analyzing the risks of stock investment is Shariah (JII) is a model that gives the value of the VaR model, i.e. the smallest VaR GARCH-M standard deviation (1,1) that gives the value of VaR is equal to 3.2396%.

The worldwide financial environment has experienced substantial upheavals amid both the Global Financial Crisis (GFC) and the COVID-19 pandemic. Gaining insight into investor behavior, with a specific focus on herd behavior, during these periods is essential for a comprehensive understanding of market dynamics. The authors intend to compare and analyze investor herding behavior in the Pakistani Stock market, specifically focusing on shariah-compliant and conventional stocks during both the Global Financial Crisis (GFC) and the COVID-19 pandemic. The study explores how stock return dispersions behave in response to significant upward and downward movements in the market index. Additionally, the research distinguishes between the overall and sector-specific performance of Shariah-compliant and conventional stocks. To examine participant herding behavior, the authors applied the cross-sectional absolute deviation model (CSAD) to the daily data of the Karachi stock market. The results indicate that both Shariah-compliant and conventional stocks exhibited a weak form of herding during the GFC. Furthermore, different sectors displayed varying degrees of herding intensity during this crisis. Notably, a substantial increase in herding behavior was observed during the COVID-19 pandemic. These findings have crucial implications for portfolio diversification strategies during financial crises, emphasizing the identification of safe havens by constructing portfolios across diverse segments and sectors. This research contributes to the existing knowledge on herding behavior by examining two distinct hypotheses related to conventional and shariah-compliant stocks, and the empirical evidence supports these hypotheses.

Purpose — This study aims to investigate the effect of investor sentiments, as measured by the Consumer Confidence Index (CCI), and the impact of COVID-19 on Islamic stock return volatility proxied by the Indonesia Sharia Stock Index (ISSI).
 Design/Methodology/Approach — This study employs the GARCH (1,1) model to test the impact of investor sentiments and COVID-19 on the volatility of Islamic stock returns using monthly data from July 2011 to December 2021.
 Findings — The findings of this study indicate that investor sentiments negatively impact the volatility of Islamic stock returns; while COVID-19 caused a high and persistent effect on Islamic stock return volatility.
 Originality/Value — Research on investor behaviour and volatility in the Islamic capital market (ICM) is limited. Investor sentiment is an essential variable in predicting the volatility level of stock returns. Investors must be aware of major events that are happening globally, such as COVID-19. This research specifically focuses on the sentiments of Islamic stock investors in Indonesia.
 Research Limitations/Implications — This study uses a traditional GARCH model for variance and is limited to the Islamic stock market in Indonesia. Only a few variables were assessed, notably investor sentiments and COVID-19 on the impact of stock return volatility, using monthly data.
 Practical Implications — Research on market volatility will significantly help investors, companies and regulators determine strategies to overcome risks. This research illustrates how investor behaviour can influence the movement of stock returns. A global event, notably the COVID-19 pandemic, proved to have significantly impacted the conditions of ICMs.

Indonesia and Malaysia are two countries in Southeast Asia that are always included in the top ten countries in the world that have the health and development of Islamic Finance according to the State of The Global Islamic Economy (GEI) Report. This study analyzes the performance of Indonesian sharia stocks that are incorporated in the Jakarta Islamic Index (JII) and Malaysian Islamic stocks that are incorporated in the FTSE Bursa Malaysia Hijrah Shariah Index (FHSI) for the period 2011-2018 with a technical analysis approach using 4 indicators, namely: return, volatility, Value at Risk (VaR), and Modified Sharpe Ratio (MSR). The results obtained from this study are that there have no significant differences in return and MSR performance between Indonesian and Malaysian Islamic stocks, but there have differences in volatility and VaR, where Indonesian Islamic stocks have higher volatility and VaR than Malaysia at a 95% confidence level.

Capital markets are often interpreted as a market for a long-term financial instrument (securities) (its maturity is more than 1 year). In addition to that understanding, the capital market is also often associated as a place for the transaction of the party that needs funds (the company) and the Excess party (financier). The initial step of Sharia capital market developments in Indonesia began with the issuance of sharia funds on 25 June 1997 followed by the issuance of sharia bonds at the end of 2002, followed by the presence of the Jakarta Islamic Index (JII) in July 2000. The marketable securities traded on the stock exchange include stocks, bonds and mutual funds. Marketable securities are often referred to as ' financial instruments ' or ' securities ' or ' Sekuritas ' (Securities Act No. 8 year 1995 defines the capital market as "the activities concerned with public offerings and securities trading, public companies relating to securities, published, as well as institutions and professions relating to the securities". The capital market acts as a liaison between investors and companies or government institutions through the long-term trading of financial instruments. In an effort to support the realization of the Indonesian capital market to become a resilient and global economic driver of the national economy as stated in the Indonesian capital market blueprint, it needs to be done continuously to improve and expand the capital market infrastructure towards the better direction.

Purpose The purpose of this study is to investigate the nature and integration of Islamic stock markets across the Association of Southeast Asian Nations (ASEAN-5) countries for economic community (AEC) development. Design/methodology/approach Using samples of daily closing prices from 2009 to 2014 across ASEAN-5 countries, co-integration and Granger-causality tests were applied. Findings This research finds that Islamic capital markets across ASEAN-5 countries remain highly integrated despite the global financial crisis of 2008, and it also finds the integration strength between Jakarta Islamic Index -Indonesia and Bursa Malaysia Emas Sharia-Malaysia Islamic capital markets to be the most influential across ASEAN-5 countries, while MSCI-Philippine Islamic capital market is the most vulnerable across ASEAN-5 Islamic capital markets. Research limitations/implications The overwhelming benefit of Islamic stock market integration across ASEAN-5 countries, and, even in a broader context, awaits further inquiry. Originality/value Islamic capital markets across ASEAN-5 countries are integrated regardless of the post-global financial crisis. This contributes to confirming cross-border integration policies, especially for AEC development.

This study aims to explore the effect of Islamic Months specifically Ramadan and Zil-Haj on the stock returns and volatility of the Islamic Global Equity Indices. For the said purpose, the data on three Global Equity Islamic Indices including; Dow Jones Islamic Market World Index, MSCI ACWI Islamic Index, and S&P Global BMI Shariah Index are collected from 5th Jan 2011 (1st Muharram 1432 A.H.) to 12th November 2015 (30th Muharram 1437 A.H.). Ordinary Least Square (OLS) and GARCH (1,1) regression methods are applied to analyze the impact of the Islamic months on global stock returns and volatility respectively. Empirical results reveal significant negative impact of Zil-Haj on returns and volatility of Islamic Global Equity Indices. However, no significant impact of Ramadan on returns and volatility of Islamic Global Equity Indices are revealed. These findings will be fascinating and of utmost interest amidst the researchers, investors and practitioners.

ABSTRAK Penelitian ini mempunyai tujuan yaitu ingin menganalisis apakah terdapat indikasi window dressing dalam laporan keuangan dilihat dari nilai cash holding, financial leverage dan nilai perusahaan pada sektor energi yang terdaftar di Indeks Saham Syariah Indonesia (ISSI) Bursa Efek Indonesia selama periode 2017-2020. Metode penelitian yang diterapkan yakni uji Beda t-test menggunakan uji Mann Whitney. Sampel yang dipakai ada 22 perusahaan sektor energi di ISSI BEI untuk rentang waktu 2017 triwulan pertama sampai 2020 triwulan keempat. Berdasarkan hasil analisa dalam riset ini membuktikan kalau tidak ada perbedaan nilai cash holding, financial leverage serta nilai perusahaan pada triwulan IV terhadap nilai dalam triwulan I, triwuulan II serta triwulan III. Hal ini mengidentifikasi bahwa perusahaan tidak mengindikasikan gejala window dressing. Sehingga dapat ditarik kesimpulan bahwa beberapa perusahaan di sektor energi yang tertera di ISSI BEI pada tahun 2017 hingga 2020 tidak terindikasi melaksanakan praktik window dressing. Hal ini dapat digunakan sebagai dokumen evaluasi bagi perusahaan di sektor energi untuk lebih meningkatkan operasional mereka. Untuk menghindari adanya indikasi window dressing, perusahaan energi yang terdaftar di ISSI BEI harus memprioritaskan upaya strategis dalam meningkatkan kinerja keuangan perusahaan sehingga cash holding, financial leverage, dan nilai perusahaan dapat mencerminkan situasi perusahaan. Kata kunci: window dressing, cash holding, financial leverage, nilai perusahaan. ABSTRACT This study aimed to analyze whether there are indications of window dressing in financial statements seen from the value of cash holding, financial leverage and company value in the energy sector listed on the Indonesian Sharia Stock Index (ISSI) of the Indonesia Stock Exchange (IDX) during the 2017-2020 period. The research method applied was the Different t-test using the Mann Whitney test. The sample used is 22 energy sector companies on the ISSI IDX for the period of 2017 first quarter to 2020 fourth quarter. Based on the results of the analysis, it proves that there is no difference in the value of cash holding, financial leverage and the value of the company in the 4th quarter of the value in the 1st, 2nd and 3rd quarters. This indicates that the company has no indication of window dressing symptoms. So it can be concluded that several companies in the energy sector listed on the ISSI IDX in 2017 to 2020 are not indicated to carry out window dressing practices. It can be used as an evaluation document for companies in the energy sector to further improve their operations. To avoid any indication of window dressing, energy companies listed on the ISSI IDX must prioritize strategic efforts in improving the company's financial performance so that cash holding, financial leverage, and company value can reflect the company's situation. Keywords: window dressing, cash holding, financial leverage, firm value. REFERENCES Alandari, T. rohmadoni. (2016). Analisis window dressing pada reksa dana saham perusahaan sekuritas Indonesia tahun 2010-2015. 1–8. Skrupsi tidak dipublikasikan. Universitas Jember. Alteza, M. (2007). Efek hari perdagangan terhadap return saham: suatu telaah atas anomali pasar efisien. Jurnal Ilmu Manajemen, 3(1), 31–42. Aprillia, S. V. (2016). Analisis window dressing pada perusahaan BUMN yang terdaftar di bursa efek Indonesia Periode 2012-2014. Doctoral dissertation. STIE Perbanas Surabaya. BBPT. (2022). 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Determinants of corporate cash holdings: evidence from Canada. International Journal of Economics and Finance, 4(1), 70–79. https://doi.org/10.5539/ijef.v4n1p70 Harinaldi. (2005). Prinsip-prinsip statistik untuk teknik dan sains. Jakarta: Erlangga. Hartono, J. (2013). Teori portofolio dan analisis investasi edisi kedelapan. Yogyakarta: BPFE. Iramani, R., & Mahdi, A. (2006). Studi tentang pengaruh hari perdagangan terhadap return saham pada BEI. Jurnal Akuntansi Dan Keuangan, 8(2), 63–70. https://doi.org/10.9744/jak.8.2.pp.%2063-70 Khokhar, A. R. (2013). Three essays in empirical corporate. Unpublished Thesis. McMaster University. Mardhiyah, S. (2012). Pengaruh bulan perdagangan terhadap return saham: pengujian january effect di indeks harga saham liquidity 45 (studi pada perusahaan sektor keuangan perbankan yang tercatat di LQ45 selama periode 2004-2012). Jurnal Ilmiah Mahasiswa Fakultas Ekonomi Dan Bisnis, 2(1), 1–12. Murtini, U., & Ukru, M. J. (2021). 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This study attempts to examine the short-term and long-term relationship among selected global anddomestic macroeconomic variables fromeach country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selectedmacroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECMJEL Classification: E52, E44

Purpose The purpose of this paper is to investigate the impact of the Indonesia Shariah-compliant Stock Index (ISSI) on the performance of included shares. In essence, the authors ask whether the establishment of the ISSI provides abnormal returns for the firms that are not included in the Jakarta Index. Design/methodology/approach The authors use an event study methodology to estimate cumulative abnormal returns in the days surrounding the event to examine the relationship between Shariah-compliant investments and stock returns. The estimation window of 90 trading days prior to the event (−30) to day 60 after (+60) is adopted. They also use a range of investment performance measures to provide new evidence on whether faith-based ethical investments generate superior performance compared to their unscreened benchmarks. Findings Using daily returns, the Indonesia ISSI and panel data model, the findings show that the inclusion of the ISSI has a positive impact on the financial performance of the included shares during the 41-day event window. The evidence also suggests that the ethical investment has a significant influence on the performance of stock market returns. Research limitations/implications This study offers insights to policymakers, investors and fund managers interested in the indices’ performance. A key conclusion that could be derived by bodies that regulate Islamic products and services is that investors are not only concerned about what is profitable but also what makes their investments ethical. Originality/value Although the global growth of the Islamic capital market products and services has been tremendous in recent years, very few studies focus on the Indonesian market and indeed, none of them devote sufficient attention to Shariah-compliant investments and stock returns.

The urgent need for CSR disclosure is not only for the company's internal needs in accountability, transparency, risk management, and business sustainability but also includes compliance with regulations and ensuring the reputation of the company's image for the trust of stakeholders, especially the surrounding community. The current situation related to the activities of mining and agricultural companies, which are risky and sensitive to the social environment and political economy, has become a major concern for various parties in Indonesia. Corporate Social Responsibility (CSR) has now become an obligation for companies that run their business activities directly or related to natural resources, which can be reported in the sustainability report. The study aims to determine the description of CSR disclosure practices in sustainability reports with the Sharia Enterprise Theory (SET) approach. The measurement indicators used are the GRI Standard and Sharia compliance, which consists of 4 categories in measuring CSR disclosure carried out by the content analysis method. This research was conducted on companies listed on the Indonesian Sharia Stock Index (ISSI). The number of samples in this study was 11 companies consisting of 6 mining companies and five agricultural companies obtained by purposive sampling technique. This study did not include the 2020-2024 period in the analysis because the global economic crisis due to the COVID-19 pandemic made companies change their priorities. The results showed that, in general, the concept of SET in CSR disclosure has been applied by companies in terms of habluminallah and habluminannas, with an average disclosure of 47 items out of 123 items per company. The company that disclosed the most was PT Timah Tbk, with a score of 65 items, and the lowest was PT Austindo Tbk, which had 30 items. Our findings have alternative implications for the government in several ways, including strengthening regulations and policies, supervision and law enforcement, incentives and support, and pressure on companies to provide space for public involvement and participation.

This study attempts to examine the short-term and long-term relationship among selected global and domestic macroeconomic variables from each country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selected macroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECMJEL Classification: E52, E44

ABSTRACT The Covid-19 pandemic has changed economic conditions in various countries, including Indonesia. One of the sectors affected is the capital market sector which can also describe the economic condition of a country through the stock index. This article aimed to analyze the impact of Covid-19 and the macroeconomics on the Islamic stock index in Indonesia (ISSI and JII). Macroeconomic variables are included in the model as an update. This study used a quantitative method using the VECM model. Research variable data were obtained from investing websites (ISSI and JII), Indonesian covid-19 task force websites (Covid-19 Cases), Statistics Indonesia (BPS),and BI (BI Rate, Inflation, Exchange rates, etc.) from March 2020 to December 2022. Based on the research results, covid-19 and the macroeconomics have no effect on the sharia stock index in Indonesia, except for the BI Rate. This is due to the fairly tight fundamental selection of constituent issuers of the Islamic stock index, the speed and accuracy of Covid-19 control and the massive education. This result has implications for the selection of investors in stocks that are included in the Islamic stock index in Indonesia, because it is proven that ISSI and JII are quite immune to the Covid-19 pandemic. Keywords: Islamic Stock, ISSI, JII, Covid-19 Pandemic, Macroeconomic. ABSTRAK Pandemi covid-19 telah merubah kondisi perekonomian di berbagai Negara, termasuk Indonesia. Salah satu sektor yang terdampak adalah sektor pasar modal yang juga dapat menggambarkan kondisi perekonomian suatu Negara melalu indeks saham. Artikel ini bertujuan untuk menganalisis dampak covid-19 dan makro ekonomi terhadap indeks saham syariah di Indonesia (ISSI dan JII). Variabel ekonomi makro yang dimasukkan ke dalam model sebagai pembaharuan, karena indeks saham dapat mencerminkan kondisi ekonomi suatu Negara. Penelitian ini menggunakan metode kuantitatif dengan menggunakan model VECM. Data variabel penelitian diperoleh dari website investing (ISSI dan JII), website satgas covid-19 Indonesia (Total Kasus Covid-19), BPS (BI Rate, Inflasi) dan BI (Kurs, Cadangan Devisa, Jumlah Uang yang Beredar) dari bulan Maret 2020 sampai dengan Desember 2022. Hasilnya pandemi covid-19 dan makro economi tidak berpengaruh terhadap indeks saham syariah di Indonesia, kecuali BI Rate. Hal tersebut dikarenakan cukup ketatnya seleksi fundamental emiten konstituen indeks saham syariah, kecepatan dan ketepatan pengendalian covid-19 serta edukasi pasar modal syariah yang masif. Hasil ini berimplikasi pada pemilihan investor pada saham-saham yang masuk ke dalam indeks saham syariah di Indonesia, karena terbukti bahwa ISSI dan JII cukup kebal dengan adanya pandemi covid-19. Kata Kunci: Saham Syariah, ISSI, JII, Pandemi Covid-19, Makro Ekonomi REFERENCES Abdalloh, I. (2018). Pasar Modal Syariah. 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This study investigates the factors influencing Corporate Social Responsibility (CSR) disclosure among companies listed in the PROPER KLH within the Indonesian Sharia Stock Index (ISSI) from 2017 to 2022. Utilizing a quantitative approach, the research employs secondary data and panel data regression analysis. The results reveal that environmental performance, company age, and tax aggressiveness significantly affect CSR disclosure, as measured by the Global Reporting Initiative (GRI) index. These findings underscore the crucial role of these factors in shaping a company's commitment to social and environmental responsibilities, while also highlighting the complex dynamics between corporate actions and their environmental impact. Companies with strong environmental performance not only contribute positively to the planet but also enhance their long-term reputation. The relationship between tax aggressiveness and CSR disclosure suggests a significant interplay between financial strategies and ethical considerations in corporate decision-making. This underscores the need for a comprehensive approach to corporate governance that integrates financial objectives with ethical responsibilities. Consequently, policymakers and stakeholders should leverage these insights to develop more effective regulations and incentives that promote responsible corporate conduct.

The aim of the present research is to highlight whether there exist any diversification opportunities from investing in developed and developing countries’ Shariah-compliant and non-Shariah-compliant stock markets during global financial crisis (GFC) and the COVID-19 pandemic periods. For this purpose, we employ daily data for both Shariah and non-Shariah indices from 29 October 2007 to 31 December 2021. The study uses multivariate GARCH-DCC and wavelet approaches to examine if there exist diversification opportunities in the selected markets. Evidence from this study shows that although the developing markets’ stock returns experience high volatility of a similar degree, the conventional indices of Malaysia have the highest volatility among them. This shows that Shariah indices have less exposure to risk and higher possibilities of diversification compared to their conventional counterparts. Regarding developed markets, the Japanese conventional index and the U.S. Shariah indices are more volatile compared to other indices in the market. Moreover, the results of the wavelet power spectrum show significant and higher volatility during the COVID-19 pandemic rather than the GFC. Similarly, the Chinese conventional market experienced minimum variance during the GFC and COVID-19 pandemic period. On the other hand, the results of wavelet-coherence transform indicate that the Japanese Shariah-based market offered better portfolio opportunities for U.S. traders during the GFC and the COVID-19 pandemic periods. Hence, opportunities for investment in this selected market are basically close to zero. Therefore, investors should carefully choose which stocks they can include in their investment portfolio.

The purpose of this study is to analyze whether good corporate governance and corporate social responsibility can affect the level of company profitability. Which is where GCG is proxied by managerial ownership, institutional ownership, and the independence of the Board of Commissioners. CSR is proxied using the Global Reporting Initiative (GRI) G-4 indicator with 91 assessment indicators, which consist of 9 points of economic performance assessment, 34 points of environmental performance assessment, 16 points of assessment of labor practices and work comfort, 12 points of human rights assessment. people, 11 points for community assessment, and 9 points for product performance assessment. This study uses data on the financial statements of companies in the consumer goods industry listed on the Indonesia Stock Exchange Sharia Stock Index (ISSI) for the period 2017-2020. The population in this study includes all companies in the consumer goods industry listed on the Indonesia Stock Exchange as many as 41 companies. The data collection method used in this research is purposive sampling. The sample in this study were 14 companies with an observation period of 4 years so that a total of 56 companies were observed. The conclusion of this study shows that good corporate governance does not partially affect the company's profitability. Corporate social responsibility partially affects the company's profitability. And good corporate governance and corporate social responsibility simultaneously affect the company's profitability.

Since the signed memorandum of understanding between BAPEPAM with Dewan Syariah Nasional-Majelis Ulama Indonesia (DSN-MUI) on the principle of Islamic capital market in 2003, the Islamic capital market in Indonesia has developed significantly. In each investment, including Islamic capital market investment, there are 2 (two) fundamental things that always accompany it, the return and risks. This paper discusses the analysis of return and risk of sharia stocks that always go in Jakarta Islamic Index (JII) after the global crisis in 2008, risk analysis tools using Value at risk (VaR) approach to model the Generalized Autoregressive Conditional Heteroscedastic (GARCH), then proceed with the analysis of the typology to determine the characteristics of these stocks. The results that shares sharia can be grouped into 4 (four) : 6 (six) shares entering the low return and low risk (TLKM, UNVR, SMGR, AALI, ELSA, and SGRO), 3 (three ) shares into group of low-return but high risk (INCO, ANTM, and TINS), 3 (three) shares enter the group of low risk but high return (PTBA, LSIP, and KLBF), and 4 (four) shares enter the group high return but high risk (ITMG, ASII, INTP, and BMTR).

This study investigates the relationship between Islamic Corporate Governance (ICG), intellectual capital, and the disclosure of sustainability reports among companies listed on the Indonesia Sharia Stock Index (ISSI). As sustainability reporting becomes increasingly important in promoting transparency and ethical accountability, especially within Islamic economic systems, this research aims to evaluate whether Sharia-based governance and intangible assets influence sustainability disclosure practices. Using a purposive sampling method, data were collected from 69 companies listed on the Jakarta Islamic Index 70 (JII70) as of November 2022. Sustainability reporting was measured using a checklist adapted from the Global Reporting Initiative (GRI), while ICG and intellectual capital were assessed using modified instruments based on Haniffa and Cooke (2005) and the VAIC™ model by Pulic (2000), respectively. The findings reveal that ICG does not significantly affect sustainability report disclosure, while intellectual capital exhibits a significant negative effect. Among control variables, only company size shows a significant positive relationship with sustainability disclosure. These results suggest that the implementation of ICG in Indonesia remains limited and that firms with high intellectual capital may prioritize internal development over transparency. The study contributes to the literature on Islamic business ethics and highlights the need for stronger integration of Sharia values and governance structures in sustainability practices.========================================================================================================ABSTRAK - Islamic Corporate Governance dan Modal Intelektual: Pendorong atau Penghambat Pengungkapan Keberlanjutan? Penelitian ini mengkaji hubungan antara Islamic Corporate Governance (ICG), modal intelektual, dan pengungkapan laporan keberlanjutan pada perusahaan yang terdaftar dalam Indeks Saham Syariah Indonesia (ISSI). Seiring meningkatnya pentingnya pelaporan keberlanjutan dalam mendorong transparansi dan akuntabilitas etis, khususnya dalam sistem ekonomi Islam, penelitian ini bertujuan untuk mengevaluasi apakah tata kelola berbasis syariah dan aset tidak berwujud memengaruhi praktik pengungkapan keberlanjutan. Dengan menggunakan metode purposive sampling, data dikumpulkan dari 69 perusahaan yang masuk dalam Jakarta Islamic Index 70 (JII70) per November 2022. Pelaporan keberlanjutan diukur menggunakan daftar periksa yang diadaptasi dari Global Reporting Initiative (GRI), sementara ICG dan modal intelektual diukur menggunakan instrumen modifikasi dari Haniffa dan Cooke (2005) serta model VAIC™ dari Pulic (2000). Hasil penelitian menunjukkan bahwa ICG tidak berpengaruh signifikan terhadap pengungkapan laporan keberlanjutan, sedangkan modal intelektual berpengaruh negatif secara signifikan. Di antara variabel kontrol, hanya ukuran perusahaan yang berpengaruh positif secara signifikan terhadap pengungkapan keberlanjutan. Temuan ini mengindikasikan bahwa implementasi ICG di Indonesia masih terbatas dan perusahaan dengan modal intelektual tinggi cenderung lebih fokus pada pengembangan internal daripada transparansi. Studi ini memberikan kontribusi terhadap literatur etika bisnis Islam dan menekankan perlunya integrasi yang lebih kuat antara nilai-nilai syariah dan struktur tata kelola dalam praktik keberlanjutan.

ABSTRAKTujuan dari penelitian ini yaitu meneliti pengaruh kebijakan dividen, volume perdagangan, volatilitas laba, ukuran perusahaan dan tingkat hutang terhadap volatilitas harga saham di emiten yang terdaftar di JII dari tahun 2015 sampai 2019. Adapun manfaat dari penelitian ini dalam eksistensi pasar finansial secara global karena dapat mengukur tingkat risiko. Penelitian ini dibantu dengan alat analisis Eviews 10. Regresi data panel dipilih dalam penelitian ini. Hasil penelitian membuktikan bahwa secara individual dividend payout ratio, volume perdagangan dan volatilitas laba secara positif memiliki pengaruh yang signifikan, ukuran perusahaan secara negatif memiliki pengaruh signifikan, dan tingkat hutang tidak memiliki pengaruh signifikan terhadap volatilitas harga saham. Secara simultan, variabel dividend payout ratio, volume perdagangan, ukuran perusahaan, volatilitas laba, dan tingkat hutang signifikan berpengaruh terhadap volatilitas harga saham. Kata Kunci: Volatilitas harga saham, emiten syariah, regresi data panel. ABSTRACTThe purpose of this study is to examine the effect of dividend policy, trading volume, earnings volatility, company size and level of debt on stock price volatility in issuers listed in JII from 2015 to 2019. The benefits of this research are in the existence of global financial markets because it can measure the level of risk. This research is assisted by the analysis tool Eviews 10. Panel data regression. selected in this study. The results showed that partially the dividend payout ratio, trading volume and earnings volatility had a positive and significant effect, company size had a negative and significant effect, and the level of debt had no significant effect on stock price volatility. Simultaneously, the variable dividend payout ratio, trading volume, company size, earnings volatility, and level of debt have a significant effect on stock price volatility. Keywords: Stock price volatility, sharia company, panel data regression. DAFTAR PUSTAKABawono, A., & Shina, A. F. I. (2018). Ekonometrika terapan untuk ekonomi dan bisnis Islam aplikasi dengan Eviews. Salatiga: Lembaga Penelitian dan Pengabdian kepada Masyarakat (LP2M) IAIN Salatiga Press.Brigham, E. F., & Houston, J. F. (2011). Dasar-dasar manajemen keuangan, buku kedua. Jakarta: Salemba Empat.Camilleri, S. J., Grima, L., & Grima, S. (2019). The effect of dividend policy on share price volatility: an analysis of Mediterranean banks’ stocks. Managerial Finance, 45(2), 348–364. https://doi.org/10.1108/MF-11-2017-0451Dewi, S., & Paramita, R. A. S. (2019). Pengaruh kebijakan dividen, volume perdagangan, earning volatility, leverage, dan firm size terhadap volatilitas harga saham perusahaan LQ45. Jurnal Ilmu Manajemen, 7(3), 761–771.Fakhruddin, H. M. (2008). Istilah pasar modal A-Z. Jakarta: Elex Media Komputindo.Gumanti, T. A. (2013). Kebijakan Dividen (Pertama). 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ABSTRAK Penelitian ini bertujuan untuk menguji spillover effect indeks saham syariah Amerika Serikat dan Cina terhadap indeks saham syariah ASEAN dengan menggunakan metode Nonlinier Autoregressive Distributed Lag (NARDL) untuk menemukan spillover effect yang bersifat asimetris selama pandemi Covid-19. Data yang diamati dimulai pada 1 Januari 2020 sampai dengan 30 September 2021 dengan total observasi sebanyak 336 data untuk masing-masing indeks saham. Penelitian ini mendapatkan beberapa temuan. Pertama, indeks saham syariah Amerika Serikat dan Cina memiliki pengaruh asimetris jangka pendek terhadap indeks saham syariah Indonesia, Malaysia dan Thailand selama pandemi Covid-19. Kedua, indeks saham syariah Amerika Serikat dan Cina hanya memiliki pengaruh asimetris jangka panjang terhadap indeks saham syariah Malaysia selama pandemi Covid-19. Ketiga, efek ketika terjadi penurunan indeks saham syariah Amerika Serikat dan Cina lebih besar dibandingkan pada saat terjadi kenaikan terhadap indeks saham syariah Malaysia selama pandemi Covid-19. Salah satu penyebab hubungan tersebut adalah karena adanya hubungan dagang yang sangat erat antara Amerika Serikat dan Cina terhadap Malaysia. Adapun implikasi dari penelitian ini adalah investor internasional dapat menjadikan hasil penelitian ini sebagai bahan pengambilan keputusan apabila terjadi kontraksi akibat krisis seperti pada saat pandemi Covid-19 terhadap indeks saham syariah Amerika Serikat dan Cina untuk mempertahankan maupun menjual portofolio investasi mereka. Kata Kunci: Spillover, Indeks Syariah, Asimetris, Covid-19. ABSTRACT This study aims to examine the spillover effect of Islamic stock indexes of the United States and China on the ASEAN Islamic stock index using the Nonlinear Autoregressive Distributed Lag (NARDL) method to find asymmetric spillover effects during the Covid-19 pandemic. The observed data starts on January 1, 2020, until September 30, 2021, with a total of 336 observations for each stock index. This study found some findings. First, the Islamic stock indexes of the United States and China have a short-term asymmetric influence on the Islamic stock indices of Indonesia, Malaysia, and Thailand during the Covid-19 pandemic. Second, the Islamic stock indexes of the United States and China have only a long-term asymmetric influence on Malaysia's sharia stock indexes during the Covid-19 pandemic. 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Purpose: The purpose of this study is to explore the mainstreaming of green investment in Islamic securities in North Sumatra. This research focuses on identifying key aspects, challenges, solutions, and priority strategies to promote green investment, particularly in sharia-compliant stocks. Given the global trend of increasing green investment, which reached 2.5 trillion USD by 2021, this study aims to analyze the role of green investment in supporting sustainable economic development, especially in North Sumatra, where no issuers are currently included in the ESG index despite having 12 IPO issuers, 9 of which are sharia stocks.Design/methodology: This research utilizes the Analytical Network Process (ANP) method to systematically identify the factors influencing green investment in Islamic securities. The study examines aspects such as profit and risk, the primary challenges investors face, and possible solutions to mitigate financial risks.Findings: The findings reveal that profit and risk considerations are key factors influencing green investment in Islamic securities. The main challenge identified is the uncertainty of financial risk, which deters potential investors. The priority solution to address this issue is implementing effective risk management strategies to reduce investment uncertainty. Additionally, increasing awareness and education on green investment can help improve investor confidence and participation.Practical implications: The implications of this research emphasize the importance of various efforts to provide an understanding of the importance of green investment in Islamic stocks to various parties so that the mainstreaming of green investment in North Sumatra can be achieved.Originality/Value: The originality of this study lies in its focus on an under-researched area, offering practical recommendations for integrating sustainability principles into Islamic financial markets.