changes in Macroeconomic conditions and capital Return in Indonesia

Purpose: this study aims to examine the influence of changes in inflation, changes in the rupiah exchange rate, changes in the money supply, changes in SBIS, changes in foreign exchange reserves and changes in interest rates on the return of Indonesian Islamic stocks. Methods: this study is focused on looking at conditions of macroeconomic changes that have an impact on the activity of the Islamic capital market, particularly on the return of Islamic stocks listed in the Jakarta Islamic Index. This empirical evidence is related to variable macroeconomic changes, namely changes in inflation, rupiah exchange rate, money supply, foreign exchange reserves, Indonesian Syariah Bank Certificates (SBIS) and interest rates on sharia stock returns for the period January 2014 – December 2019 obtained from Financial publications. Service Authority (OJK) and Bank Indonesia. The analysis technique used is quantitative analysis using multiple regression analysis tools. Results: the results of this study are (1) Variable Changes in Inflation, Changes in the Amount of Money Supply, Changes in Foreign Exchange Reserves, Changes in SBIS have a positive and significant effect on Stock Returns listed on the Jakarta Islamic Index, (2) changes in exchange rates have a negative and significant effect on Stock Returns listed in Jakarta Islamic. Index, (3) the Interest Rate variable has no effect on Stock Returns listed on the Jakarta Islamic Index. conclusions and Relevance: the approach used by each variable starts with the conventional followed by the study of Islamic macroeconomics, in order to provide a philosophy of science and economics that refers to Baqir Sadr in the Iqtishaduna book. In this study, researchers examined macroeconomic variables on sharia stock returns to prioritize people's welfare and pay close attention to every investment process based on sharia principles. Therefore the public, entrepreneurs, investors and company performance must pay attention to information regarding changes in inflation, changes in the rupiah exchange rate, changes in the money supply, changes in Bank Indonesia Sharia Certificates (SBIS), changes foreign exchange reserves, and changes in interest rates in order to minimize risks for both investors and entrepreneurs. This variable can affect the movement of the capital market so that the return on Islamic stocks also has an effect.


Introduction
The stock market concept was first introduced in France in the 13th Century. Islamic concept of mudrabah has similarities with the concept of modern stock in a number of ways that were introduced in the Age of the Prophet Muhammad (SAW) in the Sixth Century (Alam et al., 2017;Osmani & Abdullah, 2009; Al-Barwari, 2002) Shariah stock market in Indonesia began to be known by public in 2002 with the name of Jakarta Islamic Index (JII). Stock investment in Indonesia is relatively not promising given the trend of investment development that is experiencing fluctuations.
Investment in the capital market is a recommended muamalah activity and is an active form of sharia economics. In general, the concept of the Islamic capital market with the conventional capital market is not much different, but in the concept of the Islamic capital market that the shares traded must meet the criteria of sharia and be free from the element of usury and stock transactions are carried out by staying away from various speculative practices. The Islamic stock group is included in the Jakarta Islamic Index (JII) which consists of 30 (thirty) shares of issuers whose business activities comply with Islamic sharia. Stocks that are included in the Jakarta Islamic Index (JII) criteria are stocks whose operations do not contain ribawi elements, the company's capital is also not the majority of debt (Manan 2014: 79). So we can say that the stocks that are included in the Jakarta Islamic Index (JII) are stocks whose management and management are fairly transparent. аннотация цель. Предоставленная статья посвящена исследованию влияния изменения ряда макроэкономических факторов (инфляции, обменного курса рупии, денежной массы, сертификатов индонезийского шариатского банка (SBIS), валютных резервов и процентных ставок) на доходность индонезийских исламских акций. In addition to providing options for investors who wish to invest their funds in sharia, the JII index also has promising potential benefits because it is the top stock based on the order of the largest average market capitalization for the past 1 year. The JII Index provides options for investors who want to invest according to Islamic sharia on the stock exchange and get promising benefits. Islam teaches how to look for a good return and be grateful for it.
One form of investment that is very attractive to investors in Indonesia is Islamic stocks, especially in the Jakarta Islamic Index (JII). The following is the Company's market capitalization that remained in JII, namely 30 issuers during the 2014-2019 period as follows: Sourse: Idx.co.id ( 2019 ). In terms of trends in capitalization of Shariah stock market in Indonesia during 2014-2019 period has fluctuated every year, but during the last 3 years the capitalization of Shariah stock has decreased in Indonesia. This situation is due to the variation in Shariah stock investments that different each year. The characteristics of each Shariah stock valuation different each year, depending on the economic conditions of a country, Indonesia which is classified as a developing country may need time to return Shariah stock, because macroeconomic conditions in Indonesia are unstable. Perspectively there are difference in characteristics of Shariah stock returns between developed and developing countries, empirically proving that developed countries have a strong ability to estimate stock returns. The impact of macroeconomic variables on the stock market has been proven empirically in developed countries. Even so, empirical findings for developing economic cases are still a puzzle. Therefore, changes in stock prices are influenced by changes in macroeconomic performance in well-developed markets, but the results are not convincing for developing countries markets ( Different findings revealed by Soon et al. (2020) show that the exchange rate, money supply and economic growth are statistically significant while the inflation rate and the interest rate are not significant to Shariah stock returns. Consistent with this, this study empirically found that Shariah stock index in developed and developing countries were affected by returns of conventional stock index and money supply for low and high volatility regimes. In addition to macroeconomic conditions, Shariah stock returns have an integration rate and causality between Shariah stock markets that tend to change from time to time, especially during financial crisis period. Overall, it shows that Shariah compliant stock can offer potential diversification benefits by considering different economic groups such as in developed and developing countries. An interesting finding is that the Shariah stock index has empirically proven tendency to be more sustainable compared to conventional stocks (Alam et al., 2016). Empirical evidence presented by the literature before shows that there is a close influence between macroeconomic activities on Shariah stock return

Literature Review and Concept Framework
Based on Islamic perspective, every asset has its zakat. If the property is kept quiet (not productive), then gradually it will be consumed by zakat to reach its Nisab, one of the lessons of zakat is encourage every Muslim to invest his wealth. Assets that are invested will not be consumed by zakat except only the profits. This aspect is the basis for determining Shariah stock return indicator in Indonesia, a literature review that discuss macroeconomically as a state of problem that determines the return of Shariah stock. This concept is built based on data trends and literature studies that discuss stock returns based on macroeconomic aspects so that they are built into a conceptual framework as follow :  The conceptual framework explains the effect of exogenous variables, namely changes in inflation, changes in exchange rates, changes in money supply (M2), changes in Indonesian Sharia Bank Certificates, changes in foreign exchange reserves and changes in interest rates on endogenous variables, namely sharia stock returns. This concept is based on literature and trend studies that discuss macroeconomic conditions in determining Islamic stock returns.
The macroeconomic hypothesis indicator has a significant effect on sharia stock returns. The empirical evidence reviewed previously shows that changes in inflation have a negative and significant effect, while the exchange rate, money supply, Indonesian Syariah Bank Certificates, foreign exchange reserves and interest rates have a positive and significant effect. The empirical evidence yields the following hypothesis.

Research Methodology
This study examines all stock returns in companies listed on the Jakarta Islamic Index (JII) for the period January 2014 -December 2019. Sources of data obtained from the Financial Services Authority, Bank Indonesia and the Central Bureau of Statistics include data on Islamic stock returns, inflation, and the rupiah exchange rate, money supply, SBIS, Foreign Exchange Reserves and Interest Rates and included in the formula for changes. The analysis technique used is descriptive qualitative and quantitative using semi log regression analysis tools with the mathematical equation function as follows: Before estimating multiple regression, there is a model test covering the Gauss Markov test that is normality test, autocorrelation test and heteroscedastity test and hypothesis testing namely F test and t test and the coefficient of determination [26].

Results and Discussion
Efforts to create models that are not BIASED, so that the study will use the Gauss Markov test, as an indicator of testing that are normality test, autocorrelation test and heteroscedastity test with the following test results.
Based on Table 2. It shows that the model can be continued at the next stage because the model is free from classical assumptions based on the Gaus Markov test. Therefore the next step is to do the Hypothesis testing by looking at the estimated output of multiple regression as follows:

Statistic Analysis
Simultaneous testing based on Table 3 shows that the value of F-Statistics > F-   Partially it shows that the probability value < significance level (α) so that this condition means the variable has a significant effect, meaning that changes in inflation, the amount of money in circulation, SBIS, interest rates and foreign exchange reserves have a positive and significant effect on sharia stock returns. Meanwhile, the exchange rate has a negative effect on Islamic stock returns, the following can be seen using multiple regression which is simplified as follows: in SBIS by 1%, it will increase Sharia Stock Return by 0.022537 percent. . in his research states that inflation has a significant positive effect on stock returns of Islamic JII and agrees with the theory that changes in inflation which tend to increase will reduce the return of Islamic stocks, but there are differences in assumptions that see fluctuating inflation trends, and a person's tendency to sell Islamic stocks. in conditions of inflation so that the company will get a higher return, inflation is used as a forecasting tool in increasing the return of Islamic stocks. (

2) Influence of Changes in Rupiah Exchange Rate on Sharia Stock Returns in Indonesia
The output of regression model testing shows that partially has negative and significant effect. So it can be revealed that, any increase in rupiah exchange rate will reduce Shariah stock returns. This condition is well known due to investors' responses in predicting short-term conditions, if the movement of rupiah increases, investors refrain from investing. The position of investor who refrains from this will cause the stock returns to tend longer, until waiting for more stable exchange rate conditions. In line with this, this study is consistent with the results revealed by (Soon et al., 2020;Masrizal et al., 2019; which found that the exchange rate had a negative and significant effect on stock returns. (

3) Influence of changes Money Supply on Sharia Stock Returns in Indonesia
The statistical model estimate shows that the money supply has a significant effect on sharia stock returns and has a positive slope. This proves that the relatively increasing trend of the money supply will increase the return of Islamic stocks. This interaction is very different from the Keynesian Theory where an increase in the money supply will have an impact on increasing investment in securities, so that when the interest rate rises fundamentally it will cause capital gains and will have an impact on decreasing Islamic stock returns. The results of statistical analysis show that the interest rate model variable has no effect on Stock Returns recorded in the Jakarta Islamic Index. In Islam, interest rates are prohibited because there is an excess or additional payment without any compensation or imbalance required for one of the two transacting persons. Because Allah curses those who commit usury and closes the door for anyone who dares to do ribawi. This is in line with research conducted by (Mayfi, 2014; Miftahul Aniq, 2015; Sanjaya, 2018; Rosid, 2016) which found that interest rates have no effect on Sharia Stock Returns listed in JII.