mirМИР (Модернизация. Инновации. Развитие)MIR (Modernization. Innovation. Research)2079-46652411-796XSchool of Public Administration10.18184/2079-4665.2020.11.3.320-328mir-1061Research ArticleРАЗВИТИЕRESEARCHВлияние изменения макроэкономических условий на доходность капитала в ИндонезииChanges in Macroeconomic conditions and capital Return in IndonesiaСельвиАндестаSelviAndesta

аспирант экономического факультета

30128, Южная Суматра, Палембанг, Илир Барат 1

Postgraduate Student, Faculty of Economy

Ilir Barat 1, Palembang, South Sumatera, 30128

selviandesta94@gmail.comМохаммадАдамMohammadAdam

профессор экономики, преподаватель экономического факультета

30128, Южная Суматра, Палембанг, Илир Барат 1

Professor (Economics), Lecturer at Faculty of Economy

Ilir Barat 1, Palembang, South Sumatera, 30128

Mr_adam2406@yahoo.comСухел.Suhel.

доктор экономики, преподаватель экономического факультета

30128, Южная Суматра, Палембанг, Илир Барат 1

Doctoral (Economics), Lecturer at Faculty of Economy

Ilir Barat 1, Palembang, South Sumatera, 30128

Suhel_feunsri@yahoo.co.idУниверситет Шривиджая (UNSRI)ИндонезияSriwijaya University (UNSRI)Indonesia202027102020113320328Copyright © Сельви А., Мохаммад А., Сухел .., 20202020Сельви А., Мохаммад А., Сухел ..Selvi A., Mohammad A., Suhel ..Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://www.mir-nayka.com/jour/article/view/1061Цель

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.

Методы или методология проведения работы. Поскольку данное исследование направлено на изучение макроэкономических условий, влияющих на активность Исламского рынка капитала (в частности, на доходность исламских акций, котирующихся в Джакартском исламском индексе (JII)), в процессе работы были использованы эмпирические данные, опубликованные Управлением финансовых услуг Индонезии (OJK) и Центральным банком Индонезии (BI), которые иллюстрируют изменение показателей инфляции, обменного курса рупии, денежной массы, валютных резервов, сертификатов индонезийского шариатского банка (SBIS) и процентных ставок по доходности исламских акций в период январь 2014 – декабрь 2019 гг.. При обработке данных в работе использован метод количественного анализа с использованием инструментов множественного регрессионного анализа.

Результаты работы

Результаты работы. 1) Изменения показателей инфляции, объема денежной массы, валютных резервов и SBI оказывают положительное и значительное влияние на доходность акций, котирующихся в Джакартском исламском индексе (JII). 2) Изменение валютных курсов оказывает отрицательное и значительное влияние на доходность акций, котирующихся в JII. 3) Изменение процентной ставки не влияет на доходность акций, включенных в Джакартский исламский индекс.

Выводы

Выводы. Необходимость исследования макроэкономических факторов доходности исламских акций обусловлена приоритетом благосостояния людей, в связи с чем важно уделять особое внимание инвестиционным процессам, основанным на принципах шариата. Для минимизации своих рисков общественность, предприниматели и инвесторы Индонезии должны обращать внимание на информацию об изменениях инфляции, обменного курса рупии, денежной массы, индонезийских банковских шариатских сертификатов (SBIS), валютных резервов и процентных ставок. Влияние указанных изменений на доходность исламских акций, в свою очередь, отражается на динамике рынка капитала.

Purpose

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

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

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.

доходность акцийизменение инфляцииобменный курс рупииизменение объема денежной массысертификаты индонезийского шариатского банка (SBIS)изменение валютных резервовизменение процентных ставокStock ReturnInflation ChangeRupiah Exchange RateChange in Amount of Money SupplyChange in Bank Indonesia Sharia CertificateChange in Foreign Exchange Reservesand Change in Interest RatesReferencesAlam M. M., Akbar C.S., Shahriar S.M., Elahi M.M. The Islamic Shariah principles for investment in stock market. Qual. Res. Financ. Mark. 2017; 9(2):132–146. doi: 10.1108/QRFM-09-2016-0029Alam M. M., Akbar C.S., Shahriar S.M., Elahi M.M. The Islamic Shariah principles for investment in stock market. Qual. Res. Financ. Mark. 2017; 9(2):132–146. doi: 10.1108/QRFM-09-2016-0029Osmani N.M., Abdullah F. Towards an Islamic stock market: a review of classical and modern literatures. Int. Rev. Bus. Res. Pap. 2009; 5(5):121–130. Available: http://irep.iium.edu.my/4247/Osmani N.M., Abdullah F. Towards an Islamic stock market: a review of classical and modern literatures. Int. Rev. Bus. Res. Pap. 2009; 5(5):121–130. Available: http://irep.iium.edu.my/4247/Al-Barwari S. Bursat Al-Awraq Al-Maliyyah Manzurin Islamiy. Damascus: Darul Fikr, 2002 MinAl-Barwari S. Bursat Al-Awraq Al-Maliyyah Manzurin Islamiy. Damascus: Darul Fikr, 2002 MinOtoritas Jasa Keuangan. Pasar Modal Syariah. 2017. Available: https://www.ojk.go.id/id/kanal/pasarmodal/Pages/Syariah.aspx#:~:text=Sejarah Pasar Modal Syariah di,Index pada tanggal 3 Juli (accessed Jul. 20, 2020)Otoritas Jasa Keuangan. Pasar Modal Syariah. 2017. Available: https://www.ojk.go.id/id/kanal/pasarmodal/Pages/Syariah.aspx#:~:text=Sejarah Pasar Modal Syariah di,Index pada tanggal 3 Juli (accessed Jul. 20, 2020)Masrizal, M. Ubaidillah Al Mustofa, Herianingrum S. Macroeconomic Determinants of Jakarta Islamic Index. KnE Soc. Sci. 2019; 3(13):510. doi: 10.18502/kss.v3i13.4227Masrizal, M. Ubaidillah Al Mustofa, Herianingrum S. Macroeconomic Determinants of Jakarta Islamic Index. KnE Soc. Sci. 2019; 3(13):510. doi: 10.18502/kss.v3i13.4227Idris I., Bala H. Firms’ Specific Characteristics and Stock Market Returns (Evidence from Listed Food and Beverages Firms in Nigeria). Res. J. Financ. Account. 2015; 6(16):188–201Idris I., Bala H. Firms’ Specific Characteristics and Stock Market Returns (Evidence from Listed Food and Beverages Firms in Nigeria). Res. J. Financ. Account. 2015; 6(16):188–201Sayedy B., Ghazali M. Z. The Impact of Microeconomic Variables on Stock Return by Moderating of Money Supply. Asian Soc. Sci. 2017; 13(12):191. doi: 10.5539/ass.v13n12p191Sayedy B., Ghazali M. Z. The Impact of Microeconomic Variables on Stock Return by Moderating of Money Supply. Asian Soc. Sci. 2017; 13(12):191. doi: 10.5539/ass.v13n12p191Rahman A. A., Zahirah N., Sidek M., Tafri F.H. Macroeconomic determinants of Malaysian stock market. African J. Bus. Manag. 2009; 3(3):095–106Rahman A. A., Zahirah N., Sidek M., Tafri F.H. Macroeconomic determinants of Malaysian stock market. African J. Bus. Manag. 2009; 3(3):095–106Afendi A. Pengaruh Variabel Makro Ekonomi Terhadap Indeks Saham di Jakarta Islamic Indeks (JII) (Periode 2012–2016). SEGMEN J. Manaj. dan Bisnis. 2017; 13(2):48–72Afendi A. Pengaruh Variabel Makro Ekonomi Terhadap Indeks Saham di Jakarta Islamic Indeks (JII) (Periode 2012–2016). SEGMEN J. Manaj. dan Bisnis. 2017; 13(2):48–72Fadhilah N. Pengaruh SBIS, Jakarta Islamic Index, Tingkat Inflasi, dan Index Harga Saham Gabungan Terhadap Nilai Tukar: Pendekatan Autoregressive Distributed Lag. J. Ekon. Syariah Teor. dan Terap. 2017; 4(10):833–846Fadhilah N. Pengaruh SBIS, Jakarta Islamic Index, Tingkat Inflasi, dan Index Harga Saham Gabungan Terhadap Nilai Tukar: Pendekatan Autoregressive Distributed Lag. J. Ekon. Syariah Teor. dan Terap. 2017; 4(10):833–846Mayfi F.D.R. Analisis Pengaruh Faktor Internal dan Eksternal Perusahaan Terhadap Return Saham. J. Mix. 2014; 4(3):348–362. doi: 10.1080/14768320500230185Mayfi F.D.R. Analisis Pengaruh Faktor Internal dan Eksternal Perusahaan Terhadap Return Saham. J. Mix. 2014; 4(3):348–362. doi: 10.1080/14768320500230185Ardana Y. Pengaruh Variabel Makroekonomi terhadap Indeks Saham Syariah di Indonesia: Model ECM. Esensi. 2016; 6(1):17–30. doi: 10.15408/ess.v6i1.3118Ardana Y. Pengaruh Variabel Makroekonomi terhadap Indeks Saham Syariah di Indonesia: Model ECM. Esensi. 2016; 6(1):17–30. doi: 10.15408/ess.v6i1.3118Özlen Ş. The Effects of Domestic Macroeconomic Determinants on Stock Returns: A Sector Level Analysis. Eur. Res. 2014; 81(8–2):1551–1560. doi: 10.13187/er.2014.81.1551Özlen Ş. The Effects of Domestic Macroeconomic Determinants on Stock Returns: A Sector Level Analysis. Eur. Res. 2014; 81(8–2):1551–1560. doi: 10.13187/er.2014.81.1551Sorana V. Determinants of Return on Assets in Romania: A Principal Component Analysis. Timisoara J. Econ. Bus. 2015; 8(s1):32–47. doi: 10.1515/tjeb2015-0003Sorana V. Determinants of Return on Assets in Romania: A Principal Component Analysis. Timisoara J. Econ. Bus. 2015; 8(s1):32–47. doi: 10.1515/tjeb2015-0003Artaya M., Purbawangsa I.B.A., Artini L. G. S. Pengaruh Faktor Ekonomi Makro, Risiko Investasi Dan Kinerja Keuangan Terhadap Return Saham Perusahaan Di Bursa Efek Indonesia (Bei). E-Jurnal Ekon. dan Bisnis Univ. Udayana. 2014; 3(12):689701Artaya M., Purbawangsa I.B.A., Artini L. G. S. Pengaruh Faktor Ekonomi Makro, Risiko Investasi Dan Kinerja Keuangan Terhadap Return Saham Perusahaan Di Bursa Efek Indonesia (Bei). E-Jurnal Ekon. dan Bisnis Univ. Udayana. 2014; 3(12):689701Quthbi Z. H. Analisis Saham Syariah Efisien dengan Pendekatan Shari ’ a Compliant Asset Pricing Model ( SCAPM ) pada Jakarta Islamic Index (JII). Econ. J. Ekon. Islam. 2017; 8:131–147Quthbi Z. H. Analisis Saham Syariah Efisien dengan Pendekatan Shari ’ a Compliant Asset Pricing Model ( SCAPM ) pada Jakarta Islamic Index (JII). Econ. J. Ekon. Islam. 2017; 8:131–147Habib M., Islam K. U. Impact of Macroeconomic Variables on Islamic Stock Market Returns: Evidence From Nifty 50 Shariah Index. January, 2017Habib M., Islam K. U. Impact of Macroeconomic Variables on Islamic Stock Market Returns: Evidence From Nifty 50 Shariah Index. January, 2017Sukor M.E.A., Sujak Z.A., Noordin K. Conventional REITs, Islamic REITs and macroeconomic variables in Malaysia: a review. ISRA Int. J. Islam. Financ. 2020; 12(1):131–143. doi: 10.1108/IJIF-08-2018-0089Sukor M.E.A., Sujak Z.A., Noordin K. Conventional REITs, Islamic REITs and macroeconomic variables in Malaysia: a review. ISRA Int. J. Islam. Financ. 2020; 12(1):131–143. doi: 10.1108/IJIF-08-2018-0089Soon W.C.K., Hussin M.Y.M., Muhammad F., Wahab N.A. Macroeconomic shocks and leverage effect on Malaysian Islamic real estate investment trust stock return. J. Crit. Rev. 2020; 7(6):607–617. doi: 10.31838/jcr.07.06.108Soon W.C.K., Hussin M.Y.M., Muhammad F., Wahab N.A. Macroeconomic shocks and leverage effect on Malaysian Islamic real estate investment trust stock return. J. Crit. Rev. 2020; 7(6):607–617. doi: 10.31838/jcr.07.06.108Bahloul S., Mroua M., Naifar N. The impact of macroeconomic and conventional stock market variables on Islamic index returns under regime switching. Borsa Istanbul Rev. 2017; 17(1):62–74. doi: 10.1016/j.bir.2016.09.003Bahloul S., Mroua M., Naifar N. The impact of macroeconomic and conventional stock market variables on Islamic index returns under regime switching. Borsa Istanbul Rev. 2017; 17(1):62–74. doi: 10.1016/j.bir.2016.09.003Abbes M.B., Trichilli Y. Islamic stock markets and potential diversification benefits. Borsa Istanbul Rev. 2015; 15(2): 93–105. doi: 10.1016/j.bir.2015.03.001Abbes M.B., Trichilli Y. Islamic stock markets and potential diversification benefits. Borsa Istanbul Rev. 2015; 15(2): 93–105. doi: 10.1016/j.bir.2015.03.001Alam N., Arshad S., Rizvi S.A.R. Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency. Rev. Financ. Econ. 2016; 31:108–114. doi: 10.1016/j.rfe.2016.06.003Alam N., Arshad S., Rizvi S.A.R. Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency. Rev. Financ. Econ. 2016; 31:108–114. doi: 10.1016/j.rfe.2016.06.003Huda N. dan M.E.N. Investasi Pada Pasar Modal Syariah. 1st ed. Jakarta: Kencana, 2014Huda N. dan M.E.N. Investasi Pada Pasar Modal Syariah. 1st ed. Jakarta: Kencana, 2014Habib M., Islam K.U. Impact of Macroeconomic Variables on Islamic Stock Market Returns: Evidence From Nifty 50 Shariah Index. J. Commer. Account. Res. Forbid. 2017; 6(1):38–44Habib M., Islam K.U. Impact of Macroeconomic Variables on Islamic Stock Market Returns: Evidence From Nifty 50 Shariah Index. J. Commer. Account. Res. Forbid. 2017; 6(1):38–44Giles D. E. Interpreting Dummy Variables in Semilogarithmic Regression Models: Exact Distributional Results. Econom. Work. Pap. EWP1101. 2011; 250:1–24Giles D. E. Interpreting Dummy Variables in Semilogarithmic Regression Models: Exact Distributional Results. Econom. Work. Pap. EWP1101. 2011; 250:1–24Gujarati D.N. Basic Econometrics. 4th ed. New York: he McGraw-Hill Companies, 2004Gujarati D.N. Basic Econometrics. 4th ed. New York: he McGraw-Hill Companies, 2004

The authors declare that there are no conflicts of interest present.