THE ANALYSIS EFFECT OF MACROECONOMIC VARIABLES ON SHARIAH AND CONVENTIONAL MARKET SHARE AT INDONESIA
Keywords:Composite Stock Price Index, Jakarta Islamic Index Industrial Production Index, Unemployment Rate, Exchange Rate, Volume Export, Interest Rate.
The purpose of this study is to examine and analyze the effect of macroeconomic variables on shariah and conventional stock markets in Indonesia. This study examines and analyzes longterm equilibrium relationships then the effects of short and long term and lastly examines and analyzes the causal relationship of macroeconomic variables on shariah and conventional stock markets. We used the Autoregressive Distributed Lag (ARDL) Test with the Bound Test then used the ARDL estimation test to eximine short and long term and finally, we use the Vector Error Correction Model (VECM) to answer the causality relationship between variables. We found that there is cointegration or a long-term balance relationship between macroeconomic variables on the two stock markets. Then the ARDL estimation test results show that there is a long-term positive influence on the macroeconomic variable on the industrial production index, the export value on the conventional stock market, while the interest rate has a negative effect. In the Shariah stock market, the industrial production index
has a positive effect, for the open unemployment rate has a negative effect. In the short-term relationship, only interest rates have no influence on conventional stocks while Shariah stocks are all influential variables. Finally, there is no two-way causality relationship between macroeconomics and the stock market, there is only a one-way relationship, namely JII ER IPI on export value, level open unemployment to JII and ER, in conventional markets only one-way causality, IPI and XR to the JCI were found. TK to ER, ER to XR. So it’s important for policy makers to maintain macroeconomic variables in formulating decisions.