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All Journal JIMEK : Jurnal Ilmiah Mahasiswa Ekonomi
Syurmita
Al Azhar University
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Granger Causality Between the Indonesian Exchange Rate and the Indonesia Sharia Stock Index (ISSI) 2015–2025 Abdul Ghoni; Syurmita; Syahruddin
JIMEK : Jurnal Ilmiah Mahasiswa Ekonomi Vol. 9 No. 1 (2026): JIMEK VOL 09 NO 01 2026
Publisher : Fakultas Ekonomi Universitas Kadiri

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30737/jimek.v9i1.7763

Abstract

The aims of the study explores the Granger causality relationship between the Rupiah exchange rate and the Indonesian Sharia Stock Index (ISSI) from 2015 to 2025. The study tests whether the Rupiah exchange rate Granger-causes the ISSI, and vice versa. The results indicate that the hypothesis of the Rupiah exchange rate Granger-causing the ISSI is not supported, as the p-value (0.6826) outstrips the 0.05 limit, declining to refuse the null hypothesis. This indicates no significant causal relationship from the Rupiah exchange rate towards the ISSI. In dissimilarity, the study discloses a significant Granger-causal relationship in the opposite direction. Specifically, past changes in the ISSI significantly predict fluctuation of the Rupiah Currency pair value, as supported in passing test statistic F(2, 129) = 9.13995 through a p-value of 0.0002, which intensely reject of  the null hypothesis at the 1% significance degree. These findings highlight the Rupiah exchange rate does not influence the ISSI, the fluctuation in the ISSI have a meaningful impact on the Rupiah Currency, offering valued understandings into the dynamics between the Indonesian Sharia equity market and its currency.
Co-Authors Abdul Ghoni Syahruddin