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All Journal COUNT: Journal of Accounting, Business and Management
Rizaldi Yusfiarto
Sharia Financial Management Program, Faculty of Islamic Economics and Business, Sunan Kalijaga State Islamic University
Economics, Econometrics & Finance

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AN ANALYSIS OF MARKET REFLEXIVITY AND VOLATILITY IN THE FORMATION OF ASSET BUBBLES IN THE JAKARTA ISLAMIC INDEX: A PERSPECTIVE ON THE PROHIBITION OF GHARAR Sulkhan Muzaki; Rizaldi Yusfiarto
Count : Journal of Accounting, Business and Management Vol. 4 No. 2 (2026): COUNT: Journal of Accounting, Business and Management
Publisher : CV. Fahr Publishing

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.61677/count.v4i2.1034

Abstract

Volatility in Indonesia’s Islamic stock market is a significant concern because the Jakarta Islamic Index (JII) has substantial market capitalization yet remains exposed to global market uncertainty, as reflected by the Volatility Index (VIX). This study analyzes the effect of the VIX on JII volatility (VOL_JII), the effect of VOL_JII on price deviation from equilibrium (PDE_JII), the direct effect of the VIX on PDE_JII, and the mediating role of VOL_JII in the relationship between the VIX and PDE_JII over the 2016–2025 period. This study employs a quantitative explanatory approach using monthly secondary data (120 observations) analyzed via dynamic regression with HAC/Newey-West standard errors and a Sobel test to assess the mediating effect. The results indicate that the VIX has no significant effect on either VOL_JII or PDE_JII, while VOL_JII has a significant negative effect on PDE_JII. The mediation test further indicates that VOL_JII was not found to significantly mediate the effect of the VIX on PDE_JII in this sample. These findings suggest that the internal dynamics of the JII market—particularly volatility persistence and price deviation—are more relevant in explaining signs of an asset bubble than the direct transmission of global market uncertainty.
THE EFFECT OF NET FOREIGN BUY/SELL, FREE FLOAT, AND STOCK VOLATILITY ON STOCK RETURNS IN COMPANIES THAT ARE CONSISTENTLY LISTED IN THE LQ45 INDEX FOR THE PERIOD 2022–2025 Muhammad Faqih Ramadhan; Rizaldi Yusfiarto
Count : Journal of Accounting, Business and Management Vol. 4 No. 2 (2026): COUNT: Journal of Accounting, Business and Management
Publisher : CV. Fahr Publishing

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.61677/count.v4i2.1086

Abstract

Stock returns in companies that are members of the LQ45 index can be related to investors' trading activities and stock trading characteristics. This study aims to analyze the relationship between Net Foreign Buy/Sell, free float, and stock volatility with stock returns in companies that are consistently incorporated in the LQ45 index during the period 2022–2025. This study uses a quantitative approach with secondary data from 27 companies resulting in 108 company-year observations. Net Foreign Buy/Sell and free float data are obtained from the Indonesia Stock Exchange, while stock price data is obtained from Yahoo Finance. Stock returns are measured based on annual price changes, while stock volatility is measured using the annualized standard deviation of daily stock returns. Data analysis was carried out using panel data regression. The results of the model selection test showed that the Common Effect Model was suitable, while the final estimate used standard errors clustered by company to provide robust statistical inference in the presence of heteroscedasticity. The results showed that Net Foreign Buy/Sell was positively and significantly related to stock returns, while free float was negatively related but not significant. Stock volatility was positively and significantly related to stock returns. Simultaneously, the three independent variables were significantly related to stock returns with an R-squared value of 20.20%. These findings show that net foreign buy/sell activity and stock volatility have a significant relationship with the stock returns of LQ45 companies during the study period, while free float does not show a significant relationship.
Co-Authors Muhammad Faqih Ramadhan Sulkhan Muzaki