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All Journal Jurnal Ilmiah Manajemen dan Bisnis (JIMB)
Agus Herta Sumarto
Universitas Mercu Buana
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Industrial & Manufacturing Engineering Other

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The Comparison of Dynamic Relationship between Sharia Stock Index and Composite Index with Macroeconomic Variables: A Case Study of Indonesia Agus Herta Sumarto
Jurnal Ilmiah Manajemen dan Bisnis Vol 7, No 1 (2021): Jurnal Ilmiah Manajemen dan Bisnis
Publisher : Universitas Mercu Buana

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22441/jimb.v7i1.10592

Abstract

This research analyses the dynamic relationship between sharia stock exchange (ISSI) and macroeconomics condition then it would be compared to the relationship of the composite stock exchange (IDX Composite Stock). The method used in this study is Dynamic Conditional Correlation (DCC) analysis. Based on DCC method, it seems that macroeconomic variable have changing pattern of correlation relationship. This changeable pattern is not only on value scale but until its number sign. It indicated that macroeconomic variable has not any significant impact on sharia stock index (ISSI) and IDX composite index and vice versa.
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