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Examining the Short and Long Term Dynamics of the Indonesian Sharia Stock Index (ISSI) Using VECM, IRF, and FEVD Approaches Faizul Mubarok; Lika Malika; Khaira Nazla Al Naquib; Asyifa Nurul Arshylla; ⁠Nelly Mahaduri
FITRAH: Jurnal Kajian Ilmu-ilmu Keislaman Vol 12, No 1 (2026)
Publisher : UIN Syekh Ali Hasan Ahmad Addary Padangsidimpuan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24952/fitrah.v12i1.11103

Abstract

This study investigates the short-term and long-term effects of macroeconomic shocks on the Indonesian Sharia Stock Index (ISSI) using the Vector Error Correction Model (VECM), Impulse Response Function (IRF), and Forecast Error Variance Decomposition (FEVD). Monthly data from 2011 to 2023 are employed to examine the influence of interest rates (RTE), inflation (IFLS), exchange rates (EXRT), foreign direct investment (FDI), and crisis conditions (CRS), where CRS is modeled as a dummy variable representing two major financial crisis periods. The VECM results indicate the presence of a long-term cointegration relationship, implying that ISSI is significantly affected by macroeconomic variables in the long run. In the short run, however, the findings show that these variables do not exert a significant immediate effect on ISSI. The IRF analysis reveals dynamic responses of ISSI to shocks in the predictor variables over 60 periods, with interest rates showing the strongest initial impact before gradually declining. FEVD results demonstrate that the contribution of each macroeconomic variable to ISSI fluctuations varies substantially over time. Furthermore, correlation analysis highlights the changing influence of macroeconomic variables during crisis periods, underscoring their role in shaping Islamic stock market dynamics. Overall, the empirical outcomes provide insights for developing adaptive strategies and investment decisions aligned with Islamic financial principles, including reverse Murabaha–based practices
Co-Authors Abdul Halim Abdul Hamid Abdul Hamid Affandhi, Hanif Ahmad Rodoni Ahmad, Rosimah Aini Masruroh, Aini Andi Harmoko Arifin Andi Harmoko Arifin Ari Warokka Arie Wibowo Khurniawan Arief Mufraini, Arief Astuti, Desy Widhi Asyifa Nurul Arshylla Aumeboonsuke, Vesarach Benbadri, Asir Filard Bisma, Muhammad Faturrahman Aria Budianto, Yusuf Damayanti, Prisila Damayanti, Prisilla Damayanty , Prisila Darma Saputra Deni Nugraha Diky Paramitha Dyah Ekaari Sekar Jatiningsih, Dyah Ekaari Sekar El Ghifari, Muhammad Sheva Endi Rekarti, Endi Eni Sutrieni Erlin, Erlin Etik Ipda Riyani Etik Ipda Riyani, Etik Ipda Riyani Etty Puji Lestari Fadhli, Mohammad Masykur Fajarwati, Nabila Desinta Farhan Putra Pramudya Fatimah Azzahrah Fatimah, Etty Febrina, Anisha Ferliana, Vira Firdaus, Paja Zaky Fitrianto, Yudie Fizriyah, Nurul Florentina, Ika Halim, Abdul Henanda, Fauzan Falah Hendrian Hendrian, Hendrian Hermanto Siregar Himawan, Farras Azhar Ananda Husen, Ulfiya Indasaputry, Erliana Indo Yama Nasaruddin Irmawaty Irwan Trinugroho, Irwan Ishanifah, Annisa Izzuddin, Muhammad Ziyad Joko Rizkie Widokarti Kabul Wahyu Utomo Kasful Anwar Khaira Nazla Al Naquib Khurniawan, Arie Wibowo Klimko, Roman Kurnia, Muhammad Irfan Kurniawan*, Iqbal Latif, Sahraman D Hadji Lika Malika Lukas Purwoto Lumbangaol, Lasando Lumintang, Zulfikar Halim Lyadi, Citra Febria Mahjus Ekananda Martino Wibowo Maulida, Zahra Mawarni, Annisa Putri Melan Rena MN, Nuryasman Mohammad Masykur Fadhli Mohammad Nur Rianto Al Arif Muhammad Arief Mufraini Muhammad Faturrahman Aria Bisma Muhammad Ridho Syakhran Siregar Muhammad Ziyad Izzuddin Muhammad Zulham Tarmuzi Maradjabesi Mulyawan, Anggi Muna, Putri Naelul Murtiadi Awaluddin Mutiara, Laila Nabila, Bela Nunung Nuryartono Nur'aini, Dyah Tari Nurhasanah, Anggun Nurmailia, Avhita Pamungkas, Farhan Pangestu, Ilham Patuwondatu, Marrini Poluan, Meylan Sendy Poppy Damayanti Pradana, Hasta Dwi Prakoso, Yoga Dwi Pramudya, Farhan Putra Prasetiyo, Yudhi Pratiwi, Rida Adela Prisila Damayanty Purnomo, Kelik Heri Putra, Muhammad Zaki Adzkiya Rahman, Saif Ur Rahman, Saif-Ur Rentika, Della Rika Candraningrat, Ica Rusdianto Rusdianto Rusdianto Rusman Ruslan Sabrina, Kayla Nur Said Kelana Asnawi Salsabila, Shazkia Sauqi, Irfan Senewe, Fika Olivia Sepviani, Aulia Setijaning, Herlin Tundjung Setyowati, Erlina Nur’aini Shine Pintor Siolemba Patiro Shofia, Shofia Sippavitch Wongsuwatt Siregar, Muhammad Ridho Syakhran Sri Wahyuni SULTAN, ZULKIFLI Suntrayuth, Sid Supriyanto, Benny Eko Suryana, Anisa Maulita Susanti, Neneng Syaiful, Dzikra Nisa Syarif, Afdal Tiena Suhartini Tubagus Ismail Ulfarini, Deby Utami, Risma Nadya Utami, Tutik Sri Wardiwiyono, Sartini Wati, Lela Nurlaela Widyawan, Damar Wongsuwatt, Sippavitch Yaacob, Zulnaidi Yudhi Prasetiyo Zahra, Ikrimatuz Zilwan, M. ⁠Nelly Mahaduri