Comparing the Resilience of Sharia-Compliant and Conventional Equities: The Influence of Macroeconomic Determinants on ISSI and JCI

Akhmadi , Ali

Al-Mashrof: Islamic Banking and Finance
Vol. 7 No. 1 (2026): Al-Mashrof: Islamic Banking and Finance

This study examines the comparative resilience of Sharia-compliant and conventional equities during the post-pandemic high interest-rate period (2021–2025). Using weekly data and VECM, IRF, and Variance Decomposition, the research analyzes the Indonesia Sharia Stock Index (ISSI) and the Jakarta Composite Index (JCI) in response to interest rate, inflation, and exchange rate shocks. The findings reveal that ISSI demonstrates stronger structural resilience, reflected in lower interest-rate sensitivity, faster mean reversion (12 weeks compared to 15 weeks for JCI), and a smaller volatility contribution from monetary shocks (8.12% vs. 22.14%). These results shift the perspective from a “Safe Haven” view toward a “Structural Dampening” framework, indicating that Sharia screening functions as a systemic risk filter and positions the Sharia capital market as a structural hedge against monetary policy uncertainty. Keywords: Resilience, Macroeconomics, ISSI, JCI, Interest Rate Shock.