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 (Sharia Financial Management Program, Faculty of Islamic Economics and Business, Sunan Kalijaga State Islamic University)
Rizaldi Yusfiarto (Sharia Financial Management Program, Faculty of Islamic Economics and Business, Sunan Kalijaga State Islamic University)

COUNT: Journal of Accounting, Business and Management
Vol. 4 No. 2 (2026): COUNT: Journal of Accounting, Business and Management

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.