THE ANALYSIS OF MACROECONOMIC VARIABLES, REGIONAL STOCK INDEX, AND GOLD PRICE IMPACT ON JAKARTA ISLAMIC INDEX: AN APPROACH OF VECTOR ERROR CORRECTION MODEL (VECM) (PERIOD OCTOBER 2012- MARCH 2016)
KARIMA, SALMA NUR
MetadataShow full item record
This research examines the relationship between a number of variables influencing Jakarta Islamic Index. The study employs monthly series data panning from the period October 2012 to March 2016. Variables that are used in this research are Jakarta Islamic Index, exchange rate, oil price, FTSE Malaysia and gold price. The analysis tool that is used in this research is Vector Error Correction Model (VECM) to establish the short-run and long-run relationship. The result indicates in the short run, gold price negatively influencing JII and oil price positively influencing JII. However, in the long run all variables are significantly influencing JII. Exchange rate and oil price are positively influencing JII, while gold price and FTSE Malaysia are negatively influencing JII.