Asean Sharia Stocks Amidst The Fed's Policy Dynamics
DOI:
https://doi.org/10.22441/jimb.v11i3.33748Kata Kunci:
ASEAN Sharia Stocks, FED Rate, Return Volatility, GARCH Model, Symmetric and Asymmetric GARCHAbstrak
Studi ini menganalisis volatilitas imbal hasil saham Islam di empat negara ASEAN (Indonesia, Malaysia, Thailand, dan Singapura) dalam kaitannya dengan kebijakan suku bunga The Fed. Memanfaatkan data bulanan yang dikumpulkan dari Januari 2014 – Desember 2023 dengan menerapkan model GARCH (Generalized Autoregressive Conditional Heteroskedasticity) dan derivatifnya. Hasil analisis menunjukkan bahwa perubahan suku bunga The Fed tidak signifikan terhadap imbal hasil saham Islam di keempat negara tersebut. Namun, volatilitas imbal hasil dipengaruhi secara signifikan oleh faktor-faktor lain, seperti varians lag dan perubahan residual dari periode sebelumnya, yang menunjukkan persistensi volatilitas. Hasil ini menunjukkan bahwa pasar saham Islam ASEAN memiliki karakteristik unik yang relatif tahan terhadap kebijakan suku bunga global, meskipun masih dipengaruhi oleh dinamika pasar domestik dan faktor historis. Studi ini berkontribusi untuk memberikan wawasan bagi para pembuat kebijakan dan investor mengenai pengelolaan volatilitas di pasar saham Islam. Pengembangan lebih lanjut dapat mencakup analisis di negara lain dan memperluas variabel ekonomi makro untuk memberikan gambaran yang lebih komprehensif.Unduhan
Referensi
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Aktivani, S. (2021) ‘Uji Stasioneritas Data Inflasi Kota Padang Periode 2014-2019’, Jurnal Statistika Industri Dan Kompetasi, 6(1), Pp. 26–33.
Chuang, I. Y., Lu, J. R., & Tswei, K. (2007) ‘Interdependence Of International Equity Variances: Evidence From East Asian Markets’, Emerging Markets Review, 8(4), Pp. 311–327. Available At: Https://Doi.Org/Https://Doi.Org/10.1016/J.Ememar.2007.08.001.
Contributor, B. (2024) Taper Tantrum: Pengertian, Sejarah, & Dampaknya. Available At: Https://Www.Bizhare.Id/Media/Keuangan/Taper-Tantrum (Accessed: 5 November 2024).
IDX (2024) Data Historis Harga Saham ISSI. Available At: Https://Www.Idx.Co.Id/Id (Accessed: 4 November 2024).
Investing (2024) Data Historis FED Rate. Available At: Https://Www.Investing.Com (Accessed: 4 November 2024).
Jogiyanto (2019) Teori Portofolio Dan Analisis Investasi. Edisi 11. Yogyakarta: BPFE.
Lubis, I.H. (2023) ‘SCREENING AND TRADING PROCEDURES IN THE SHARIA CAPITAL MARKET’, Shar-E : Jurnal Kajian Ekonomi Hukum Syariah, 9(1), Pp. 23–32. Available At: Https://Doi.Org/10.37567/Shar-E.V9i1.1763.
Maesza, P., Saputro, G.E. And Suwarno, P. (2022) ‘Pengaruh Anggaran Pertahanan, Pertumbuhan Ekonomi, Dan Investasi Terhadap Ketimpangan Pendapatan Di Indonesia Tahun 2000-2019’, Jurnal Cafetaria, 3(1), Pp. 130–140.
Manzilati, A. Et Al. (2024) ‘Resilience Under The Tapering Shadow: A Study On The Dynamics Of Shariah Stock Markets In Indonesia And Malaysia’, Journal Of Infrastructure, Policy And Development, 8(7), P. 3559. Available At: Https://Doi.Org/10.24294/Jipd.V8i7.3559.
Mirza, N. Et Al. (2025) ‘Optimizing Global Risk-Conscious Portfolios: The Strategic Role Of Sharia-Compliant And ESG Investments’, Sustainability Accounting, Management And Policy Journal [Preprint]. Available At: Https://Doi.Org/10.1108/SAMPJ-08-2024-0879.
Miyakoshi, T. (2003) ‘Spillovers Of Stock Return Volatility To Asian Equity Markets From Japan And The US.’, Ournal Of International Financial Markets, Institutions And Money, 13(4), Pp. 383–399. Available At: Https://Doi.Org/Https://Doi.Org/10.1016/S1042-4431(03)000155.
Normasyhuri, K., Anggraeni, E. And Pratama, N.D.W. (2022) ‘Reaksi Ketahanan Pada Indeks Harga Saham Gabungan Dan Indeks Saham Syariah Indonesia: Bukti Kondisi Sebelum Dan Era Covid-19’, Jurnal Akuntansi Aktual, 9(2), P. 111. Available At: Https://Doi.Org/10.17977/Um004v9i22022p111.
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Rahmadini, S. And Idris (2024) ‘Analisis Volatilitas Indeks Harga Saham Gabungan : Dampak Indeks Saham ASEAN Dan Faktor Makroekonomi Indonesia’, Media Riset Ekonomi Pembangunan, 1(4).
Ridha, R. And Wibowo, A. (2020) ‘Analisis Volatilitas Return Indeks Saham Sektor Barang Konsumsi Di Indonesia: Aplikasi Metode Treshold-Garch (Tgarch)’, VARIANCE: Journal Of Statistics And Its Applications, 2(1), Pp. 35–43. Available At: Https://Doi.Org/10.30598/Variancevol2iss1page35-43.
Al Rosyid, A.H., Viana, C.D.N. And Saputro, W.A. (2021) ‘Penerapan Model Box Jenkins (Arima) Dalam Peramalan Harga Konsumen Bawang Merah Di Provinsi Jawa Tengah’, Agri Wiralodra, 13(1), Pp. 29–37. Available At: Https://Doi.Org/10.31943/Agriwiralodra.V13i1.19.
Sari, L.K., Achsani, N.A. And Sartono, B. (2017) ‘Pemodelan Volatilitas Return Saham: Studi Kasus Pasar Saham Asia’, Jurnal Ekonomi Dan Pembangunan Indonesia, 18(1), Pp. 35–52. Available At: Https://Doi.Org/10.21002/Jepi.2018.03.
Sudarto, Hanida Herni Wati And Retno Kurniasih (2021) ‘MEMODEL VOLATILITAS RETURN SAHAM DENGAN MODEL E-GARCH DAN T-GARCH’, Jurnal Ekonomi, Bisnis, Dan Akuntansi, 23(2). Available At: Https://Doi.Org/Ttps://Doi.Org/10.32424/Jeba.V23i2.1840.
Thampanya, N. Et Al. (2020) ‘Fundamental And Behavioural Determinants Of Stock Return Volatility In ASEAN-5 Countries’, Journal Of International Financial Markets, Institutions And Money, 65, P. 101193. Available At: Https://Doi.Org/10.1016/J.Intfin.2020.101193.
Tim Riset CNBC, I. (2019) Suku Bunga Naik Bursa Saham Tercekik, CNBC Indonesia. Available At: Https://Www.Cnbcindonesia.Com/Specialreport/News/20220316/The-Fed-Bikin-Riak-Riak-Atau-Tsunami-Di-Pasar-Finansial-/Index.Php?Utm_Source=Chatgpt.Com (Accessed: 3 November 2024).
Victoria, A.O. (2022) Mencermati Dampak Kenaikan Suku Bunga Fed Ke Indonesia, Antaranews.Com. Available At: Https://Www.Antaranews.Com/Berita/2946757/Mencermati-Dampak-Kenaikan-Suku-Bunga-Fed-Ke-Indonesia?Utm_Source=Chatgpt.Com (Accessed: 4 November 2024).
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