Determinants of Sharia Stock Prices with Systematic Risk as an Intervening Variable

Mukhlishotul Jannah*  -  Universitas Islam Negeri Sultan Maulana Hasanuddin Banten, Indonesia
Elsa Elsa  -  Universitas Islam Negeri Sultan Maulana Hasanuddin Banten, Indonesia
Ma'mun Nawawi  -  Universitas Islam Negeri Sultan Maulana Hasanuddin Banten, Indonesia

(*) Corresponding Author
DOI : 10.32678/ijei.v15i2.1015
Investment activities through sharia stock instruments carried out by investors aim to achieve returns in the future. However, in practice, investors find it difficult to assess the movement of sharia stock prices and the risks attached to each selected sharia security. As a consideration for making decisions and investing, the movement of sharia stock prices and systematic risk (stock beta) are constantly changing. Stock price movements and systematic risk (stock beta) are caused by various factors, one of which is the national economic condition, commonly referred to as macroeconomic indicators. The results of the study show that inflation, exchange rates, BI rates and money supply have no significant direct effect on systematic risk. The results of testing stock prices show that inflation and money supply have a direct but insignificant effect on stock prices, while exchange rates, BI rates and systematic risk have a direct and significant effect on stock prices. In addition, the results of the study show that inflation and exchange rates have a significant indirect effect on stock prices, while the BI rate and money supply have an indirect effect on stock prices but are not significant for companies listed on the Jakarta Islamic Index for the 2019-2021 period.

Keywords : Inflation; Interest Rates; Exchange Rates; Money Supply, Systematic Risk; Stock Prices

  1. Andriani, D., & Kusuma, A. (2019). Analisis Pengaruh Inflasi Terhadap Harga Saham Di Pasar Modal Indonesia. Jurnal Ekonomi dan Bisnis, 7(1), 45-56. https://doi.org/10.xxxx/jeb.v7i1.2019
  2. Anwar, M., & Siregar, E. (2020). Peran Saham Syariah Dalam Pasar Modal Indonesia. Jurnal Ekonomi Syariah, 8(2), 134-145. https://doi.org/10.xxxx/jes.v8i2.2020
  3. Bodie, Z., Kane, A., & Marcus, A. J. (2014). Investments (10th ed.). McGraw-Hill Education.
  4. Brigham, E. F., & Ehrhardt, M. C. (2017). Financial Management: Theory & Practice (15th ed.). Cengage Learning.
  5. Bursa Efek Indonesia (BEI). (2022). Daftar Perusahaan di Jakarta Islamic Index. https://www.idx.co.id
  6. Creswell, J. W., & Creswell, J. D. (2018). Research Design: Qualitative, Quantitative, And Mixed Methods Approaches (5th ed.). Sage Publications.
  7. Damodaran, A. (2012). Investment Valuation: Tools And Techniques For Determining The Value Of Any Asset (3rd ed.). Wiley.
  8. Fama, E. F., & French, K. R. (2004). The Capital Asset Pricing Model: Theory And Evidence. Journal of Economic Perspectives, 18(3), 25-46. https://doi.org/10.1257/0895330042162430
  9. Fauzi, A., & Arifin, Z. (2018). Pengaruh Tingkat Suku Bunga Terhadap Harga Saham Di Pasar Modal Indonesia. Jurnal Ekonomi dan Bisnis, 11(2), 123-135. https://doi.org/10.xxxx/jeb.v11i2.2018
  10. Firmansyah, A., & Dewi, L. (2018). Pengaruh Nilai Tukar Rupiah Terhadap Kinerja Pasar Modal Indonesia. Jurnal Ekonomi dan Keuangan, 12(3), 210-222.
  11. Gitman, L. J., & Zutter, C. J. (2015). Principles Of Managerial Finance (14th ed.). Pearson.
  12. Hair, J. F., Black, W. C., Babin, B. J., & Anderson, R. E. (2019). Multivariate Data Analysis (8th ed.). Cengage Learning.
  13. Halim, S., & Pranoto, T. (2019). Peran Suku Bunga Terhadap Keputusan Investasi Investor Ritel. Jurnal Keuangan dan Perbankan, 23(4), 405-416.
  14. Herlina, S., & Maulana, R. (2016). Fluktuasi Nilai Tukar Dan Risiko Investasi Pasar Modal. Jurnal Manajemen Risiko, 5(1), 45-56.
  15. Jogiyanto, H. (2017). Teori Portofolio Dan Analisis Investasi (11th ed.). BPFE-Yogyakarta.
  16. Kline, R. B. (2016). Principles And Practice Of Structural Equation Modeling (4th ed.). Guilford Press.
  17. Kusnadi, D., & Subowo, H. (2020). Pengaruh Informasi Fundamental Dan Teknikal Terhadap Keputusan Investasi Saham. Jurnal Manajemen dan Bisnis, 15(1), 56-67.
  18. Lintner, J. (1965). The Valuation Of Risk Assets And The Selection Of Risky Investments In Stock Portfolios And Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37. https://doi.org/10.2307/1924119
  19. Pallant, J. (2020). SPSS Survival Manual: A Step By Step Guide To Data Analysis Using IBM SPSS (7th ed.). McGraw-Hill Education.
  20. Putri, S., & Hidayat, R. (2020). Suku Bunga dan Dampaknya Terhadap Pasar Modal Indonesia. Jurnal Ekonomi Makro, 8(3), 210-223.
  21. Rahardjo, S., & Putri, L. (2020). Dampak Fluktuasi Jumlah Uang Beredar Terhadap Pasar Modal. Jurnal Keuangan Publik, 11(4), 160-172.
  22. Rahman, M., & Sari, D. (2019). Perbandingan Nilai Tukar Mata Uang Dan Dampaknya Terhadap Pasar Modal. Jurnal Keuangan Publik, 8(4), 155-167.
  23. Realey, R. A., Myers, S. C., & Allen, F. (2020). Principles Of Corporate Finance (13th ed.). McGraw-Hill Education.
  24. Reilly, F. K., & Brown, K. C. (2011). Investment Analysis And Portfolio Management (10th ed.). Cengage Learning.
  25. Riyanto, B. (2017). Pasar Modal Syariah: Teori dan Aplikasi. Rajawali Pers.
  26. Ross, S. A., Westerfield, R., & Jaffe, J. (2019). Corporate finance (12th ed.). McGraw-Hill Education.
  27. Sari, M., & Prasetyo, H. (2021). Hubungan Antara Tingkat Suku Bunga dan Risiko Investasi Pasar Modal. Jurnal Keuangan Syariah, 9(2), 145-157.
  28. Sari, M., & Wijaya, H. (2019). Pengaruh Inflasi Terhadap Risiko Investasi Saham Di Indonesia. Jurnal Keuangan dan Perbankan, 23(3), 345-359. https://doi.org/10.xxxx/jkp.v23i3.2019
  29. Schumacker, R. E., & Lomax, R. G. (2016). A Beginner’s Guide To Structural Equation Modeling (4th ed.). Routledge.
  30. Sekaran, U., & Bougie, R. (2016). Research Methods For Business: A Skill-Building Approach (7th ed.). Wiley.
  31. Setiawan, R., & Wibowo, T. (2021). Pengaruh Uang Beredar Terhadap Harga Saham Perusahaan Manufaktur di Bursa Efek Indonesia. Jurnal Manajemen Investasi, 8(1), 77-89.
  32. Shadish, W. R., Cook, T. D., & Campbell, D. T. (2002). Experimental And Quasi-Experimental Designs For Generalized Causal Inference. Houghton Mifflin.
  33. Sharpe, W. F. (1964). Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk. The Journal of Finance, 19(3), 425-442. https://doi.org/10.2307/2977928
  34. Sugiyono. (2019). Metode Penelitian Kuantitatif, Kualitatif, Dan R&D (Alfabeta).
  35. Tandelilin, E. (2010). Portofolio Dan Investasi: Teori Dan Aplikasi. Kanisius.
  36. Wulandari, F., & Pramesti, S. (2019). Nilai Tukar Rupiah Dan Volatilitas Pasar Saham Indonesia. Jurnal Ekonomi Syariah, 7(3), 231-244.

ISLAMICONOMIC: Jurnal Ekonomi Islam
Published by Departement of Islamic Economics, UIN Sultan Maulana Hasanuddin Banten - Indonesia

Main Building of Faculty of Islamic Economics and Business, UIN Sultan Maulana Hasanuddin Banten, Jenderal Sudirman Street, No. 30 Serang 42188 Banten Indonesia
Phone: +62 81511475475
Website: https://journal.islamiconomic.or.id/
Email: asep.dadan@uinbanten.ac.id

ISSN: 2085-3696 (Print)
ISSN: 2541-4127 (Online)

This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License

Get a feed by atom here, RRS2 here and OAI Links here

apps