Ϯϵ
Figure 2.1 Research Framework
2.4 Hypothesis
On the basis of theoritical backgrounds, previous research results and research framework, this study develop these two following
hypothesis:
1. H1: There is cointegration and long-run relationship among those
research variables such as Jakarta Islamic Index, Dow Jones Islamic Market, FTSE Bursa Malaysia Hijrah Syariah Index,
Exchange Rate, Consumer Price Index, Money Supply and BI Rate
2. H2: There is causality and short-run relationship among those
research variables such as Jakarta Islamic Index, Dow Jones Islamic Market, FTSE Bursa Malaysia Hijrah Syariah Index,
Exchange Rate, Consumer Price Index, Money Supply and BI Rate
Dow Jones Islamic
Market Index
DJIM
Exchange Rate
ER
Consumer Price Index
CPI Jakarta
Islamic Index JII
BI Rate
BIR Money
Supply M2
FTSE Bursa Malaysia
Hijrah Shariah
Index FHSI
ϯϯ
3.4 Operational Definition 3.4.1 Dependent Variable
Dependent variable is a variable that being main focus of this study. The dependent variable that used in this study is Jakarta Islamic Index
return which processed from monthly closing price. The value of islamic stock returns is obtained by calculation of Jakarta Islamic Index closing
price by using this following equation: R
t =
ln P
t
± ln P
t-1
Where R
t
is the Return for Month t, P
t
is Closing price of stock for month t and P
t-1
is Closing price of stock for month t-1 respectively.
3.4.2 Independent Variables a. Dow Jones Islamic Market Index
One of the global macroeconomic variable is the Dow Jones Industrial Index. It is one of the major indexes in the United
Stated covering 30 of the largest multinational companies in the America. Dow Jones Index can describes the performance of the
American economy. Thus, a strengthening this index reflects improved performance of the U.S. economy.
b. FTSE Bursa Malaysia Hijrah Shariah Index
FTSE Bursa Malaysia Hijrah Shariah Index is one of the benchmark of Islamic stock market in Asian regional. FTSE Bursa
Malaysia Hijrah Shariah Index launched on 22 January 2007. It consists of 30 largest multinational companies in Malaysia.
c. Consumer Price Index
Costumer price index is the representative of inflation that measures by using Indonesia real constant price with the based
