ϯϵ
According to Sims 1992 in Ajija 2007 impulse response function IRF illustrates the expectation of future period from variable forecast
deviation due to other variable innovation effects. It exposes the existence of shock variable to other variable until its equilibrium point. Variance
decomposition of forecast error variance decomposition becomes an instrument of VAR that separate the estimated variable to be shock
variable or innovation variable; where it assumes that the innovation variable do not correlate each others. The variance decomposition analysis
provides information of the movement of shock variable to certain variables and so to another shock variable.
3.6 Research Plan
In order to understand the undergraduate thesis clearly, so the researcher divided the materials into several sub-chapters with systematic
writing as follows:
Chapter I, Introduction;This chapter describes the general information
that the research background, problem formulation, purpose and benefits of the research, the scope of research, time and place of study, research
methodology, and systematic research.Chapter II, Theoritical Framework and Hypothesis; This chapter contains the theory that some
excerpts taken from the book, in the form of understanding and definition. This chapter also explains the basic concepts of islamic capital market, the
basic concepts of islamic stock , the concepts of risk and returns on stock, the concepts and methodology of Jakarta Islamic Index, Dow Jones Islamic
Market Index, FTSE Bursa Malaysia Hijrah Shariah Index and other
definitions associated with the macroeconomics variables. Chapter III, Research Methodology; This chapter contains the definition of variables
that used in this research, data and the source, the methodology of
ϰϬ
cointegration test for long-term analysis and Vector Error Correction
Model VECM for short-term analysis. Chapter IV, Research Findings;
This chapter describes the general overview of macroeconomics condition in Indonesia, Jakarta Islamic Index, Dow Jones Islamic Market Index and
FTSE Bursa Malaysia Hijrah Shariah Index. It also contains the result from the analysis of cointegration test and vector error correction model
VECM, the result table and diagram, the analysis of empirical result with
the theoritical framework and previous study. Chapter V, Conclusions;
This chapter contains of conclusion from the research, suggestion for the policy maker in Indonesia and suggestion for the next research.
ϰϭ
CHAPTER IV RESEARCH FINDINGS
4.1 Research Variables Overview 4.1.1 Dependent and Independent Variables Overview
The following overviews introduce entire variables of study. This study had seven variables which are stock returns of Jakarta Islamic Index
JII, stock returns of Dow Jones Islamic Market Index DJIM, stock returns of FTSE Bursa Malaysia Hijrah Shariah Index FHSI,Exchange
Rate LNEXRATE, Consumer Price Index CPI, Money Supply LNM2 and BI Rate BIR.
Table 4.1 Research Variables
JII DJIM FHSI EXRA
TE CPI M2 BIR
2010 Q1 427,6
8 2009,4 9106,5
1 9349 118,01 2073860
6,5 Q2
474,7 96
2043,32 9614,7 4
9012 118,37 2116024 6,5
Q3 483,3
22 1765,25 9545,1
7 8910 121,74 2217589
6,5 Q4
540,2 91
2028,1 10350, 21
8923 123,29 2308846 6,5
2011 Q1 477,5
14 2241,25 10574,
64 8921 126,29 2436679
6,5 Q2
528,7 63
2337,6 10633, 94
8553 125,66 2434478 6,75
Q3 567,1
19 2335,05 10889,
99 8495 127,35 2564556
6,75
ϰϮ
Q4 530,1
92 1866,95 10531,
64 8943 128,74 2677205
6,5 2012 Q1
562,5 35
2113,71 11085, 82
8958 130,9 2854978 6
Q2 575,0
88 2317,48 11522,
65 9165 131,32 2927259
5,75 Q3
573,7 31
2151,67 12109, 92
9436 133,16 3054836 5,75
Q4 619,2
7 2308,72 12537,
7 9591 134,67 3161726
5,75 2013 Q1
604,6 1
2349,98 12183, 09
9669 136,88 3268789 5,75
Q2 682,6
91 2403,2 12762,
71 9708 138,64 3360928
5,75 Q3
623,7 47
2394,61 13437, 72
10252 144,63 3506574 6,5
Q4 615,7
06 2566,58 13799,
59 11245 145,87 3576869
7,25 2014 Q1
602,8 7
2710,44 13823, 34
12242 110,99 3652145 7,5
Q2 647,6
7 2796,7 14510,
93 11271 111,35 3730101
7,5 Q3
690,4 2930,3 14604,
52 11798 113,05 3895835
7,5 Q4
670,4 4
2813,59 14923, 94
12188 114,42 4024536 7,5
Source: Data taken from Bank Indonesia, Indonesia Stock Exchange Yahoo Finance
Table 4.1 shows the entire variables in this study quarterly. It displays Jakarta Islamic Index JII had both positive and negative
denomination. It means that the investment in islamic capital market consists of risk in line with the islamic investment principle that derived
from the legal maxim:
ϰϯ
Al ghurm bil ghunm and al kharaj bil daman
The entitlement to revenue depends on a corresponding liability for loss
In Quarter 1 until quarter 4, JII experience positive denomination along this year. Along 2010, JII had positive denomination in 4 quarters. In
2011, JII had positive denomination from quarter 1 until quarter 3, but had negative denomination in the last quarter of 2011. JII had counter back
position to be positive denomination in quarter 1 2012 and continue increasing until the last quarter of 2012. In the first quarter 2013, JII had
negative denomination and get up in second quarter but in the third and the forth quarter JII decreasing to negative denomination. The same situation
also happened in the first quarter 2014, which is negative denomination and increasing in the second and the third quarter, but in the last quarter of
2014 JII had down to negative denomination.Dow Jones Islamic Market Index DJIM also had fluctuative returns along 2010 until 2014. The
volatility of stock returns happen every year, the schemes are in the begining of the year, middle and the end of the year. The exchange rate
between US Dollar to Indonesian Rupiah relatively stable between 9.000 until 9.500 in 2010 until 2012. In the begining of 2013 until 2014 the
position Indonesian rupiah to US Dollar more depreciate. The highest rate is in the first quarter 2014, such amount as 12.242. The lowest rate is in
August 2011, such amount as 9.046. FTSE Bursa Malaysia Hijrah Shariah Index FHSI had fluctuative respons along 2010-2014. A increasing trend
occured in CPI data which is low in the begining at113,78 in the first quarter 2010 and continuing the trend until the last quarter of 2014. Money
supply had upward trends along this 5 years, In the first quarter 2010 the amount of money supply is 2073860 and in the last quarter 2014 the
amount of money supply is ϰϬϮϰϱϯϲ. Bank Indonesia had relatively normal
