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
ϯϰ
year of 2010. Consumer price index define the level of goods price and services which consume by society. CPI data that used
in this study is monthly data which stated in indexes.
d. Exchange Rate
Exchange rate that used in this study is middle exchange rate which is the exchange rate at the closing of money market.
Exchange rate that used in this study is monthly exchange rate which stated in IDRUSD.
e. Money Supply
Money supply is the total amount of money available in an economy. Money supply is divided into M1 and M2. Money
supply in this study stated in Rupiah.
f. BI Rate
BI rate becomes the representative of policy rate reflecting the monetary policy stand. It is adopted by Bank Indonesia and being
publicly announced by the Board of Governors of Bank Indonesia in each monthly Board of Governors Meeting. BI rate serves as
opportunity cost of stock market investment and standard of Indonesian interest rate measurement.
3.5 Analysis Method
Analysis methods that used in this research are Cointergration Test and Vector Error Correction Model VECM to see the relationship of
seven non-stationer variables in short-term and long-term. Data and model in this research is in Ln form, where the estimation result can show the
elasticity because the result in the same unit such as, percentage, so that the relationship among variables are more rationale.
