Exchange Rate Consumer Price Index

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2.2 Previous Studies

Study about stock returns had done many times by economist previously. There are plenty of domestic and international researches on stock returns. Each research comes with different analysis tools and results. Here are some researches on stock returns in several countries such as M. 6\DILL QWRQLR ++ RQ ³7KH ,VODPLF DSLWDO 0DUNHW 9RODWLOLW\´ which use VARVECM model. The result shows that in the long-term, all selected macroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII. While in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Research from 3DQDWDJDPD 0 RQ ³7KH QDO\VLV RI Macroeconomic Variables that Influence Stock Returns Jakarta Islamic ,QGH[DQG,WV95RUHFDVWLQJ´XVH95PRGHOThe result of this study indicates negative influence of Bank Indonesia interest rate and Brent international oil price towards stock returns of 10 companies listed in JII. In addition costumer price index had positive influence to stock returns of 10 companies listed in JII. Meanwhile, trading volume had no causal relationship with stock returns; therefore, it cannot be involved in the Vector Autoregressive model. According to the research from Sohail, N., Husain, Z. 2009 on ³Long-Run and Short-Run Relationship Between Macroeconomic Variables and Stock Price in Pakistan ´ XVH 90 PRGHO 7KH UHVXOWs revealed that there was a negative impact of consumer price index on stock returns, while, industrial production index, real effective exchange rate, Ϯϱ money supply had a significant positive effect on the stock returns in the long-run. The previous studies provide relevant information and motivate future research as enrichment of the empirical study to stock market field. Therefore, the author distinguishes this study by offering these following particular differences: 1. Research case study This study will cover the case of Islamic Stock Market volatility listed in Jakarta Islamic Index JII starting from year 2010 until 2014. 2. Variables This study use Dow Jones Islamic Market Index DJIM, FTSE Bursa Malaysia Hijrah Shariah FHSI, exchange rate, customer price index, money supply, and BI rate which have various contradictions in the previous studies. 3. Research Period The data that will be used in this study consists of Jakarta Islamic Index JII since year 2010 until 2014. 2.3 Theoritical Framework and Hypothesis 2.3.1 The Influence of Dow Jones Islamic Market Index DJIM to Jakarta Islamic Index The macroeconomic variables that have great impact to capital market are not only from domestic but also the global macroeconomic variable. One of the global macroeconomic variables is the Dow Jones Islamic Market Index. It is one of the major indexes in the United Stated covering 30 of the largest multinational companies in the America. Dow