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Jurnal Ekonomi Malaysia

52 (3) 2018 17 – 28


Neksus antara Indeks Syariah dan Fundamental Makroekonomi
The Nexus between Syariah Index and Macroeconomic Fundamentals

Pusat Pengajian Pembangunan Sosial dan Ekonomi
Universiti Malaysia Terengganu
21030 Kuala Nerus, Terengganu
MALAYSIA

nurazura@umt.edu.my

Pusat Pengajian Pembangunan Sosial dan Ekonomi
Universiti Malaysia Terengganu
21030 Kuala Nerus, Terengganu
MALAYSIA

mohdkamal_omar@yahoo.com

Pusat Pengajian Pembangunan Sosial dan Ekonomi
Universiti Malaysia Terengganu
21030 Kuala Nerus, Terengganu
MALAYSIA

suhal@umt.edu.my

Fakulti Perniagaan dan Pengurusan
Universiti Teknologi MARA
23000 Dungun, Terengganu
MALAYSIA

mohdshukri@tganu.uitm.edu.my

Abstract

This paper measures the Syariah index based on the Financial Times Stock Exchange (FTSE) Bursa Malaysia Emas Syariah Index and FTSE Bursa Malaysia Hijrah Syariah Index. The macroeconomic fundamental variables are money supply, interest rate, financing rate and rate of return to depositors, and conventional index. The dynamic nexus between Syariah index and macroeconomic fundamental variables is measured based on the cointegration between the variables for the period of second quarter 1999 until the fourth quarter 2017. The finding shows cointegration between the FTSE Bursa Malaysia Emas Syariah Index with the macroeconomic variables. While on the contrary, no cointegration for the FTSE Bursa Malaysia Hijrah Syariah Index. The macroeconomic variables influence the FTSE Bursa Malaysia Emas Syariah Index in the long-run and short-run, namely the financing rate and rate of return to depositors and conventional index. The results of this research imply that Islamic Banking System variables namely the financing rate and rate of return to depositors can play a role as capital injection to the Islamic capital market in the long-run and short-run. Consequently the Syariah index needs the same policy in the long and short-run in order to ensure its soundness in the market.

Keywords

autoregresif lat tertabur (ARDL); Bursa Malaysia; kointegrasi; pasaran modal Islam

Bibliography

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Sanusi, , Omar, , Kusairi, , & Shukri, (2018). Neksus antara Indeks Syariah dan Fundamental Makroekonomi. Jurnal Ekonomi Malaysia, 52(3), 17–28. http://dx.doi.org/10.17576/JEM-2018-5203-2

@article{sanusi2018neksus,
  title={Neksus antara Indeks Syariah dan Fundamental Makroekonomi},
  author={Sanusi, Nur and Omar, Mohd Kamal and Kusairi, Suhal and Shukri, J. M.},
  journal={Jurnal Ekonomi Malaysia},
  volume={52},
  number={3},
  pages={17—28},
  year={2018},
}


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