Rafi Widyadhana, Muhammad Nafik Hadi Ryandono

Macroeconomic Factors and Islamic Stock Volatility: Evidence from Indonesia

Introduction

Macroeconomic factors and islamic stock volatility: evidence from indonesia. Analyze how gold prices, exchange rates, and inflation impact Islamic stock volatility in Indonesia (2013-2023). Finds positive links from gold & exchange rates, aiding investors & regulators.

Abstract

This study aims to analyze the influence of macroeconomic variables, namely gold prices, exchange rates, and inflation, on the volatility of Islamic stocks in Indonesia during the period 2013-2023. The research approach uses multiple linear regression method with quarterly data to identify the relationship between these variables on the volatility of Islamic stocks represented by the Jakarta Islamic Index (JII). The results show that gold prices and exchange rates have a positive significant influence on the volatility of Islamic stocks, while inflation shows a complex relationship pattern, depending on specific market conditions. The findings provide important insights for investors and regulators on the dynamics of the Islamic stock market in Indonesia. For investors, this research can help design more effective investment strategies, while for regulators, this research provides guidance for managing the stability of the Islamic capital market. This research is expected to serve as a reference for the development of a sustainable Islamic capital market that is responsive to macroeconomic changes.

Review

This study presents a timely and relevant analysis of the influence of key macroeconomic variables on the volatility of Islamic stocks in Indonesia. Focusing on gold prices, exchange rates, and inflation, the research meticulously examines their relationship with the Jakarta Islamic Index (JII) during the 2013-2023 period. The application of a multiple linear regression method on quarterly data provides a robust quantitative framework to explore these dynamics, addressing a critical area within the context of emerging Islamic capital markets. The findings reveal significant insights, indicating that both gold prices and exchange rates exert a positive and significant influence on Islamic stock volatility. This suggests that these factors play a crucial role in shaping investor sentiment and market stability within the Indonesian Islamic equity segment. Interestingly, the study highlights a complex and market-condition-dependent relationship between inflation and Islamic stock volatility, underscoring the nuanced economic environment. These results are particularly valuable for practical application, offering concrete guidance for investors to refine their strategies and for regulators to enhance stability management within the Islamic capital market. Overall, this research makes a commendable contribution to the existing literature by shedding light on the specific drivers of Islamic stock volatility in a major emerging market. Its direct applicability for both market participants and supervisory bodies positions it as an important reference for fostering a sustainable and resilient Islamic capital market in Indonesia and potentially beyond. Future research could delve deeper into the specific market conditions that lead to the complex inflation-volatility relationship, perhaps employing non-linear models or qualitative approaches to fully unpack this dynamic.

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