Interaction of International Sharia Stock Indices, Exchange Rates and Gold Prices against Jakarta Islamic Index (JII)

The purpose of this study was to determine the long-term, short-term and causal relationship between the World Islamic Stock Index, Exchange Rates and Gold Prices on the Jakarta Islamic Index (JII). The analysis tool used is the Vector Autoregression (VAR) method if the data is stationary at the level. If the data is not stationary at the first difference level, the Vector Error Correction Model (VECM) method is used. The results of the stationary test show that the research data is stationary at the first difference level so it is continued for the VECM model. VECM analysis results in the long term The Dow Jones Islamic Market Index Europe (DJIEU), The US Dow Jones Islamic Market Index (IMUS) and gold prices have a significant negative effect on The JII. The Dow Jones Islamic Market Index Japan (DJIJP) has a significant positive effect on JII. The results of VECM analysis in the short term IMUS index, DJIJP and gold prices have a significant positive effect on JII. The Impulse Response Function (IRF) results show that JII fluctuates with shock to achieve stability. The average time needed to achieve stability is after the 14th period. Then the results of the Forecasting Error of Variance Decomposition (FEVD) analysis starting from the 50th period show that JII has an effect of 96 percent, IMUS affects JII by 3.36 percent, DJIEU 2.72 percent, Gold 0.65 percent, DJIJP 0.10 percent, Exchange rate 0.052 percent and DJIM25 0.028 percent.