THE IMPACT OF EXCHANGE RATES AND INFLATION ON STOCK PRICE VOLATILITY: EVIDENCE FROM THE INDONESIA SHARIA STOCK INDEX (ISSI)
Main Article Content
Tasya Shafira Musthofa
Irham Fahmi
Azimah Dianah
The performance of the Indonesian sharia stock market is reflected in the Indonesian Sharia Stock Index (ISSI). The Indonesian Sharia Stock Index (ISSI) is a composite index of sharia shares listed on the Indonesia Stock Exchange (IDX). The aim of this research is to determine the simultaneous and partial impact of the Exchange Rate and Inflation factors on share price fluctuations in the Indonesian Sharia Stock Index (ISSI). This research uses a quantitative research methodology which includes library research and data collection through the Central Statistics Agency (BPS), the Financial Services Authority (OJK), and the Indonesian Stock Exchange (IDX). The data in this study uses times series data. The population of this study is the movement of stock prices on the Indonesian Sharia Stock Index (ISSI), Rupiah Exchange Rates and Inflation in the time period January 2018-December 2022 and as many as 60 monthly data from market capitalization values on the Indonesian Sharia Stock Index (ISSI). The results of this research show that there is a simultaneous impact of the Rupiah Exchange Rate and Inflation on the Indonesian Sharia Stock Index (ISSI). The Rupiah exchange rate has a positive partial impact on the Indonesian Sharia Stock Index (ISSI), while inflation has a negative partial impact
Anghel, M., Mirea, M., & Badiu, A. (2018). Analysis of the Main Aspects Regarding the Price Indices Applied in the Determination of Inflation. nternational Journal of Academic Research in Accounting, Finance and Management Sciences, 8, 28-36. doi:https://doi.org/10.6007/ijarafms/v8-i2/4135
Bassar, T., Effendi, N., Hidayat, A., & Budiono, B. . (2021). The Effect of Inflation Rate, Exchange Rate, The Certificate of Bank Indonesia (SBI) Interest Rate and Sharia Stock Trading Volume on Sharia Stock Performance in Companies Listed on the Indonesian Sharia Stock Index (ISSI). International Journal of Multicultural and Multireligious Understanding.
Boediono. (2018). Seri Sinopsis Pengantar Ilmu Ekonomi No. 5 Ekonomi Moneter, Edisi Ketiga, Cetakan Keduapuluh. Yogyakarta: BPFE.
Bonab, A. (2019). A review of inflation and economic growth. Journal of Management and Accounting Studies. doi:https://doi.org/10.24200/jmas.vol5iss02pp1-4
Brigham, E. F., & Houston, J. F. (2019). Fundamentals of financial management (15th ed.). Cengage Learning.
Dewi, K., Fakhri, M., & Albahi, M. (2025). Getting to Know the Shariah Capital Market : Halal Investment in the Modern Era. International Journal of Economics and Management Research.
Edris, W., Virgantari, F., & Andriyati, A. (2021). Pengaruh Jumlah Uang Beredar Dan Tingkat Suku Bunga Terhadap Kurs Rupiah Menggunakan Vector Error Correction Model. Interval : Jurnal Ilmiah Matematika, 1(1). doi:https://doi.org/10.33751/interval.v1i1.3181
Fahmi, I. (2013). Pengantar Pasar Modal. Bandung: ALFABETA.
Firmansyah, H. (2021). Policy Model for Muslim State Inflation Control. International Journal of Nusantara Islam. doi:https://doi.org/10.15575/ijni.v9i1.11984
Hartono, J. (2017). Teori portofolio dan analisis investasi (Edisi 11). Yogyakarta: BPFE.
Hartoto, H., Jejen, A., Hardiyanti, N., & Budilaksono, A. (n.d.). The Impact of Macroeconomic Factors on Financial Markets: Evidence from Time Series Analysis on the Indonesia Stock Exchange. ournal La Sociale. doi:https://doi.org/10.37899/journal-la-sociale.v6i4.2110.
Husnan, S. (2015). Dasar-dasar teori portofolio dan analisis sekuritas (Edisi 5). UPP STIM YKPN.
Karim, A. (2015). Ekonomi Makro Islami. Jakarta: PT. Raja Grafindo Persada.
Katmas, E., & Indarningsih, N. (2022). The Effect of BI Interest Rate, Exchange Rate, and Inflation on The Indonesian Sharia Stock Index (ISSI). Indonesian Interdisciplinary Journal of Sharia Economics (IIJSE). doi:https://doi.org/10.31538/iijse.v5i2.2144.
Khamidah, W. &. (2022). Faktor yang Mempengaruhi Nilai Tukar Rupiah Terhadap Dolar Amerika, Euro dan Poundsterling. Ecoplan, 5(1). doi:https://doi.org/10.20527/ecoplan.v5i1.425.
N., & Shalma, S. (2024). The Effect of Inflation and Exchange Rate on the Indonesian Sharia Stock Index (ISSI) Period 2013-2022. Al-Maqrizi: Jurnal Ekonomi Syariah dan Studi Islam. doi:https://doi.org/10.32493/amq.v2i2.44438
Nawindra, I., & Wijayanto, A. (2020). The Influence of Macroeconomic Variables on The Indonesian Sharia Stock Index (ISSI) for The 2013-2019 Period. Management Analysis Journal. doi:https://doi.org/10.15294/maj.v9i4.41875
Nugroho, I., Hidayatullah, M., & Jayanti, A. (2023). The Effect of Inflation, Exchange Rate, and BI Rate on the Indonesian Sharia Stock Index. Journal of Islamic Economics and Finance Studies.
Nugroho, T. &. (2019). Macroeconomic Variables on Indonesian Sharia Capital Market. Shirkah: Journal of Economics and Business. doi:https://doi.org/10.22515/shirkah.v3i2.198
R, A., Utami, A., Karim, S., & Andriani, N. (2025). Impact of FED Interest Rate and Inflation Rate on Indonesian Sharia Stock Index: Moderating Role of Bank Indonesia's Interest Rate. International Journal of Multidisciplinary Approach Research and Science. doi:https://doi.org/10.59653/ijmars.v3i01.1278
Rachmawati M., L. N. (2015). Faktor Makro Ekonomi Yang Mempengaruhi Pergerakan Harga Pada Indeks Saham Syariah Indonesia (ISSI) Di Bursa Efek Indonesia (BEI). Jestt., 2(11).
Rahman, A., Widodo, S., Andni, R., & Muflih, B. (2023). Impacts and Implications of Macro Determinants Toward the Indonesian Sharia Stock Index. IQTISHADIA.
Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory 13(3), 341–360.
Ross, S. A. (1977). he determination of financial structure: The incentive-signalling approach. The Bell Journal of Economics 8(1),, 23–40. doi:https://doi.org/10.2307/3003485
Shadiqqy, M. (2020). engaruh Indeks Produksi Industri (IPI), Sertifikat Bank Indonesia Syariah (SBIS), Inflasi dan Nilai Tukar terhadap Indeks Saham Syariah Indoneisa (periode 2012-2018). Panangkaran: Jurnal Penelitian Agama dan Masyarakat.
Spence, M. (1973). Job market signaling. The Quarterly Journal of Economics,87(3), 355–374. doi:https://doi.org/10.2307/1882010
Suciningtias, A. S. (2015). Analisis dampak variabel makro ekonomi terhadap indeks saham syariah Indonesia (ISSI). . FE UNISSULA. Vol 2, no 1., 398.
Tandelilin, E. (2017). Pasar modal manajemen portofolio & investasi. Kanisius.
Wulan, A. (2020). Analisis Pengaruh Indikator Makroekonomi Terhadap Indeks Harga Saham Syariah di Indonesia Tahun 2011-2020. Syi`ar Iqtishadi . Journal of Islamic Economics, Finance and Banking., https://doi.org/10.35448/jiec.v4i2.9844.
