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ANALISIS KOINTEGRASI: KETERKAITAN JAKARTA ISLAMIC INDEKS DENGAN IHSG DAN SBI DI BURSA EFEK JAKARTA (Periode April 2005 – Juli 2007)

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... Kesimpulan penelitian antara lain bahwa untuk variabel dependen Risiko Jakarta Islamic Index (JII), variabel independen Kurs, SBI, Indeks Dow Jones, dan Nikkei signifikan mempengaruhi, sedangkan inflasi tidak signifikan mempengaruhi. Muhajir (2008) menganalisis Jakarta Islamic Indeks (JII) dengan menggunakan Analisis Kointegrasi dan Vector Error Correction Model. Penelitian ini menjelaskan bagaimana hubungan antara dua indeks yang bergerak pararel secara bersamaan, namun dengan kriteria yang berbeda satu yaitu Jakarta Islamic Indeks yang memegang prinsip Syariah, sedangkan yang lain adalah Indeks Harga Saham Gabungan (IHSG). ...
... Dari hasil analisis IRF tersebut menunjukkan bahwa pergerakan IHSG dan sektor riil menujukkan arah yang sama dengan JII. Hal tersebut sesuai dengan salah satu temuan Prio (2010) dan Sriwardani (2008), tetapi bertentangan dengan temuan Muhajir (2008) tentang hubungan jangka pendek dengan IHSG. Suku bunga SIBOR meskipun kecil, tetapi direspon oleh JII pada 3 bulan pertama, hal tersebut bertentangan dengan temuan Untoro (2008), tetapi mendukung penelitian Merancia (2009) adanya pengaruh shock regional terhadap kondisi JII. ...
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Capital markets can be a leading indicator for the economy. Shariah Index has taken place in the process of Islamization of capital markets at once is Islamic capital market development. The purpose of this study to (1) know the description of the dynamics of JII, JCI, Index of Industrial Production, and SIBOR, (2) evaluate the response to shocks Jakarta Islamic Index stock index, the Index of Industrial Production, and SIBOR. Analysis using Vector Autoregression. VAR is built with consideration to minimize the theoretical approach capable of capturing economic phenomena. Description JII and JCI showed a similar pattern, the Index of Industrial Production has an increasing trend, while SIBOR fluctuates and tends to fall. Shocks that occurred in the JII, JCI and the Index of Industrial Production will be responded positively by JII, while the shocks that occurred in SIBOR will respond in the opposite direction.
... Temuan ini memiliki hasil yang berbeda dari beberapa penelitian yang diungkap oleh Saiti & Masih (2016), Wibowo (2017), Yusuf, et al (2018), Mardatillah & Satibi (2018), dan Muhajir (2008) bahwa indeks saham konvensional mengalami kointegrasi dengan indeks saham syariah. Namun ada beberapa kesamaan dalam penelitian dalam hasil penelitian yang diteliti oleh Saiti (2014) dan Majdoub, et al (2016) ditemukan adanya beberapa indeks saham yang tidak mengalami kointegrasi. ...
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This paper gives a systematic application of maximum likelihood inference concerning cointegration vectors in non-stationary vector valued autoregressive time series models with Gaussian errors, where the model includes a constant term and seasonal dummies. The hypothesis of cointegration is given a simple parametric form in terms of cointegration vectors and their weights. The relation between the constant term and a linear trend in the non-stationary part of the process is discussed and related to the weights. Tests for the presence of cointegration vectors, both with and without a linear trend in the non-stationary part of the process are derived. Then estimates and tests under linear restrictions on the cointegration vectors and their weights are given. The methods are illustrated by data from the Danish and the Finnish economy on the demand for money. Copyright 1990 by Blackwell Publishing Ltd
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The relationship between cointegration and error correction models, first suggested by Granger, is here extended and used to develop estimation procedures, tests, and empirical examples. A vector of time series is said to be cointegrated with cointegrating vector a if each element is stationary only after differencing while linear combinations a8xt are themselves stationary. A representation theorem connects the moving average , autoregressive, and error correction representations for cointegrated systems. A simple but asymptotically efficient two-step estimator is proposed and applied. Tests for cointegration are suggested and examined by Monte Carlo simulation. A series of examples are presented. Copyright 1987 by The Econometric Society.
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