Spillover Effect Indeks GEPU, Harga Minyak Dunia, Fed Fund Rate terhadap Harga Saham Syariah Indonesia
Abstract
Abstract
The global economy must face global economic uncertainty because of the ongoing effects of the COVID-19 pandemic and the Russia-Ukraine geopolitical conflict. Global economic uncertainty has a spillover effect on the Indonesian stock market. The study aims to determine the impact of spillover of the GEPU index, world oil price, and Fed Fund Rate (FFR) on Indonesian sharia stock prices. This research is quantitative and uses secondary time series data in the form of monthly data on the GEPU index, world oil prices, FFR, and ISSI index from January 2019 to December 2023. The data was processed using SPSS 26 with multiple linear regression analysis. The results prove that the GEPU index, world oil price, and FFR simultaneously affect Indonesia's sharia stock price. The partial results with the t-test stated that the GEPU index does not have a significant effect on the Indonesian sharia stock price. Furthermore, the world oil price and FFR have a significant positive impact. These results indicate that Indonesian sharia stocks still provide attractive investment opportunities and their potential will continue to grow in the future. This research can be used as a reference for consideration in analyzing investment assets, especially the sharia stock market amidst economic uncertainty that may occur in the future.
Keywords: Sharia Stock Price; GEPU; World Oil Price; Fed Fund Rate.
Abstrak
Perekonomian dunia harus menghadapi ketidakpastian ekonomi global dari efek berkelanjutan pandemi COVID-19 dan krisis geopolitik Rusia-Ukraina. Ketidakpastian ekonomi global memberikan pengaruh limpahan atau spillover effect terhadap pasar saham Indonesia. Penelitian bertujuan untuk mengetahui pengaruh spillover indeks GEPU, harga minyak dunia, Fed Fund Rate (FFR) terhadap harga saham syariah Indonesia. Penelitian ini adalah penelitian kuantitatif menggunakan data sekunder time series berupa data bulanan indeks GEPU, harga minyak dunia, FFR, dan indeks ISSI dari Januari 2019 sampai Desember 2023. Data diolah menggunakan SPSS 26 dengan analisis regresi linier berganda. Hasil membuktikan bahwa indeks GEPU, harga minyak dunia, dan FFR secara simultan mempengaruhi harga saham syariah Indonesia. Hasil secara parsial dengan uji t, indeks GEPU tidak memiliki pengaruh signifikan terhadap harga saham syariah Indonesia. Selanjutnya, harga minyak dunia dan FFR memiliki pengaruh positif signifikan. Hasil ini menunjukkan saham syariah Indonesia masih memberikan peluang menarik untuk investasi dan potensinya akan terus tumbuh ke depan. Penelitian ini dapat dijadikan referensi pertimbangan dalam menganalisis aset investasi utamanya pasar saham syariah di tengah ketidakpastian ekonomi yang mungkin terjadi di masa depan.
Kata Kunci: Harga Saham Syariah; GEPU; Harga Minyak Dunia; Fed Fund Rate.
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