Effect of Market Risk Premium and Exchange Rate on the Return of Jakarta Islamic Index

Effect of Market Risk Premium and Exchange Rate on the Return of Jakarta Islamic Index

Fatmawati

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Hendri Tanjung

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Endri

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α Universitas Ibn Khaldun Bogor

Effect of Market Risk Premium and Exchange Rate on the Return of Jakarta Islamic Index

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Abstract

Index. This study aims to analyze the effect of market risk premium and exchange rate on the return of Jakarta Islamic Index. By using the Vector Auto regression (VAR), this study utilizes time series monthly data from January 2008 to December 2018. This paper finds that the market risk premium has no significant effect on the return of Jakarta Islamic Index, while the exchange rate has a significant positive effect on the return of Jakarta Islamic Index. Shocks to market risk premium are responded negatively by return of Jakarta Islamic Index while shocks to exchange rate are responded positively by return of Jakarta Islamic Index. JII stocks based on sharia principles, so investors will be safer to invest in JII stocks rather than conventional stocks because they are notaffected by changes in the conventional economic condition.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

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Not applicable for this article.

How to Cite This Article

Fatmawati. 2020. \u201cEffect of Market Risk Premium and Exchange Rate on the Return of Jakarta Islamic Index\u201d. Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 20 (GJMBR Volume 20 Issue B5): .

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GJMBR Volume 20 Issue B5
Pg. 1- 11

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Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-B Classification: JEL Code: F39

Submission ReceivedNovember 9, 2020
Peer Review Double Blind
Handling Editor
Accepted December 5, 2020
Published December 15, 2020

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May 15, 2020

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