DINAMIKA HUBUNGAN FOREIGN DIRECT INVESTMENT (FDI), MAKROEKONOMI DAN RETURN INDEKS SAHAM SYARIAH DI EMPAT NEGARA ASEAN
Keywords:
FDI, makroekonomi, ARDL
Abstract
Negara-negara kawasan Asia Tenggara tengah menyongsong integrasi pasar modal. Kehadiran momentum itu, dibutuhkan kondisi ekonomi masing-masing negara yang stabil dan pasar modal yang menarik. Momentum ini juga merupakan kesempatan pasar modal syariah untuk lebih dikembangkan di kawasan ini. Penelitian ini bertujuan untuk menguji pengaruh Foreign Direct Investment (FDI) dan variabel ekonomi makro yakni pertumbuhan ekonomi, inflasi, suku bunga acuan dan nilai tukar terhadap return indeks saham syariah di empat negara ASEAN yaitu Indonesia, Malaysia, Thailand dan Singapura. Periode penelitian sejak kuartal IV tahun 2006 sampai dengan kuartal I tahun 2020. Metode yang digunakan dalam pembuktian empiris pada penelitian ini adalah Autoregressive Distributed Lag Bounds Testing Approach (ARDL). Penelitian ini menemukan hubungan kointegrasi jangka panjang pada semua negara objek penelitian. Dalam hubungan jangka panjang dan dinamika jangka pendek, penelitian ini menemukan adanya variasi hasil dan arah koefisien di 4 negara ASEAN. Kecepatan penyesuaian kembali keseimbangan jika terjadi goncangan berturut-turut Indonesia, Malaysia, Thailand dan Singapura adalah 44.7%, 65.4%, 43.5% dan 50.0% per bulannya.
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References
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Yusof, R.M. and Majid, M.S.A., (2007). Stock Market Volatility Transmission in Malaysia Islamic Versus Conventional Stock Market. Journal of King Abdulaziz University: Islamic Economics 20(2), 17-35.
Zafar, N., Urooj, S. F., & Durrani, T. K. (2008). Interest rate volatility and stock return and volatility. European journal of economics, finance and administrative sciences, 14(1), 135-140.
Albulescu, C. T., Aubin, C., & Goyeau, D. (2017). Stock prices, inflation and inflation uncertainty in the US: testing the long-run relationship considering Dow Jones sector indexes. Applied Economics, 49(18), 1794-1807.
Al-Qur’an dan Tafsirnya.(2011). Jakarta: Kementerian Agama.
Baker, M., Foley, C. F., & Wurgler, J. (2004). The stock market and investment: Evidence from FDI flows (No. w10559). National Bureau of Economic Research.
Bodie, Z. (1976). Common stocks as a hedge against inflation. The journal of finance, 31(2), 459-470.
Bodie, Z., Kane, A., & Marcus, A. J. (2014). Investments 10th ed.
Boediono. (1996). Ekonomi Makro. Seri Sinopsis Pengantar Ilmu. Ekonomi No. 2, Edisi ke-4. Yogyakarta: BPFE.
Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of business, 383-403.
Chen, T. J. (1992). Determinants of Taiwan's direct foreign investment: The case of a newly industrializing country. Journal of Development Economics, 39(2), 397-407.
Elfakhani, S., Hassan, M. K., & Sidani, Y. (2005, December). Comparative performance of Islamic versus secular mutual funds. In 12th Economic Research Forum Conference in Cairo, Egypt (Vol. 53, pp. 19-21).
Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American economic reviu, 71(4), 545-565.
Fama, E. F. (1991). Efficient capital markets: II. The journal of finance, 46(5), 1575-1617.
Fama, E. F., & Gibbons, M. R. (1982). Inflation, real returns and capital investment. Journal of Monetary Economics, 9(3), 297-323.
Fama, E. F., & Schwert, G. W. (1977). Asset returns and inflation. Journal of financial economics, 5(2), 115-146.
Fatwa DSN-MUI No: 40/DSN-MUI/X/2003
Gan, et. al. (2006). Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence. Investment Management and Financial Innovation, 3(4), pp. 89-101.
Geske, R., & Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. The journal of Finance, 38(1), 1-33.
Granger, C. W., Newbold, P., & Econom, J. (1974). Spurious regressions in econometrics. Baltagi, Badi H. A Companion of Theoretical Econometrics, 557-61.
Haq, A. U. (2019). Role of FDI in Stock Returns: A Case of Pakistan. Asian Journal of Economics, Finance and Management, 1(3), 99-104. Retrieved from https://www.globalpresshub.com/index.php/AJEFM/article/view/769
Hartono, J. (2017). Teori portofolio dan analisis investasi edisi kesebelas. Yogyakarta: BPFE.
Kapoor, S., & Sachan, R. (2015). Impact of FDI & FII on Indian stock markets. International Journal of Research in Finance and Marketing, 5(4), 9-17.
Kewal, S. S. (2012). Pengaruh inflasi, suku bunga, kurs, dan pertumbuhan PDB terhadap indeks harga saham gabungan. Jurnal economia, 8(1), 53-64.
Khan, M. K., Teng, J. Z., Parviaz, J., & Chaudhary, S. K. (2017). Nexuses between economic factors and stock returns in China.
Khan, M. M., & Yousuf, A. S. (2013). Macroeconomic forces and stock prices: evidence from the Bangladesh stock market.
Khan, M. N., & Zaman, S. (2012). Impact of macroeconomic variables on stock prices: Empirical evidence from Karachi stock exchange, Pakistan. In Business, Economics, Financial Sciences, and Management (pp. 227-233). Springer, Berlin, Heidelberg.
Kumar, R. (2015). Valuation: theories and concepts. Academic Press.
Makridakis, 1999. Metode dan Aplikasi Peramalan, Jilid 1, Erlangga, Jakarta
Mankiw, Gregory. (2006). Makroekonomi Edisi ke 6. Jakarta; Erlangga..
Mankiw, Gregory. (2006). Pengantar Ekonomi Makro Edisi ke 3. Jakarta: Salemba.
Maysami, R. C., Howe, L. C., & Rahmat, M. A. (2005). Relationship between macroeconomic variables and stock market indices: Cointegration evidence from stock exchange of Singapore's all-S sector Indices. Jurnal Pengurusan (UKM Journal of Management), 24.
Mišun, J., & Tomšík, V. (2002). Přímé zahraniční investice ve střední Evropě: vytěsňují nebo vtahují domácí investice? Politická ekonomie, 2, 251-259.
Mukhopadhyay, D., & Sarkar, N. (2003). Stock return and macroeconomic fundamentals in model-specification framework: Evidence from Indian stock market. Indian Statistikal Institute, Economic Research Unit, ERU, 5, 1-28.
Najand, M., & Rahman, H. (1992). Stock market volatility and macroeconomic variables: International evidence. Journal of Multinational Finance Management, 1(3), 51-66.
Narayan, P. K., Phan, D. H. B., Sharma, S. S., & Westerlund, J. (2016). Are Islamic stock returns predictable? A global perspective. Pacific-Basin Finance Journal, 40, 210-223.
Nurul Ichsan Hasan. Perbankan Syariah (Jakarta: Referensi, 2014), 227.
Ritter, J. R. (2005). Economic growth and equity returns. Pacific-Basin Finance Journal, 13(5), 489-503.
Shihab, Quraish. Tafsir Al-Mishbah Pesan, Kesan dan Keserasian al-Qur‟an, (Vol.1; Tangerang: Lentera Hati, 2002), hlm. 567
Sohail, N., & Hussain, Z. (2009). Long-run and short-run relationship between macroeconomic variables and stock prices in Pakistan: The case of Lahore Stock Exchange. Pakistan Economic and Social Reviu, 183-198.
Stephen, R. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
Stoian, A., & Iorgulescu, F. (2020). Fiscal policy and stock market efficiency: An ARDL Bounds Testing approach. Economic Modelling.
Tambunan, C., & Amin, J. (2019). Dampak Belanja Negara Terhadap Tingkat Kegiatan Ekonomi di Indonesia. Media Ekonomi, 27(1), 53-70.
Tripathi, Vanita and Kumar, Arnav. (2015). Do Macroeconomic Variables Affect Stock Returns in BRICS Markets? An ARDL Approach (August 21, 2015). Journal of Commerce & Accounting Research, Volume 4, Issue 2, April 2015, Available at SSRN: https://ssrn.com/abstract=2649106
Tsagkanos, A., Siriopoulos, C. and Vartholomatou, K. (2019), "Foreign direct investment and stock market development: Evidence from a “new” emerging market", Journal of Economic Studies, Vol. 46 No. 1, pp. 55-70
Yusof, R.M. and Majid, M.S.A., (2007). Stock Market Volatility Transmission in Malaysia Islamic Versus Conventional Stock Market. Journal of King Abdulaziz University: Islamic Economics 20(2), 17-35.
Zafar, N., Urooj, S. F., & Durrani, T. K. (2008). Interest rate volatility and stock return and volatility. European journal of economics, finance and administrative sciences, 14(1), 135-140.
Published
2021-10-28
How to Cite
Fitriyanto, N., Ardiansyah, M., Wibowo, M., & Satibi, I. (2021). DINAMIKA HUBUNGAN FOREIGN DIRECT INVESTMENT (FDI), MAKROEKONOMI DAN RETURN INDEKS SAHAM SYARIAH DI EMPAT NEGARA ASEAN. An-Nisbah: Jurnal Ekonomi Syariah, 8(2), 322 - 365. https://doi.org/10.21274/an.v8i2.4471
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Articles
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