Mediasi Nilai Tukar (IDR/USD) Dalam Pengaruh Harga Minyak Mentah dan Emas Dunia Terhadap Pasar Saham Syariah Di Indonesia

Noval Noval

doi:10.24239/jiebi.v4i1.89.42-56

Noval Noval UIN Datokarama Palu

DOI: https://doi.org/10.24239/jiebi.v4i1.89.42-56

Keywords: Harga Minyak Mentah, Harga Emas Dunia, Nilai Tukar (IDR/USD), Pasar Saham Syariah

Abstract

Penelitian ini bertujuan tidak hanya untuk mengetahui pengaruh harga minyak mentah dan emas dunia pada pasar saham syariah di Indonesia, tetapi juga pengaruh mediasi nilai tukar (USD/IDR) dalam pengaruh tersebut. Karena hasil penelitian-penelitian sebelumnya, masih belum mungkin untuk menarik kesimpulan tegas apakah harga minyak mentah dunia dan harga emas memiliki pengaruh terhadap pasar saham syariah di Indonesia. Oleh karena itu, penelitian ini memasukkan nilai tukar (USD/IDR) sebagai variabel intervening untuk menjawab pertanyaan tersebut. Populasi dari penelitian ini adalah seluruh data Indeks Saham Syariah Indonesia (ISSI), World Texas Intermediate (WTI), harga emas berjangka periode Juni 2011 sampai Desember 2021. Sampel yang digunakan adalah 105 dan diperoleh dengan teknik purposive sampling. Metode analisis data menggunakan analisis jalur dengan bantuan program EViews versi 12. Hasil penelitian menunjukkan bahwa harga minyak mentah tidak memiliki pengaruh yang signifikan terhadap nilai tukar (USD/IDR) dan pasar saham syariah di Indonesia, sedangkan harga emas dunia memiliki pengaruh negatif terhadap nilai tukar (USD/IDR) namun tidak berpengaruh terhadap pasar saham syariah di Indonesia. Sedengkan nilai tukar (USD/IDR) berpengaruh negatif terhadap pasar saham syariah di Indonesia, serta hanya berperan memediasi harga emas dunia dalam mempengaruhi pasar saham syariah.

References

Adu-Ameyaw, E., Hickson, L., & Danso, A. (2022). Managerial compensation and fixed intangible assets investment: the role of managerial ownership and firm characteristics. Journal of Applied Accounting Research, ahead-of-p(ahead-of-print). https://doi.org/10.1108/JAAR-04-2021-0099

Ahmed, K., Bhutto, N. A., & Kalhoro, M. R. (2019). Decomposing the links between oil price shocks and macroeconomic indicators: Evidence from SAARC region. Resources Policy, 61(February), 423–432. https://doi.org/10.1016/j.resourpol.2018.03.001

Ali, H. S., Mukhtar, U., Tijani, B. A., & Auwal, A. M. (2015). Dynamic relationship of exchange rates and crude oil prices in South Africa: are there asymmetries? Research Journal of Finance and Accounting, 7(20), 11–25.

Antonio, M. S., Rusydiana, A. S., Soeparno, W. S. I., Rani, L. N., Pratomo, W. A., & Nasution, A. A. (2021). the Impact of Oil Price and Other Macroeconomic Variables on the Islamic and Conventional Stock Index in Indonesia. International Journal of Energy Economics and Policy, 11(5), 418–424. https://doi.org/10.32479/ijeep.10911

Awwal, M. A. F., & Afandi, M. Y. (2021). the Effect of Corona Pandemic, Mine Commodity Prices and Rupiah Exchange Rate on Indonesian Sharia Share Prices in the Mining Sector 2020. Jurnal Ekonomi dan Bisnis Islam (Journal of Islamic Economics and Business), 7(2), 350. https://doi.org/10.20473/jebis.v7i2.29838

Azis, M., Mintarti, S., & Nadir, M. (2015). Manajemen Investasi Fundamental, Teknikal, Perilaku Investor dan Return. Deepublish.

Capie, F., Mills, T. C., & Wood, G. (2005). Gold as a hedge against the dollar. Journal of International Financial Markets, Institutions and Money, 15(4), 343–352. https://doi.org/https://doi.org/10.1016/j.intfin.2004.07.002

Fathimiyah, D. A., & Fianto, B. A. (2020). Pengaruh Variabel Makro Ekonomi Dan Dow Jones Islamic Market Index Terhadap Harga Saham Pada Indeks Saham Syariah Indonesia (Issi) Tahun 2012-2019. Jurnal Ekonomi Syariah Teori dan Terapan, 7(11), 2183. https://doi.org/10.20473/vol7iss202011pp2183-2191

Godil, D. I., Sarwat, S., Sharif, A., & Jermsittiparsert, K. (2020). How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique. Resources Policy, 66, 101638. https://doi.org/https://doi.org/10.1016/j.resourpol.2020.101638

Jain, A., & Biswal, P. C. (2016). Dynamic linkages among oil price, gold price, exchange rate, and stock market in India. Resources Policy, 49, 179–185. https://doi.org/https://doi.org/10.1016/j.resourpol.2016.06.001

Karamelikli, H., & Karimi, M. S. (2022). Asymmetric relationship between interest rates and exchange rates: Evidence from Turkey. International Journal of Finance and Economics, 27(1), 1269–1279. https://doi.org/10.1002/ijfe.2213

Ma, C. K., & Kao, G. W. (1990). On Exchange Rate Changes and Stock Price Reactions. Journal of Business Finance & Accounting, 17(3), 441–449. https://doi.org/10.1111/j.1468-5957.1990.tb01196.x

Mahfudz, M. B., & Nurhadi, N. (2021). Pengaruh Indeks DJIA, Harga Minyak Dunia, Tingkat Inflasi, dan Nilai Tukar Rupiah terhadap ISSI. Al-Kharaj : Jurnal Ekonomi, Keuangan & Bisnis Syariah, 3(2), 254–269. https://doi.org/10.47467/alkharaj.v3i2.370

Mawardi, I., Widiastuti, T., & Sucia Sukmaningrum, P. (2019). The Impact of Macroeconomic on Islamic Stock Prices: Evidence from Indonesia. KnE Social Sciences, 3(13), 499. https://doi.org/10.18502/kss.v3i13.4226

Mukhtarov, S., Aliyev, S., & Zeynalov, J. (2020). The effect of oil prices on macroeconomic variables: Evidencfrom azerbaijan. International Journal of Energy Economics and Policy, 10(1), 72–80. https://doi.org/10.32479/ijeep.8446

Musah, A., & Ibrahim, M. (2015). Can gold investment provide a hedge against inflation and exchange rate? Evidence from a former Gold Coast. International Journal of Economics and Business Research, 10(2), 148–166. https://doi.org/10.1504/IJEBR.2015.070981

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, 9(4), 402–412. https://doi.org/10.15294/maj.v9i4.41875

Noval, N., & Nadia, N. (2020). Pengaruh Inflasi Terhadap Jakarta Islamic Index (JII) Dengan Bi 7 Day Repo Rate Sebagai Variabel Moderating Dan Nilai Tukar (IDR/USD) Sebagai Variabel Intervening. Jurnal Ilmu Perbankan dan Keuangan Syariah, 2(1), 1–23. https://doi.org/10.24239/jipsya.v2i1.20.1-23

Robiyanto, R. (2018). Testing of The Gold’s Role as a Safe Haven and Hedge for Sharia Stocks in Indonesia. Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah, 10(2), 255–266. https://doi.org/10.15408/aiq.v10i2.6527

Samsul, M. (2006). Pasar Modal dan Manajemen Portofolio. PT Gelora Aksara Pratama.

Taghizadeh-Hesary, F., Rasoulinezhad, E., & Yoshino, N. (2019). Energy and Food Security: Linkages through Price Volatility. Energy Policy, 128(November 2018), 796–806. https://doi.org/10.1016/j.enpol.2018.12.043

Tanuwidjaja, W. (2006). Siasat Investasi Cerdik: Bagi Investor Pemula. Media Perssido.

Tanuwidjaja, W. (2009). Cerdas Investasi Emas. Media Perssido.

Wang, K.-M., & Lee, Y.-M. (2022). Is gold a safe haven for exchange rate risks? An empirical study of major currency countries. Journal of Multinational Financial Management, 63, 100705. https://doi.org/https://doi.org/10.1016/j.mulfin.2021.100705

Wang, Y., Wu, C., & Yang, L. (2013). Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries. Journal of Comparative Economics, 41(4), 1220–1239.

Wen, F., Zou, Q., & Wang, X. (2021). The contrarian strategy of institutional investors in Chinese stock market. Finance Research Letters, 41, 101845. https://doi.org/https://doi.org/10.1016/j.frl.2020.101845

Zahrok, F. F., Sulchan, M., Almira, D. T., & Aeni, E. A. N. (2021). Gold Prices, World Oil Prices and Large Trade Price Index on Indonesian Sharia Stock Index with Exchange Value as A Moderating Variable in Indonesia. Indonesian Economic Review, 1(2), 81–91.