THE EFFECT OF EXCHANGE RATE VOLATILITY ON THE VOLATILITY OF INDONESIA'S SHARIA STOCK MINING SECTOR INDEX

https://doi.org/10.20473/vol7iss20209pp1743-1754

Authors

  • Nanda Lismatiara Zubaid
    nanda.lismatiara.zubaid-2016@feb.unair.ac.id
    Departemen Ekonomi Syariah - Fakultas Ekonomi dan Bisnis - Universitas Airlangga
  • Sulistya Rusgianto Departemen Ekonomi Syariah - Fakultas Ekonomi dan Bisnis - Universitas Airlangga
Vol. 7 No. 9 (2020): September-2020
Articles
September 25, 2020

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ABSTRAK

Volatilitas merupakan refleksi besarnya risiko dari naik turunnya harga saham atau valuta asing. Penelitian ini bertujuan untuk menganalisis pengaruh volatilitas nilai tukar terhadap volatilitas indeks sektor pertambangan saham syariah Indonesia. Pengambilan sampel 10 emiten dilakukan dengan teknik purposive sampling selama periode penelitian 12 Mei 2011 hingga 31 Desember 2019. Metode yang digunakan adalah model EGARCH. Volatilitas nilai tukar ditemukan berpengaruh signifikan terhadap sektor pertambangan saham syariah. Hasil dari penelitian ini memberi bukti empiris dalam memprediksi pergerakan nilai tukar dan indeks sektor pertambangan, serta  dapat menjadi sumber informasi bagi pemerintah untuk mempertimbangkan kebijakan insentif terhadap emiten di sektor pertambangan yang sensitif akibat fluktuasi nilai tukar, dan informasi bagi investor dalam mempertimbangan investasi di sektor pertambangan.

Kata Kunci: Volatilitas, Nilai Tukar, Indeks Sektor Pertambangan Saham Syariah

 

ABSTRACT

Volatility is a reflection of risk from the increase and decrease of stock price or exchange rate. This study aims to analyze the effect of exchange rate volatility on Indonesia's sharia stock mining sector index. Sample from 10 companies was obtained by using a purposive sampling technique with an observation period from 12 May 2011 until 31 December 2019. The method used in this study is the EGARCH model. This study shows that exchange rate volatility has a significant effect on the sharia stock mining index. The results of this study provide empirical evidence in predicting exchange rate movements and mining sector index and can be a source of information for the government to consider incentive policies for issuers in the mining sector that are sensitive due to exchange rate fluctuations, and information for investors in considering mining sector investments.

Keywords: Volatility, Exchange Rate, Sharia Stock Mining Sector Index