THE FLUCTUATION OF SHARIA STOCK IN INDONESIA DURING COVID-19 PANDEMIC INFLUENCED BY MACROECONOMIC VARIABLES: AN ANALYSIS OF HOTEL, RESTAURANT, AND TOURISM SUB-SECTOR

ABSTRAK

Pandemi COVID-19 merebak dengan cepat keseluruh negara di dunia menimbulkan banyak dampak termasuk dalam bidang perekonomian. Adanya kebijakan-kebijakan khusus untuk mencegah penyebaran virus, seperti pembatasan mobilisasi dan kegiatan public memberikan dampak yang cukup masif, termasuk pada bidang pariwisata. Penelitian ini bertujuan untuk melihat pengaruh beberapa variabel makro, berupa nilai tukar, IHSG, Dow Jones Index (DJI), Dow Jones Islamic Market Index (DJIMI), dan harga minyak dunia terhadap fluktuasi harga saham perusahaan sub sektor hotel, restoran, dan pariwisata yang terdaftar dalam Indeks Saham Syariah Indonesia. Menggunakan metode Partial Least Square (PLS), menunjukkan hasil sepanjang 2 Maret hingga 30 September 2020, nilai tukar dan IHSG berpengaruh positif signifikan terhadap harga saham, sedangkan harga minyak berpengaruh tidak signifikan. DJI berpengaruh negatif tidak signifikan terhadap harga saham sedangkan DJIMI berpengaruh negatif signifikan. Sepanjang pandemi dapat dimungkinkan banyak variabel makro maupun mikro yang mengalami goncangan dan turut memberi pengaruh terhadap harga saham pada sub sektor hotel, restaurant dan pariwisata.

Kata Kunci: Dow Jones Index, Dow Jones Islamic Market Index, Harga Minyak, IHSG, Nilai Tukar.

ABSTRACT

The COVID-19 pandemic, which spreads rapidly around the world, has raised many impacts, including in economic sector. There are particular policies to prevent the spreading of COVID-19 virus, such as restrictions of mobilization and public activities which give some massive impacts, including the tourism sector. This study aims to see the impact of several macroeconomic variables, those are exchange rate, IHSG, Dow Jones Index (DJI), Dow Jones Islamic Market Index (DJIMI), and world oil price, due stock price fluctuations in the hotel, restaurant and tourism sub-sector companies listed on Indonesia Sharia Stock Index. Using Partial Least Square (PLS) method, it shows the results from March 2 to September 30 2020, exchange rate and IHSG have positive significant effect on stock price, while oil price has no significant effect. DJI has a negative and insignificant effect on stock price, while DJIMI has a negative significant effect. Through this pandemic, there are many macro or micro variables may experience shocks and give some contribution to the effect of sharia stock price in the hotel, restaurant and tourism sub-sector.

Keywords: Dow Jones Index, Dow Jones Islamic Market Index, Exchange Rate, IHSG, Oil Price.

DAFTAR PUSTAKA

Adam, P. (2015). A model of the dynamic of the relationship between stock prices and economic growth of Indonesia. Applied Economics and Finance, 2(3), 12–19. https://doi.org/10.11114/aef.v2i3.829

Albulescu, C. T. (2020). Coronavirus and oil price crash. arXiv, 1–13. https://doi.org/10.2139/ssrn.3553452

Alwi, I. Z. (2003). Pasar modal: Teori dan aplikasi ((Edisi pertama)). Jakarta: Nasindo Internusa.

Ardana, Y., & Maya, S. (2019). Determinasi faktor fundamental makroekonomi dan indeks harga saham syariah internasional terhadap indeks harga saham syariah Indonesia. Cakrawala: Jurnal Studi Islam, 14(1), 1–15. https://doi.org/10.31603/cakrawala.v14i1.2622

Aryasta, I. N., & Artini, L. G. S. (2019). The effects of indonesian macroeconomic indicators and global stock price index on the composite stock prices index in Indonesia. International Journal of Scientific and Research Publications, 9(6), 479-483.

Bekaert, G., Harvey, C. R., & Lundblad, C. (2007). Global growth opportunities and market integration. The Journal of Finance, 62(3), 1081-1137. https://doi.org/10.1111/j.1540-6261.2007.01231.x

BPS. (2020). Perkembangan Pariwisata dan Transportasi Nasional Maret 2020. Dalam Berita Resmi Statistik (Nomor 37).

Carp, L. (2012). Can stock market development boost economic growth? Empirical evidence from emerging markets in Central and Eastern Europe. Procedia Economics and Finance, 3, 438–444. https://doi.org/10.1016/S2212-5671(12)00177-3

Czech, K., Wielechowski, M., Kotyza, P., BeneÅ¡ová, I., & Laputková, A. (2020). Shaking stability: covid-19 impact on the visegrad group countries' financial markets. Sustainability, 12(15), 6282. https://doi.org/10.3390/su12156282

Degiannakis, S., Filis, G., & Arora, V. (2017). Oil prices and stock markets: A review of the theory and empirical evidence. Energy Journal, 5(39), 85-130.

Devpura, N., & Narayan, P. K. (2020). Hourly oil price volatility: The role of covid-19. Energy Research Letters, 1(2). https://doi.org/10.46557/001c.13683

ECB, E. (2012). Monthly bulletin October 2012. 194.

Fongang, M. M., & Ahmadi, N. (2020). The impact of a pandemic (Covid-19) on the stock markets a study on the stock markets of China, US and UK. Unpublished Master Thesis. Sweden: Umea University.

Haryanto, H. (2020). Dampak covid-19 terhadap pergerakan nilai tukar rupiah dan indeks harga saham gabungan (IHSG). Jurnal Perencanaan Pembangunan: The Indonesian Journal of Development Planning, 4(2), 151–165. https://doi.org/10.36574/jpp.v4i2.114

Hongsakulvasu, N., & Liammukda, A. (2020). The risk-return relationship in crude oil markets during covid-19 pandemic: evidence from time-varying coefficient GARCH-in-mean model. Journal of Asian Finance, Economics and Business, 7(10), 63–71. https://doi.org/10.13106/jafeb.2020.vol7.no10.063

Kamaludin, K., Sundarasen, S., & Ibrahim, I. (2021). Covid-19, Dow Jones and equity market movement in ASEAN-5 countries: Evidence from wavelet analyses. Heliyon, 7(1), e05851. https://doi.org/10.1016/j.heliyon.2020.e05851

Kartikaningsih, D. (2020a). Pengaruh nilai tukar terhadap harga saham sektor infrastruktur pada masa pandemi covid-19. Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan, 3(1), 53-60.

Kartikaningsih, D. (2020b). Pengaruh nilai tukar terhadap harga saham perusahaan sektor food and beverage di masa pandemi covid-19. BISMA: Jurnal Bisnis dan Manajemen, 14(2), 133. https://doi.org/10.19184/bisma.v14i2.17862

Kennedy, P. S. J., & Hayrani, R. (2018). Pengaruh faktor-faktor ekonomi makro: Inflasi, kurs, harga minyak, dan harga bahan bangunan terhadap harga saham perusahaan properti di BEI. Jurnal Mitra Manajemen, 2(1), 1–12. https://doi.org/10.52160/ejmm.v2i1.31

Kewal, S. S. (2012). Pengaruh inflasi, suku bunga, kurs, dan pertumbuhan PDB terhadap indeks harga saham gabungan. Jurnal Economia, 8(1), 53–64. https://doi.org/10.21831/economia.v8i1.801

Khairunnida, K. (2017). Pengaruh suku bunga dan nilai tukar terhadap harga saham perusahaan consumer goods di bursa efek Indonesia. Majalah Ilmiah Politeknik Mandiri Bina Prestasi, 2.

Khan, K., Zhao, H., Zhang, H., Yang, H., & Jahanger, A. (2020). The impact of covid-19 pandemic on stock markets: An empirical analysis of world major stock indices. The Journal of Asian Finance, Economics and Business, 7, 463–474. https://doi.org/10.13106/jafeb.2020.vol7.no7.463

Kiky, A. (2020). Manajemen risiko terhadap black swan event Maret 2020 di Indonesia. Studi Kasus Efek Covid-19 Terhadap Pasar Modal Indonesia. Jurnal Bina Manajemen, 8(2), 90-105.

Liew, V. K.-S. (2020). The effect of novel coronavirus pandemic on tourism share prices. Journal of Tourism Futures, ahead-of-print(ahead-of-print). https://doi.org/10.1108/JTF-03-2020-0045

Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The covid-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 2800. https://doi.org/10.3390/ijerph17082800

Liu, L., Wang, E.-Z., & Lee, C.-C. (2020). Impact of the COVID-19 pandemic on the crude oil and stock markets in the US: A time-varying analysis. Energy Research Letters, 1, 1–5. https://doi.org/10.46557/001c.13154

Mishra, P. K., & Mishra, S. K. (2020). Corona pandemic and stock market behaviour: empirical insights from selected Asian countries. Millennial Asia, 11(3), 341–365. https://doi.org/10.1177/0976399620952354

Mishra, S., Sharif, A., Khuntia, S., Meo, M. S., & Khan, S. A. R. (2019). Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach. Resources Policy, 62, 292–304. https://doi.org/10.1016/j.resourpol.2019.04.005

Muhamad, M. (2014). Manajemen keuangan syari'ah: Analisis fiqh & keuangan. Yogyakarta: LIPP STIM YKPN.

Mulyadi, M. S. (2012). Volatility spillover in Indonesia, USA and Japan capital market. African Journal of Business Management, 6(27). https://doi.org/10.5897/ajbm11.2054

Mutoharo, N. H., & Hakim, A. (2021). Macroeconomic variable stability during covid-19 pandemic on sharia stock index in Indonesia and Malaysia. 7(6), 18.

Nasir, A., & Mirza, A. (2013). Pengaruh nilai kurs, inflasi, suku bunga deposito dan volume perdagangan saham terhadap return saham pada perusahaan perbankan yang terdaftar di bursa efek Indonesia. Jurnal Ekonomi, 19(04), Article 04. https://doi.org/10.31258/je.19.04.p.%p

OECD. (2020). Covid-19 and global capital flows. OECD Report to G20 International Financial Architecture Working Group (June).

Oktaviani, R. F. 2017. (2017). Index harga saham Islamic Internasional terhadap Jakarta Islamic Index. Jurnal Ekonomika dan Manajemen, 6(1), 1–15.

Pepinsky, T. B., & Wihardja, M. M. (2011). Decentralization and economic performance in Indonesia. Journal of East Asian Studies. https://doi.org/10.1017/S1598240800007372

Prabheesh, K. P., Padhan, R., & Garg, B. (2020). Covid-19 and the oil price – Stock market nexus: Evidence from net oil-importing countries. Energy Research Letters, 1, 1–6. https://doi.org/10.46557/001c.13745

PT Bursa Efek Indonesia. (2021). https://www.idx.co.id/produk/indeks/

Rabhi, A. (2020). Stock market vulnerability to the covid-19 pandemic: Evidence from emerging Asian stock market. Journal of Advanced Studies in Finance, 11(2), 126. https://doi.org/10.14505//jasf.v11.2(22).06

Robiyanto, & Aldhi, H. F. (2018). Contagion effect dan integrasi pasar modal. Jurnal Organisasi dan Manajemen, 14(Maret), 1–9.

Sartika, U. (2017). Pengaruh inflasi, tingkat suku bunga, kurs, harga minyak dunia dan harga emas dunia terhadap IHSG dan JII di bursa efek Indonesia. Balance: Jurnal Akuntansi dan Bisnis, 2(2), 285-294.

Sharif, A., Aloui, C., & Yarovaya, L. (2020). Covid-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70(April), 101496. https://doi.org/10.1016/j.irfa.2020.101496

Shen, H., Fu, M., Pan, H., Yu, Z., & Chen, Y. (2020). The impact of the covid-19 pandemic on firm performance. Emerging Markets Finance and Trade, 56(10), 2213–2230. https://doi.org/10.1080/1540496X.2020.1785863

Sukirno, S. (2015). Makro ekonomi (Teori pengantar). Jakarta: Raja Grafindo Persada.

Sutanto, B., Murhadi, W. R., & Ernawati, E. (2013). Analisis pengaruh ekonomi makro, indeks dow jones, dan indeks nikkei 225 terhadap indeks harga saham gabungan (IHSG) di BEI periode 2007-2011. Jurnal Ilmiah Mahasiswa Universitas Surabaya, 2(1), 1–9.

Sutawijaya, A., & Zulfahmi, Z. (2012). Faktor-faktor yang Mempengaruhi Investasi Swasta. Skripsi tidak dipublikasikan. Fakultas Ekonomi, Universitas terbuka.

The World Bank, T. W. B. (2020). International Corporate Finance. United States: Thomson South-Western.

UNWTO. (2020). International tourism down 70% as travel restrictions impact all regions. Unwto, 34, 1.

Wibowo, F. W. (2019). Determinan tingkat suku bunga, indeks dow jones, nikkei 225, dan straits time terhadap ISSI. El Dinar, 7(1), 32. https://doi.org/10.18860/ed.v7i1.6713

Widardjono, A. (2017). Ekonometrika (Pengantar dan aplikasinya disertai panduan Eviews). Yogyakarta: UPP STIM YKPN.

World Health Organization. (2020). 14 the good thing about coronavirus, book: Economics in the Time of COVID-19 in Human Vaccines and Immunotherapeutics, 9(3).

Yusuf, A. A. (2016). Pengaruh inflasi, suku bunga, nilai tukar/kurs, dan ihsg terhadap harga saham syariah pendekatan error correction model. Al-Amwal: Jurnal Ekonomi Dan Perbankan Syari'ah, 6(1), Article 1. https://doi.org/10.24235/amwal.v6i1.247