Macroeconomic Variable Stability during Covid-19 Pandemic on Sharia Stock Index in Indonesia and Malaysia

Naji Hatul Mutoharo, Abdul Hakim

FTSEMHS, GOLD, MYR, OIL, and DJIA

Globalization is one of the reasons for the strengthening of interaction and integration of countries around the world, one of which is through the transmission of capital markets. The COVID-19 pandemic, which has spread throughout the world, has had a considerable impact on almost all countries. This study aims to determine the impact received by the Sharia stock index in Indonesia and Malaysia, due to shocks in macroeconomic variables during the COVID-19 pandemic. The macroeconomic variables used are world oil prices, gold prices, the dow jones index, and currency exchange rates. The Jakarta Islamic Index (JII) as the dependent variable represents the Sharia stock index in Indonesia, and Malaysia is represented by the FTSE Bursa Malaysia Hijrah Syariah (FTSEMHS). Using the vector error correction model (VECM), shows the results that during March 1, 2020 to February 28, 2021, in the long and short term there is a relationship between the independent and dependent variables. Based on the analysis of variance decomposition, sequentially the variables that give the largest contribution to JII are JII, DJIA, OIL, GOLD and IDR, while in FTSEMHS, namely FTSEMHS, GOLD, MYR, OIL, and DJIA.