Hubungan Interaktif Antara Harga Logam Mulia dan Jakarta Islamic Stock Index

Roni Padliansyah, Ahmad Juliana, La Ode Hasiara

Abstract


Penelitian ini bertujuan untuk mengetahui korelasi jangka panjang dan jangka pendek antara harga logam mulia yang terdiri dari emas, perak, platinum, paladium, dan Jakarta Islamic Stock Index (JKII). Data yang digunakan adalah data harian periode tanggal 2/2/2014 sampai dengan tanggal 29/4/2019. Data JKII di peroleh dari YahooFinance, dan untuk harga logam mulia dari Taiwan Economic Journal (TEJ) database. Uji Ko-integrasi Johanson (Johanson co-integration test), uji kausalitas Granger (Granger causality test), respos impuls (Impulse response analysis), dan variance decomposition method digunakan untuk mengklarifikasi korelasi jangka panjang dan jangka pendek antara kelima variable. Berdasarkan hasil uji akar unit (unit root test) yang dilakukan memperlihatkan bahwa seluruh variable stasioner pada diferensial orde pertama. Uji ko-integrasi Johansen menunjukkan tidak satupun variable yang berkointegrasi dalam periode jangka panjang. Uji kausalitas Granger menunjukan bahwa emas dan paladium menunjukan hubungan kausalitas dua arah dengan JKII, sedangkan untuk perak dan platinum hanya menunjukan hubungan kausalitas satu arah yang berarti setiap perubahan JKII akan berpengaruh terhadap harga perak dan platinum. Hasil analisis impulse respons, dan variance decomposition method menunjukkan effek dari setiap variable terhadap variable lainnya hanya terdapat pada periode 1 sampai dengan 5 dan menghilang pada periode selanjutnya atau hanya hubungan jangka pendek. Hasil penelitian ini memberikan implikasi praktis bagi akademisi, praktisi yang bertindak sebagai manajer portofolio, dan pembuat kebijakan. Implikasi ini terkait dengan manajemen risiko portofolio, manfaat diversifikasi, dan untuk mengusulkan alat investasi baru, yaitu pasar saham syariah di Indonesia.

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DOI: https://doi.org/10.31294/moneter.v7i1.7268

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