Pengaruh Inflasi dan Harga Emas Terhadap Indeks Saham Syariah Indonesia dengan Model Error Correction Model (ECM) di Indonesia pada Tahun 2020-2025
DOI:
https://doi.org/10.61722/jiem.v4i4.9386Keywords:
Inflasi, Harga Emas, Indeks Saham Syariah Indonesia (ISSI), Error Correction Model (ECM)Abstract
Tujuan dari penelitian ini adalah untuk menganalisis bagaimana variabel-variabel makroekonomi, seperti inflasi dan harga emas, berpengaruh terhadap Indeks Saham Syariah Indonesia (ISSI). Data yang digunakan adalah data deret waktu (time series) secara bulanan dari periode Oktober 2020 hingga November 2025. Metode analisis yang diterapkan adalah Error Correction Model (ECM) dengan pendekatan Prais-Winsten untuk mengatasi masalah autokorelasi. Tahapan pengujian meliputi uji ]Augmented Dickey-Fuller (ADF), uji kointegrasi Engle-Granger, serta estimasi model jangka panjang dan jangka pendek. Hasil penelitian menunjukkan bahwa inflasi dan harga emas berpengaruh positif dan signifikan terhadap ISSI dalam jangka panjang. Sementara dalam estimasi jangka pendek, hanya variabel harga emas yang berdampak signifikan terhadap pergerakan ISSI, sedangkan inflasi tidak signifikan. Koefisien Error Correction Term (ECT) yang signifikan mengonfirmasi validitas model ECM, di mana pasar saham syariah terbukti mampu melakukan penyesuaian menuju keseimbangan jangka panjangnya sebesar 58,46% pada setiap periodenya.
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