期刊名称：Journal of Islamic Monetary Economics and Finance
印刷版ISSN：2460-6146
电子版ISSN：2460-6618
出版年度：2018
卷号：3
期号：2
页码：349-387
语种：English
出版社：Bank Indonesia
摘要：This research analyses the fundamentals of integrated commercial bank i macroeconomic and sharia perspective in Indonesia.Based on the calculation of VectorAutoregression (VAR),the impact of macroeconomic variables Uakarta Stock IslamicIndex 1 JKSII,Indonesian Stock Price Composite Index 1 JKSE,Crude Oil Price,andExchange Rate) on stock prices of commercial banks vary.These shocks indicate anindirect price transmission through exchange rate channels and economic growth.Fromthe Structrural Time Series Model (STSM),JKSIl,JKSE,and commercial bank share priceprediction will generally increase at the end of 2017 and 2018.This will generate hopeand benefit for policy maker and business actors in the banking,finance and shariasectors.In general,the ARMA-ARCH/GARCH model with dummy variables foundnegative impact of "Fasting Period and Eid Al-Fitr" on return of JKSII,JKSE,andcommercial bank.stock.price.This indicates a cydle of stock.price decline that occurswhen consumers spend more money to purchase goods and services.However,this cycleof stock price declines is only temporary because the recovery of the world economy andthe increase in demand for goods and services in the future can be a pull factor for stockprices (demand factor).Policy makers and stakeholders related to the financial system,banking and capital markets,especially the sharia sector need to see the movement ofconventional bank stocks and "Fasting Period and Eid Al-Fitr" as they move in theopposite direction for a certain period.
关键词：Stock Price of Commercial Bank;Macroeconomic and Sharia Perspective
