Pengaruh Inflasi, Nilai Tukar Rupiah, Jumlah Uang Beredar dan Jakarta Islamic Index (JII) terhadap Nilai Aktiva Bersih Reksadana Syariah

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Ulul Albab Badru Zaman

Abstract

This study aims to determine the effect of Inflation, Exchange Rate, Money Supply and Jakarta Islamic Index (JII) against the Net Asset Value of Islamic mutual funds during the period January 2012 - December 2015. The data used in this study is the monthly data of each variable , The analytical method used in this research is the Vector Autoregressive (VAR) using Microsoft Excel 2010 and Eviews version 9.0. The results of the study found that: (1) Based on Granger Causality test, no variables that indicate bidirectional causality relationship with NAV of Islamic mutual funds. However, only the exchange rate variable which still shows a one-way causal relationship with NAV of Islamic mutual fund. (2) Based on the test Impulse Response Function, NAV of Islamic mutual fund showed a response that is not stable against shocks to the variable Exchange Rate, Money Supply and Jakarta Islamic Index (JII) However, shocks on each of the variables tend to positively responded by variable NAV of Islamic Mutual Fund. (3) Based on the Variance Decomposition test, variables that influence the biggest shocks of variable NAV of Islamic Mutual Fund itself followed by the Jakarta Islamic Index (JII), Money Supply, Exchange Rate and Inflation.

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Ulul Albab Badru Zaman, Fakultas Ekonomi dan Bisnis Universitas Islam Negeri Syarif Hidayatullah

This study aims to determine the effect of Inflation, Exchange Rate, Money Supply and Jakarta Islamic Index (JII) against the Net Asset Value of Islamic mutual funds during the period January 2012 - December 2015. The data used in this study is the monthly data of each variable , The analytical method used in this research is the Vector Autoregressive (VAR) using Microsoft Excel 2010 and Eviews version 9.0. The results of the study found that: (1) Based on Granger Causality test, no variables that indicate bidirectional causality relationship with NAV of Islamic mutual funds. However, only the exchange rate variable which still shows a one-way causal relationship with NAV of Islamic mutual fund. (2) Based on the test Impulse Response Function, NAV of Islamic mutual fund showed a response that is not stable against shocks to the variable Exchange Rate, Money Supply and Jakarta Islamic Index (JII) However, shocks on each of the variables tend to positively responded by variable NAV of Islamic Mutual Fund. (3) Based on the Variance Decomposition test, variables that influence the biggest shocks of variable NAV of Islamic Mutual Fund itself followed by the Jakarta Islamic Index (JII), Money Supply, Exchange Rate and Inflation.