Ahmad Yasin, . (2026) ANALISIS GMM TERHADAP JAKARTA ISLAMIC INDEKS SELAMA KRISIS 2020–2024. Skripsi thesis, Universitas Pembangunan Nasional Veteran Jakarta.
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Abstract
This study aims to examine and analyze the influence of fundamental macroeconomic indicators (Interest Rate/BI Rate and Rupiah Exchange Rate) and microeconomic indicators (Current Ratio and Return on Equity) on the stock returns of Jakarta Islamic Index (JII) constituents during the crisis period of 2020-2024. This study uses a quantitative approach with a dynamic panel data regression design. The sampling technique used purposive sampling, resulting in 30 Islamic companies with an annual observation frequency. Data analysis was conducted using the System Generalized Method of Moments (System GMM) to address the problems of endogeneity and autocorrelation that often occur in financial market data during crises. The empirical test results indicate that all variables namely the BI Rate, Exchange Rate, Current Ratio, and Return on Equity do not have a significant influence on JII yields. These findings demonstrate the occurrence of a detachment phenomenon, where the Islamic capital market has shifted from the Efficient Market Hypothesis (EMH) to a market driven entirely by sentiment. The contagion effects of the COVID-19 pandemic panic and geopolitical uncertainty have forced investors to disregard monetary transmission instruments and historical financial statement metrics. The implications of this research underscore the urgency for investors and policymakers to further incorporate forward looking sentiment indicators to mitigate risk during extreme systemic shocks.
| Item Type: | Thesis (Skripsi) |
|---|---|
| Additional Information: | [No. Panggil: 2210111109] [Pembimbing: Dewi Cahyani Pangestuti] [Penguji 1: Ardhiani Fadila] [Ketua Penguji: Sri Mulyantini] |
| Uncontrolled Keywords: | Jakarta Islamic Index, GMM System, Macroeconomic Crisis, Financial Performance, Behavioral Finance, Investor Sentiment |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management |
| Divisions: | Fakultas Ekonomi dan Bisnis > Program Studi Manajemen (S1) |
| Depositing User: | AHMAD YASIN |
| Date Deposited: | 24 Jul 2026 08:28 |
| Last Modified: | 31 Aug 2026 09:06 |
| URI: | http://repository.upnvj.ac.id/id/eprint/51074 |
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