Analysis of Investor Sentiments and Macroeconomic Variables Effects to Islamic Stock Index in Indonesia

This study examines the level of exposure Islamic stock price indices in Indonesia to the relative change in investor sentiment index and macroeconomic factors. This study observes the influence of investor sentiment represent by Consumer Confidence Index (CCI), and several macroeconomics variables such as Indonesia Composite Index, industrial production index, consumer price index, exchange rate, money supply, and interest rates to the price of Jakarta Islamic Index. It conducts the ordinary least square (OLS) test with the monthly data from January 2006 to June 2016. Surprisingly, the study reports that CCI statistically shows significant influence in Islamic Price Index in Indonesia. This result raises the debates on sharia complaint requirement on Islamic capital market instruments since speculation is prohibited in Islam and sentiment investor allows the price to change more than the fundamental condition. Apart from that, other variables such as Indonesia Composite Index, and money supply are also found significant to affect Islamic Price Index in the case of Indonesia.