Assessing Sharia and Conventional Capital Market Resilience to Macroeconomic Pressures in Indonesia: Comparative ARDL Evidence from JII and IHSG (2009–2025)
DOI:
https://doi.org/10.24252/al-risalah.vi.72781Keywords:
Sharia Capital Market; Jakarta Islamic Index; IHSG; ARDL; Exchange Rate; Market ResilienceAbstract
This study examines whether Sharia-screened and conventional stock indices in Indonesia exhibit distinct macroeconomic adjustment patterns. Using 204 monthly observations for January 2009–December 2025, parallel autoregressive distributed lag (ARDL) models relate the Jakarta Islamic Index (JII) and Composite Stock Price Index (IHSG) to the Bank Indonesia policy rate, inflation, and the IDR/USD exchange rate. Resilience is evaluated cautiously through conditional macroeconomic sensitivity and temporal predictability rather than inferred from index-level dispersion alone. The selected models are ARDL(1,1,0,3) for JII and ARDL(1,0,0,3) for IHSG. Exchange-rate terms are individually significant at the reported lags in both equations; inflation is not significant in either. Contemporaneous and one-period-lagged policy-rate terms are significant with opposite signs in the JII equation, while the contemporaneous term is not significant in the IHSG equation. At the 10% level, both bounds-test F-statistics fall between the lower and upper critical values, making evidence of a level relationship inconclusive. Pairwise Granger tests suggest predictive precedence from JII to IHSG, but not structural causation. These findings document differentiated short-horizon associations and predictive links; they do not, without return-based risk measures and a formal cross-model test, establish that either market is categorically more resilient.
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