Net Foreign Buying, Global Equity Markets and The Indonesia Sharia Stock Index: An Ardl Analysis

Hartomi Maulana; Ali Muhtar  Muhammad; M. Kurnia Rahman Abadi; Andika Rendra Bimantara

doi:10.21154/elbarka.v9i2.15056

Authors

Hartomi Maulana Universitas Darussalam Gontor
Ali Muhtar Muhammad Universitas Darussalam Gontor
M. Kurnia Rahman Abadi Universitas Darussalam Gontor
Andika Rendra Bimantara Universitas Darussalam Gontor

DOI:

https://doi.org/10.21154/elbarka.v9i2.15056

Abstract

This study examines how net foreign buy and global capital market indices affect the Indonesia Sharia Stock Index (ISSI). Research Methods: The study uses monthly secondary data for 2019--2024 obtained from the Indonesia Stock Exchange (IDX), the Financial Services Authority (OJK), Bank Indonesia and international financial databases. The data are analysed with the Autoregressive Distributed Lag (ARDL) model and its error correction form. Results and Discussion: Net foreign buy has no significant contemporaneous effect on the ISSI in the short run, although its third lag is negative and significant; in the long run, its effect is positive and significant. Global capital market indices have a positive and significant effect on the ISSI in both the short and the long run. The error correction term (−0.153; p \< 0.01) shows that about 15% of any deviation from the long-run equilibrium is corrected each month. Conclusion: Investors should incorporate global capital market indicators into their investment decisions and portfolio risk management. Regulators need to strengthen the resilience of Indonesia's Islamic capital market against global financial shocks and broaden its domestic investor base.

References

Ahmad, A. A., & Yusniar, M. W. (2018). Pengaruh pasar modal asing dan aliran investasi asing terhadap indeks harga saham gabungan di Bursa Efek Indonesia periode tahun 2013–2017. Jurnal Sains Manajemen dan Kewirausahaan, 2(2).

Al Amin, I., & Sholahuddin, M. (2023). The effect of inflation, interest rates, and USD exchange on the Indonesian Sharia Stock Index (ISSI) period 2019–2022. Journal of Islamic Economics and Finance Studies, 11(1), 50–57. https://doi.org/10.47700/jiefes.v4i1.5804

Altig, D., Baker, S., Barrero, J. M., Bloom, N., Bunn, P., Chen, S., Davis, S. J., Leather, J., Meyer, B., Mihaylov, E., Mizen, P., Parker, N., Renault, T., Smietanka, P., & Thwaites, G. (2020). Economic uncertainty before and during the COVID-19 pandemic. Journal of Public Economics, 191, 104274. https://doi.org/10.1016/j.jpubeco.2020.104274

Ansari, R., Tulasmi, & Sawitri. (2022). Impact of investor sentiment, exchange rates, and foreign capital flow on Jakarta Islamic Index stock returns. Journal of Islamic Economics Lariba, 8(1), 213–228. https://doi.org/10.20885/jielariba.vol8.iss1.art13

Chellai, F. (2025). Rethinking scale in applied econometrics: Practical impacts of log transformations on model performance. Econometrics: Advances in Applied Data Analysis, 29(3), 1–14. https://doi.org/10.15611/eada.2025.3.01

Dooley, M. P., & Isard, P. (1983). The portfolio-balance model of exchange rates and some structural estimates of the risk premium. Staff Papers - International Monetary Fund, 30(4), 683. https://doi.org/10.2307/3866782

Fauziyah, A., Endri, E., & Indra. (2023). The effect of international sharia stock movement, macroeconomic variable, and Bank Indonesia policy on return Jakarta Islamic Index. Review of Economics and Finance, 21, 2517–2523.

Fisamawati, H. (2025). Pengaruh inflasi dan nilai tukar rupiah terhadap kinerja Indeks Saham Syariah Indonesia (ISSI) di Bursa Efek Indonesia (BEI). Selekta Manajemen: Jurnal Mahasiswa Bisnis & Manajemen, 3(2), 154–162. https://journal.uii.ac.id/selma/index

Fitriansyah, R., & Nurzaman, M. S. (2025). Macroeconomic determinants and global Islamic market linkages of the Jakarta Islamic Index. Share: Jurnal Ekonomi dan Keuangan Islam, 14(1), 258–284. https://doi.org/10.22373/share.v14i1.26679

Google Finance. (2025). IDX Composite. https://www.google.com/finance/quote/COMPOSITE:IDX?sa=X&ved=2ahUKEwj8vfn6gqKPAxUZjGMGHbf7EZwQ3ecFegQILRAT&window=MAX

Huda, M., Suminto, A., Sa, S., & Abadi, M. K. R. (2023). Analysis of the influence of sharia capital market and sharia macroeconomic variables on Indonesia's economic growth. Jurnal Ilmu Ekonomi dan Bisnis Islam, 5(2).

Jawadi, F., Jawadi, N., & Idi Cheffou, A. (2020). Wavelet analysis of the conventional and Islamic stock market relationship ten years after the global financial crisis. Applied Economics Letters, 27(6), 466–472. https://doi.org/10.1080/13504851.2019.1631438

KSEI. (2026). Statistik pasar modal Indonesia: Pertumbuhan investor Desember 2025. Kustodian Sentral Efek Indonesia.

Kusuma, A. G., & Setiono, T. A. (2021). Pengaruh COVID-19 terhadap IHSG dengan nilai tukar rupiah sebagai variabel mediasi. Jurnal Riset Akuntansi, 7(2), 85–95. https://doi.org/10.38204/jrak.v7i2.591

Lei, A. C. H., & Song, C. (2022). Economic policy uncertainty and stock market activity: Evidence from China. Global Finance Journal, 52, 100581. https://doi.org/10.1016/j.gfj.2020.100581

MacChiarelli, C., Naisbitt, B., Boshoff, J., Holland, D., Hurst, I., Liadze, I., Mao, X., Juanino, P. S., Thamotheram, C., & Whyte, K. (2021). Global economic outlook: Slowing growth, rising inflation fears. National Institute Economic Review, 258, 6–37. https://doi.org/10.1017/nie.2021.45

Mariotti, S. (2022). A warning from the Russian–Ukrainian war: Avoiding a future that rhymes with the past. Journal of Industrial and Business Economics, 49(4), 761–782. https://doi.org/10.1007/s40812-022-00219-z

Mashilal, Amalia, F., & Visita, L. (2023). Global economic policy uncertainty and Islamic stock market in Indonesia. Muqtasid, 14(2), 115–132. https://doi.org/10.18326/muqtasid.v14i2.115-132

Maulana, H., Hastuti, E. W., Harahap, S. A. R., Imari, I., & Salsabella, O. H. (2022). Performance appraisal of tourism sub sector companies in Indonesia Sharia Stock Index in the period of 2018–2020. El Barka: Journal of Islamic Economics and Business, 5(2), 296–320. https://doi.org/10.21154/elbarka.v5i2.5117

Maulana, H., Ulya, A. Z. S., Syahruddin, S., Abadi, M. K. R., Hastuti, E. W., & Harahap, S. A. R. (2025). Factors affecting investment decision in Indonesia: Mediating role of intention to invest. Jurnal Ekonomi & Keuangan Islam, 11(2), 241–257. https://doi.org/10.20885/jeki.vol11.iss2.art6

OJK. (2024). Statistik mingguan pasar modal [Weekly capital market statistics]. Otoritas Jasa Keuangan.

OJK. (2025). Statistik mingguan pasar modal [Weekly capital market statistics]. Otoritas Jasa Keuangan.

Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616

Rudiawarni, F. A., Sulistiawan, D., & Sergi, B. S. (2024). The role of the net purchase of stocks by foreign investors in boosting stock returns: Evidence from the Indonesian stock market. Economic Modelling, 135, 106730. https://doi.org/10.1016/j.econmod.2024.106730

Salisu, A. A., & Shaik, M. (2022). Islamic stock indices and COVID-19 pandemic. International Review of Economics and Finance, 80, 282–293. https://doi.org/10.1016/j.iref.2022.02.073

Setyawan, I. R. (2007). Net buying (selling) investor asing dan perubahan kurs terhadap pergerakan indeks pasar. Journal of Management and Business, 6(1). https://doi.org/10.24123/jmb.v6i1.99

Soraya, N. (2023). An event study: Indonesian capital market reaction to the Russia–Ukraine war announcement. JRAK, 15(1), 114–120. https://doi.org/10.23969/jrak.v15i1.6676

Tripuspitorini, F. A. (2021). Analisis pengaruh inflasi, nilai tukar rupiah, dan BI-rate terhadap harga Indeks Saham Syariah Indonesia. Jurnal MAPS (Manajemen Perbankan Syariah), 4(2), 112–121. https://doi.org/10.32627/maps.v4i2.172