The Dynamic Relationship of the Rupiah Exchange Rate with the JII 30 Index Movement through the Vector Autoregressive (VAR) Method during the Covid 19 Pandemic

Anita Septiana; Femei Purnamasari; Muhammad Kurniawan

doi:10.18326/aicieb.v2i1.175

Anita Septiana UIN Raden Intan Lampung
Femei Purnamasari
Muhammad Kurniawan

DOI: https://doi.org/10.18326/aicieb.v2i1.175

Abstract

This study was conducted to determine the relationship between the rupiah exchange rate and the movement of the JII 30 index. The type of research used is quantitative research with the Vector Autoregressive (VAR) analysis method using daily time series data for the period March-December 2019 to March-December 2020 with the help of the Eviews program. . 9 .

Data was collected using secondary data in the form of published reports from websites related to research. The population of this study is companies listed in the Jakarta Islamic Index (JII) 30 index.

Technique taking Sample used in research This is the saturated sample technique. Amount the company that became the sample in this study were 30 companies. The results of the granger causality test show that the rupiah exchange rate variable has a unidirectional relationship with the movement of the JII 30 index.

Where the JII 30 index affects the rupiah exchange rate and does not apply otherwise. The results of another study using the cointegration test showed that the rupiah exchange rate variable before and after covid 19 affected the JII 30 index

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