FIRM FUNDAMENTALS, MONETARY POLICY AND SHARIA STOCK RETURNS THE MODERATING ROLE OF GROSS DOMESTIC PRODUCT IN THE JAKARTA ISLAMIC INDEX
DOI:
https://doi.org/10.58293/1khyv018Keywords:
Sharia stock returns; Jakarta Islamic Index; Return on Equity; Current Ratio; Bank Indonesia Rate; Gross Domestic Product; Islamic capital marketAbstract
Indonesia’s Islamic capital market has expanded rapidly, yet Sharia stock returns remain inconsistent and sensitive to both firm-level and macroeconomic conditions. This study examines the effects of profitability, liquidity, and Bank Indonesia Rate on Sharia stock returns, while assessing Gross Domestic Product as a moderating variable in the Jakarta Islamic Index. Using a quantitative explanatory design, the study analyzes secondary panel data from companies consistently listed in the Jakarta Islamic Index during 2014–2023. Return on Equity represents profitability, Current Ratio represents liquidity, Bank Indonesia Rate represents monetary policy, and Gross Domestic Product represents macroeconomic growth. The data are analyzed using panel regression and Moderated Regression Analysis after model selection and classical assumption testing.
The results show that Return on Equity has a negative but insignificant effect on Sharia stock returns, indicating that profitability is not the primary signal used by investors in the observed Islamic equity market. Current Ratio, Bank Indonesia Rate, and Gross Domestic Product have negative and significant effects on Sharia stock returns. These findings suggest that excessive liquidity may reflect inefficient asset utilization, higher policy rates may reduce the attractiveness of Islamic equities, and economic growth may encourage investors to shift capital toward alternative Sharia-compliant assets. The moderation analysis shows that Gross Domestic Product strengthens the effects of liquidity and Bank Indonesia Rate on Sharia stock returns, but does not moderate the profitability–return relationship. The study contributes to Islamic finance literature by integrating firm fundamentals and macroeconomic factors within a moderated asset-pricing framework, offering implications for investors, listed firms, and regulators in improving Islamic capital market efficiency.
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