Comovement Analysis of Islamic Stock Jakarta Islamic Index (JII) on Rupiah Exchange Rate During Rupiah Crisis of the 2015 and 2018 Periode using a Wavelet Coherence Method

• Main Author: Eny Fitria, Lailatul
• Format: Final Project
• Language: Indonesia
• Subjects: Fisika
• Online Access: https://digilib.itb.ac.id/gdl/view/38112
• Institution: Institut Teknologi Bandung

Econophysics is one of science field that applies and offers ideas, methods, and models in physics to analyze data from complex economic symptoms. In the economic field, financial data available on financial markets is quite large and complex. Comovement is one indicator that can be used in making investors decisions investing to minimize investment risk at financial markets. Comovement is the phenomenon of the price of assets that move along with the prices of the other assets. During 2014 to 2018, the rupiah exchange rate weakened significantly in two periods, that are 2015 and 2018. The exchange rate of the rupiah was recorded up to Rp. 14,000.00-Rp. 15,000.00. The weakening of the rupiah exchange rate was also followed by a declining stock price index. One method that can be used in comovement analysis is wavelet analysis with wavelet transform coherence. In this study, comovement will be analyzed between the rupiah exchange rate and the Islamic stock price index JII. The aim is to determine the investment strategy based on the performance of JII Islamic stocks during the 2015-2018 period. Data processing is done using Matlab software. The result is there are several Islamic stocks JII have significant comovement with the rupiah exchange rate. The difference in the result analysis of the Islamic stock JII will be used for further analysis in determining the investment strategy based on the type of risk.