Abstract:

This study examines the exposure level of Islamic stock price indices in Indonesia to the relative change in investor sentiment index and macroeconomic factors. For investor sentiment, the proxy is the Consumer Confidence Index (CCI). For macroeconomic variables, the proxies are Indonesia Composite Index, industrial production index, consumer price index, the exchange rate of rupiah against the US dollar, money supply, and interest rates (the data used for this variable is the BI Rate). The author conducts the ordinary least square (OLS) test with the monthly data from January 2006 to June 2016. The study reports that CCI, Indonesia Composite Index, and money supply have the significant influence in Islamic Price Index in Indonesia. Our studies unlocking the room for new studies on influence of sentiment in Islamic financial industry.