ANALISIS INTERDEPENDENSI PASAR MODAL SYARIAH DAN KONVENSIONAL DI INDONESIA (STUDI PADA JAKARTA ISLAMIC INDEX DAN LQ45)

This research aims to analyze casual relationship between JII with LQ45 period January 2007 to December 2017, long term relationship, and interdependence relationship of both variables. The background of this research is the perception of pessimistic of syariah stocks, the consistency of crisis shock resistance, the presence of most of JII company's shares at LQ45, and there is equality of movement of both index. Based on the perspective of sharia economy, sharia capital market should be protected from the principles prohibited by sharia such as usury, gharar, and maysir. As for JII as an alternative to sharia shares, raises the question of two aspects. First, the aspect of independence, meaning whether JII is free from elements that are prohibited by sharia principles. Second, the diversification aspect, whether there are benefits to invest in JII and LQ45. This research using quantitative method. The analysis tools used is Vector Autoregression (VAR). The result of this research found causal relationships in undirectional relationship between JII variable and LQ45, where JII movement influences LQ45 movement. In addition, through the research also found a conclusion that there is a long-term relationship between JII with LQ45