Abstract

This study is aimed to determine the factors that influence the Investor Reaction and Syariah Stock Investment Risk as an intervening variable of companies listed in the Jakarta Islamic Index. As these factors are the level of inflation and interest rates as factors affecting the external side. Meanwhile the internal factor is the Liquidity Ratio.

The data were collected using purposive sampling method on companies listed in the Jakarta Islamic Index (JII) during 2010-2012. There are 15 companies JII used as samples in this study. This study used a Partial Least Square (PLS) that were used to examine the factors that influence the Investors reaction and Sobel Test to test the mediating variables, namely Syariah Stock Investment Risk. The results showed that the rate of inflation had significant influence to the positive direction toward Syariah Stock Investment Risk, Liquidity Ratio had significant influence to the positive direction toward Syariah Stock Investment Risk, Interest Rate had significant influence with a negative direction toward Shariah Stock Investment Risk, Inflation Level had significant influence with positive direction toward Investors Reaction, Liquidity Ratios had no significant influence toward Investors Reaction, Interest Rates had no significant influence toward Investors Reaction, Syariah Stock Investment Risk had significant influence with the positive direction toward Investor Reaction, Syariah Stock Investment Risk could not mediate to Inflation Level toward Investor Reaction, Investment Risks could not mediate Syariah Stock Liquidity Ratio toward Investor Reaction. Syariah Stock Investment Risk could not mediate the Interest Rate toward Investors Reaction.

Keywords: Inflation, Liquidity Ratio, Interest Rate, Syariah Stock Investment Risk, Investor Reaction