Abstract

The performance of Islamic bonds or sukuk can be influenced by many factors, they are internal and external. This study aims to

analyze the long and short-term effects of macroeconomic variables such as BI rate, inflation, exchange rate, changes in world

gold prices and world oil prices on the performance of sukuk in Indonesia during the period 2014 to June 2017.

The approach used in this study is co-integration tests to see the long-term relationship among variables. The Vector

Error Correction Model (VECM) model was used in the further analysis because the results of the stationary test obtained

stationary data results at first difference and had long-term co-integration. The results show that the long-term change in return of

sukuk in Indonesia is influenced by changes in exchange rates, inflation and changes in world gold prices. While in the short

term, influential macroeconomic indicators are changes in the performance of sukuk in the previous one and two months, BI rate,

changes in exchange rates, and changes in world gold prices. Crude oil prices do not affect the performance of sukuk in the long

or short term.

Keywords: Sukuk, Exchange rate, Inflation, BI rate Oil price, Gold Price, co-integration, VECM