Journal of Islamic Business and Economic Review

Journal Volume 3, Issue 1, January 2020

http://journal.stebilampung.ac.id/index.php/jiber/

The Effect of SBSN, ISSI, Inflation and BI 7 DAY REPO Rate Toward Net
Asset Value of Islamic Mutual Funds in 2016-2019

Ovi Ariyanti
UIN Sunan Kalijaga, Yogyakarta, Indonesia

Info Articles Abstract

This research aimed to analyze the effect of SBSN, ISSI, Inflation and BI 7 Day Repo Rate
History Article: toward Net Asset Value (NAB). Data used in this research were data of 2016-2019. The research
Received 4 November 2019 method used multiple linear regression using Eviews 9 data processing. The results of the research
Accepted 19 November 2019 showed that the t-test statistic of SBSN and ISSI had a positive effect toward NAV with probability
Published 30 January 2020 values of 0.0462 and 0.0000 <0.05. BI 7 Day Repo Rate had a negative effect with a probability value
of 0.0365 <0.05. Furthermore, for inflation, it had no effect toward NAV because the probability was
0.3159> 0.05.

Keywords :
Net Asset Value, SBSN, ISSI,
Inflation, BI 7 Day Repo Rate


Address Correspondence: p-ISSN 2623-0410
E-mail : [email protected] e-ISSN 2623-0402

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INTRODUCTION
Based on Financial Planning Standard Board of not more than 1 (one) year. Fixed income Islamic
(FPSB), financial planning is a process to reach mutual funds, Islamic equity mutual funds and
financial goals of individual through financial index Islamic mutual funds, for investments are at
management,in an integrated and planned manner. least 80% of the net asset value. Mixed Islamic
In addition to the definition of financial planning in mutual funds, Islamic based mutual funds and
general, there is also Islamic financial planning. Islamic/sharia based mutual funds, for investments
According to the Financial Services Authority are 79%, 51%, 85% of the net asset value,
(FSA/OJK) the meaning of Islamic financial respectively.
planning is when the process carried out in NAB/NAX is one of one measure of
achieving financial goals is not in conflict with performance of Islamic mutual funds. NAV is
Islamic principles and is oriented not only to the related to the value of the mutual fund portfolio in
world but also to the hereafter. These principles question. The assets of mutual funds can be in the
include allocating funds for zakat, infaq, and alms; form of cash, deposits, SBI, SBPU, commercial
minimize debt; set financial goals in accordance securities, stocks, bonds, and so forth. While
with Islamic teachings; prepare an emergency fund; mutual fund obligations can be in the form of
using financial products with sharia principles; unpaid manager fees, unpaid taxes, and unpaid
accustoming simple and non-consumptive lifestyle securities. Debt securities (bonds) consistently
(www.cnbc.indonesia.) receive fixed coupon payments from their issuance.
Financial planning can be conducted by short- In practice, the coupon is not forwarded to investors
term and long-term investments. Islamic mutual but it is reinvested. The results of this reinvestment
funds are an investment alternative for the investor will then add to the value of Islamic mutual funds,
community, especially small investors and those thus the prices will rise. Bond and money market
who do not have much time and expertise to prices can change according to changes in interest
calculate the risk of their investment. Mutual fund rates and inflation.
investment can be considered to be relatively more Based on statistical data from the Financial
conservative because it avoids large fluctuations Services Authority (FSA), growth in the number of
and losses. However, obviously the capital gain is Islamic mutual funds and net asset values has
not as great as stock investment. Diversification in always increased. In 2003, mutual funds were only
the portfolio of mutual funds will minimize the risks 4 and until the last year in August 2019, the number
faced by investors and even allow investors to profit of mutual funds had reached 265 with a net asset
optimally (M. Irsan Nasarudin et al, 2011). value of 50,290 (billion). However, along the
The role of investment manager is important journey from 2003-2019, Net asset value had
to optimize investment in each Islamic mutual fund decreased in 2008 and 2015. In 2007, net asset value
products. There are 7 types of Islamic mutual funds of 1.17% was 2,203 (billion). In 2008, it fell to 0.96%
based on portfolio contents. There are money with a net asset value of 1,814 (billion). The decline
market syariah mutual funds, fixed income, shares, was not too long felt by investors. In 2009-2014, net
mixed, indices, foreign sharia securities and sukuk- asset value growth had begun to improve. There
based mutual funds. Each type of mutual fund has was a decrease again in 2015, which was a net asset
a different investment policy. Money market of value of 11,019 (billion). It was 11,158 (billion) in
Islamic mutual funds are mutual funds that only the previous year.
invest in fixed income sharia securities with a period

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The graphic below is the development of Islamic mutual funds in 2003-2019

The Development of Islamic Mutual Funds

300 265 60,000
250 224 50,000
11,019 50,290
200 181 40,000
11,158
136 34,491
150 2,203 1,814 28,311 30,000
93
100 65 74 20,000
46 48 50 58
26 37 14,914
50 11 17 23 10,000
4 8,050
4,6295,2255,564 9,432
0 67 593 559 723 -
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

JUMLAH REKSADANA SYARIAH NAB (MILYAR)

Source: www.ojk.go,id
If it is observed, the cause of NAV decrease in movements both the economic crisis occurred in
1998 was due to Indonesia's economic crisis. Thus, 2015, and the trade war in 2019. Thus, this research
it was often called the dark period. The economic is entitled the influence of SBIS, ISSI, Inflation and
crisis re-occurred in 2008, known as the subprime BI 7 Repo Rate on NAV Islamic Mutual Funds.
mortagage crisis in the United States. Lehman
Brothers suffered the biggest bankruptcy in the Previous Research and Hypothesis Development
history of the United States. The bankruptcy of the Financial Fervices Authority FFA/OJK) have
fourth largest investment bank in the United States released the OJK regulation No. 19/2015 which
did not only shook the United States but also regulates issuance of sukuk-based Islamic mutual
brought a severe wave of the global financial crisis. funds. Sukuk-based Islamic mutual funds,
The impact spread to many countries, including hereinafter referred to as RDSBS, is Islamic mutual
Indonesia. The rupiah exchange rate dropped to Rp funds which can invest in sukuk with a composition
12,650 per USD. The level of trust had declined and of at least 85% of the net assets value of Islamic
many foreign investors had withdrawn their funds mutual funds invested in sukuk offered in Indonesia
(kompasiana.com). In 2015, the condition of the through Government Islamic Securities. In addition
Indonesian economy was not so good. It was seen to SBSN, Bank Indonesia has issued sharia-based
from the economy which was still slowing and valuable certificates as investment products which
turmoil on the financial markets. The global level are SBIS (Bank Indonesia Sharia Certificates) and
situation had a negative impact on the Indonesian SWBI (Bank Indonesia Wadiah Certificates). They
economy due to a number of structural problems in have their respective characteristics. The results of
the domestic economy. research conducted by Annisa, Sholihah, (2008) is
Economic growth in 2019 was still stagnant in that SWBI has no effect on the performance of
5%. It was because turmoil of the global economy. Islamic mutual funds. Apriliana (2014) and Febrian
The trade war caused uncertainty and pressure on (2015) provided the results of SBIS research that it
the economy. The trade war between the United has a positive but not significant effect toward
States and China heated up. The two countries had NAVs of Islamic mutual funds. According to Sharia
begun implementing mutual tariffs on commodities Financial Market Deepening Policy Analyst in the
which had been effective since early September second semester of 2019, it was estimated that the
2019. The results of the Katadata Investor growth of net assets value (NAV) of Islamic mutual
Confidence Index (KICI) survey state that investor funds had shown positive development. This was
confidence in the financial market has affected driven by more emissions from corporate sukuk
global economic conditions sharp decline due to the issued (https://republika.co.id).
trade wars of the United States and China. Slowing H1: SBSN has a positive and significant effect
world economic growth is a factor triggering the toward NAV
magnitude of investor pessimism. Based on the
growing development of Islamic mutual funds ISSI is an indicator from the performance of
accompanied by uncertainty of global economic Indonesian Islamic stock exchange. The ISSI

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constitution is all Islamic shares listed on the IDX Using the BI 7 Day Repo Rate instrument as a new
and entered into the Islamic Securities List (DES) policy rate, there are three main impacts expected;
issued by OJK/FFA. Compared to other mutual First is the strengthening of monetary policy signals
fund instruments, this stock is an instrument which with the 7-day Repo Rate interest rate as the main
is able to provide the highest level of profit as well reference in the financial markets. Second is to
as the level of risk. If investing in sharia mutual increase the effectiveness of monetary policy
funds, the instrument used is shares listed on the transmission through its influence on the movement
Indonesian Sharia Stock Index (ISSI). Therefore, of money market interest rates and bank interest
ISSI is one indicator which can effect the movement rates. Third is the formation of deeper financial
of NAVs. Research conducted by Riska Yanty markets, particularly transactions and the formation
(2017) provides research results that ISSI has a of interest rate structures on the interbank money
positive and significant effect on the performance of market (PUAB) for a period of 3-12 months (Riza
Islamic mutual funds. Ardian, 2019). According to research conducted by
H2: ISSI has a positive and significant effect on Inas Yunita (2018), the results showed that the BI 7
NAV Day Repo Rate has a negative and significant effect
toward net assets value (NAV) of Islamic mutual
The economy will always be associated with funds. This shows that an increase in interest rates
inflation. Inflation is a phase when there is a will have an impact on decreasing NAVs. Thus,
consistent increase related to goods and services. It investors divert their funds from mutual funds to
causes the purchasing power of money to decrease. other instruments with higher returns.
Investors must have a strategy or an effort to H4: BI 7 Repo Rate has a negative and significant
maintain assets so that at the time of inflation, effect toward NAV
investors are assisted to make use of savings funds
appropriately. The results of research conducted by DATA AND METHODS
Gigih (2018) explained that there is no effect of the This research used independent variable of
inflation rate on NAVs of Islamic mutual funds in SBSN, ISSI, Inflation rate, BI 7 Day Repo Rate and
the long and short terms. However, it was different NAV Islamic Mutual Funds as the dependent
from studies conducted by Ibram, P and Ajeng, variable. The sampling technique in this research
(2019). It showed that inflation has a negative effect used a nonprobability sampling technique. It is a
on Islamic mutual funds. While Riwi Sumantyo's sampling technique which does not provide equal
research (2019) results stated that in inflation, it has opportunity or opportunity for each element or
a positive and significant effect toward NAV. The member of the population to be selected as a
difference from the results of the researches makes sample. This research used secondary data sources
it necessary for other answers to support one of the from April 2016 to November 2019. It used
results of the research. monthly reports so that the data were collected of
H3: The inflation rate has a negative and significant 44 samples. Secondary data in this research were
effect on NA obtained from sharia mutual fund statistics of the
Financial Services Authority (OJK) concerning Net
The use of BI 7 Day Repo Rate as reference Asset Value of Islamic Mutual Funds and SBSN
rate has been applied since August, 19th 2016. (State Sharia Securities), Bank Indonesia Data on
Before this period, the benchmark interest rate used Inflation and BI 7 Day Repo Rate, Indonesian
the BI Rate. The time span of the BI 7 Day Repo Stock Exchange (IDX) ) regarding ISSI.
Rate is shorter. Thus, the automatic BI 7 Day Repo
Rate has a lower interest rate than the BI Rate.

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DISCUSSION
Multiple Linear Regression Test
Table 1. Result of Multiple Linear Regression Test
Dependent Variable: LOGNAV
Method: Least Squares
Date: 01/07/20 Time: 00:26
Sample: 1 44
Included observations: 44

Variable Coefficient Std. Error t-Statistic Prob.

C 8.144631 1.133274 7.186813 0.0000

SBSN 7.04E-05 8.08E-06 8.712265 0.0000
INFLATION -0.098440 0.096900 -1.015899 0.3159
ISSI 1.02E-05 4.96E-06 2.059000 0.0462
BIRTATE -0.162394 0.074980 -2.165845 0.0365

R-squared 0.840221 Mean dependent var 10.09564

Adjusted R-squared 0.823834 S.D. dependent var 0.516408
S.E. of regression 0.216748 Akaike info criterion -0.113522
Sum squared resid 1.832201 Schwarz criterion 0.089227
Log likelihood 7.497480 Hannan-Quinn criter. -0.038333
F-statistic 51.27184 Durbin-Watson stat 0.480349
Prob(F-statistic) 0.000000

Source: output of Eview 9, processed data

The results of test using Least Squares method 0.1623. It means that when the BI 7 Day Repo Rate
showed that t-statistic of SBSN and ISSI had increases by 1%, the NAV will decrease by 0.16%.
positive effect to NAV with probability values Therefore, it affects the NAV. Inflation had a
0.0462 and 0.0000 <0.05. BI 7 Day Repo Rate had coefficient of -0.09. It means that when inflation
a negative effect with a probability value of 0.0365 rises by 1%, then the NAV will decrease by 0.09%,
<0.05 and for Inflation, it had no effect toward but the decrease in the NAV caused by inflation did
NAV because the probability was 0.3159> 0.05. not have a significant effect toward the NAV.
SBSN had a coefficient value of 7.04 which Therefore, the investor does not need to worry
means that if the SBSN rises 1% then the NAV will about the capital invested simply because of
increase by 7%. ISSI had a coefficient value of 1.02. inflation.
Thus, if ISSI rises 1% then NAV will also increase
by 1.2%. The BI 7 Day Repo Rate coefficient was -

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Normality Test
Graphic 1. Normality Test Result
16
Series: Residuals
14 Sample 1 44
Observations 44
12
Mean 2.75e-16
10 Median -0.024763
Maximum 0.475035
8 Minimum -0.551327
Std. Dev. 0.206420
6 Skewness 0.200945
Kurtosis 3.552998
4
Jarque-Bera 0.856759
2 Probability 0.651564
0
-0.6 -0.5 -0.4 -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3 0.4 0.5 Source: Output Eviews 9, Processed Data
Normality test is to examine whether residual distributed if the lines (dots) that represent the
values that have been standardized in the regression actual data will follow or move closer to the
model are normally distributed or not. The way to diagonal line. From the test results above, it can be
carry out a normality test can be conducted with a seen that the Jarque-berra probability value of
normal probability plot graph analysis approach. In 0.651> 0.05. It means that the research data
this approach, residual values are normally residuals are normally distributed.

Multicollinearity Test
Table 2. Result of Multicolliearity Test
INFLATION ISSI BIRATE SBSN
INFLATION 1.000000 -0.091563 -0.509813 -0.384931
ISSI -0.091563 1.000000 -0.074070 0.531231
BIRATE -0.509813 -0.074070 1.000000 0.493606
SBSN -0.384931 0.531231 0.493606 1.000000
Source: Output Eviews 9, Processed Data

Multicollinearity test aims to examine whether multicollinearity test is 70 percent or 80 percent (0.7
model is formed due to high or perfect correlation or 0.8). From the multicollinearity test results, the
among independent variable (independent). If it is correlation value is -0.091563, -0.50098 and -0.3849
found that there is a high correlation between <0.7. Thus, it can be concluded that there is no
independent variables, it can be stated that there are multicollinearity problem in the research variables.
symptoms of multicollinearity in the research. The with this result a classic assumption test has been
correlation value which can be tolerated in the fulfilled.

Heteroscedasticity Test
Table 3. Result of Heteroscedasticity Test
Heteroskedasticity Test: White

F-statistic 0.775017 Prob. F(14,28) 0.6857

Obs*R-squared 12.00920 Prob. Chi-Square(14) 0.6056
Scaled explained SS 79.83429 Prob. Chi-Square(14) 0.0000

Source: Output Eviews 9, Processed Data

Heteroscedasticity Test is used to find out the model. The requirement that must be fulfilled in the
existence of deviations of classical assumptions. regression model is the absence of
Heteroscedasticity is the variance of the residual heteroscedasticity symptoms. If the value of prob is
inequality for all observations in the regression <0.05, there is a symptom of heteroscedasticity in

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the model while if the value of prob is > 0.05, then test using the white method, the prob valuewas
there is no symptom of heteroscedasticity in the 0.6056> 0.05. Therefore, it can be concluded that
research. From the results of the heteroscedasticity there were no symptoms of heteroscedasticity.

Autocorrelation Test
Table 4. Result of Autocorrelation Test
Heteroskedasticity Test: White

F-statistic 0.775017 Prob. F(14,28) 0.6857

Obs*R-squared 12.00920 Prob. Chi-Square(14) 0.6056
Scaled explained SS 79.83429 Prob. Chi-Square(14) 0.0000

Source: Output Eviews 9, Processed Data

Autocorrelation Test is a correlation between dependent variable. SBSN, ISSI, Inflation and BI 7
residuals in Source:
one observation with 9,
Output Eviews another in the Day Repo Rate together were able to affect NAV
regression model. Autocorrelation can be known (Nett Asset Value).
Processed Data Test, in which if the
through the Breusch-Godfrey
value of prob is <0.05, then autocorrelation Coefficient of Determination (R2)
symptoms occur while if the value of prob is> 0.05, The value of coefficient of determination will
then autocorrelation symptoms do not occur. From tend to be bigger if the number of independent
the results of the autocorrelation test above, it can variables and the amount of data is observable a lot.
be seen that the prob is 0.9300> 0.05, it can be Therefore, the adjusted R2 size is used to eliminate
concluded that there were no autocorrelation bias due to the addition of the number of
symptoms in the research model. independent variables and the amount of data
observed. Adjusted R Squared describes how the
Simultaneous Significance Test (F-test) variable affects the NAV. Through the analysis of
F-test is to examine the effect of the the eviews, this research produced an R2 adjuster of
independent variable toward the dependent variable 0.8238. Therefore, it can be stated that the SBSN,
as a whole. From the results of the statistical F test, ISSI, inflation and BI 7 Day Repo Rate variables
it was found that the F statistic was statistically have an effect toward the NAV.
significant at 0.0000. It indicates that overall, all
independent variables was able to explain the

CONCLUSION NAV. More investors are investing in sukuk-based

Islamic mutual funds are an investment mutual funds and stocks will increase mutual fund's
alternative which uses investment managers as net asset value. While inflation does not have a
investors' advisers on the proper placement of negative effect toward NAV. Inflation is indeed
capital according to Islamic principles and they are seen as a threat to financial conditions. Thus,
profitable. Islamic mutual funds have 7 types of people or investors will think about their investment
investment and each has each classification of the portfolios. However, it will be better if investors
percentage of investment to NAV, return of shares continue to invest compared to maintaining cash in
and investment period. NAV can be influenced by cash. Although inflation occurs, an investment will
several internal and external factors which are still return results, but there will be a decrease. BI 7
macroeconomics. SBSN and ISSI. They are Day Repo Rate has a negative and significant effect
products which can be used for investors to invest toward NAVs of Islamic mutual funds. This is
through sukuk Islamic mutual funds and shares. because interest rates. When they increase, it will
Inflation and the BI 7 Day Repo Rate are make an investment less attractive and borrowing
macroeconomic factors used in research. In the costs will increase. In addition, the stock market
range of 2016-2019 inflation and the BI 7 Day Repo will tend to go down which can be detrimental to
Rate, it has increased. Thus, that it will cause an stock investors either investing in shares
effect toward NAV. The results of data processing individually or in equity funds.
produce SBSN and ISSI had a positive effect toward

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