ABSTRACT

Macro economiy variable influenced capital market in Indonesia, include Syaria Capital market (JII index). This research is purposed to know the influence of Inflation, money circulation, Exchange rate and interest rate to JII index. This research using Auto Regressive Distributed Lag which transform to log model as the best model between Auto Regressive / AR(1) D.L and General Multiple Regression model whitout Lag aspect. The research result showed that inflation give positive influence in t period and t-1 period. Money circulation give positive influence and negative influence 0,119 point in lag 1. Exchange rate give negative influence 2,16 point and positive influence 2,38 point in lag 1. Interest rate give negative influence 0,710 point and positive influence 0,503 point in lag 1. Last , JII index in lag 1 give positive influence 0,846 point to JII Index t period. Keyword : Inflation, money circulation, Exchange rate, Interest Rate, JII index