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Indonesian Islamic capital markets are developing as seen by capitalization value increase and investor interest. This research examines the long-term effects of macroeconomic factors and US economic policy uncertainty on the Jakarta Islamic Index (JII) and its reaction to macroeconomic shocks and the US EPU from January 2018 to September 2022. Inflation exchange rates GDP and EPU are macroeconomic factors. The Vector Error Correction Model analyzes (VECM). This research shows that long-term GDP affects the Jakarta Islamic Index (JII). In structural analysis JII capitalization responds volatilely to inflation positively to exchange rate movement (USD/IDR) and adversely to US GDP and EPU. This analysis also shows that the exchange rate (USD/IDR rate) explains the JII variable the most followed by the US EPU GDP and inflation.