Immediate and Trend Changes of Composite Stock Index Based On Islamic Compared to National Calendar: Evidence from Indonesia

Etty, Indriani Immediate and Trend Changes of Composite Stock Index Based On Islamic Compared to National Calendar: Evidence from Indonesia. Huachiew Chalermprakiet University Thailand.

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Abstract

This study investigated the trend of Indonesia stock composite index based on Islamic and National Calendar. The focus of this research is the trend of a composite index on the Islamic calendar during Ramadan month. Month of Ramadan is the important moment compared to other months in Indonesia. Moreover, Indonesia is the country with the largest Muslim population in the world. Ramadan is placed at the beginning of the year to start stock investment predictions based on trends as the beginning of the national year which began in January. We analyzed historical data of Indonesia composite index. Data were analyzed by Interrupted Time Series Analysis. The results showed that immediate and trend changes occur in both of calendar based. This study provide consideration that Islamic calendar is indicated to be more reliable than national calendar to estimate long term investment decision of stock. Investor only need to pay attention at immediate changes based on critical event Islamic calendar. However, this estimation is not recommended if investors want to get abnormal returns. A greater opportunity to get abnormal returns and monthly return of stock will be obtained when using certain moment identification based on the national calendar.

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