Critical Event sebagai Pertimbangan Keputusan Investasi Saham Terindeks Jakarta Islamic Index (JII)

Abstract

Indonesia is the largest Islamic population country in the world is suspected to have special trend in stock investment indexed by the Jakarta Islamic Index (JII). It can be used as consideration to predict investment timeline. Because, specific timeline for holding investment is still often forgotten as an important recommendation in capital market research. Thus, this study investigated JII stock investment based on critical events on the two calendar systems in Indonesia (National and Islamic Calender). Critical events on both calendar systems are Ramadan and January effects. Data was analyzed by Intrupted Time Series Analysis from the monthly JII closing price which is calculated from the daily closing price. The results showed that the potential for getting abnormal return by paying attention to national calendar critical events is greater than the critical event on Islamic calendar. This abnormal return potentially consistent with the long-term return. That is mean, even though investments on JII indexed (sharia-based) stocks, paying attention to national calendar critical events has the potential to get abnormal returns and long-term benefits compared to the Islamic calendar. Investors just pay attention to immediate changes to critical events and their direction to predict trend changes over the next year.