Indonesian Stock Market Crisis Observation with Spectral and Composite Index
AbstractThe paper discusses the employment of the index composed from the dynamical tree of correlations among stock prices both with the popularly used standard (conventional) composite one. The spectral index focus on the dynamics of the correlation coefficients among stock prices while composite index is the dynamical aggregate of the whole stocks traded in the market. Some advantages is conjectured by incorporating both indexes to the historical data of Indonesian Stock Market data. Both are shown potentially useful for detecting the crisis as well as the general stock-prices relations on fundamental issues, generally social, economic, and political situations on which the Indonesian stock market is influenced.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 35961.
Date of creation: 14 Jan 2012
Date of revision:
composite index; spectral data; crisis; social economic and political issues;
Find related papers by JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- R53 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Regional Government Analysis - - - Public Facility Location Analysis; Public Investment and Capital Stock
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- O16 - Economic Development, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- P16 - Economic Systems - - Capitalist Systems - - - Political Economy of Capitalism
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-25 (All new papers)
- NEP-FMK-2012-01-25 (Financial Markets)
- NEP-SEA-2012-01-25 (South East Asia)
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