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Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia

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Author Info
Hokky Situngkir (Bandung Fe Institute)
Yohanes Surya (Universitas Pelita Harapan)

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Abstract

This paper is trying to unveil general statistical characteristic of financial; time series data that is subjected to several financial time series data present in Indonesia, e.g. individual index such as stock price of PT. TELKOM, stock price of PT HM SAMPOERNA, and compiled stock price index (Jakarta Stock Exchange Index). Characteristics that we try to analyze are volatility clustering, truncated Levy distribution, and multifractality feature. This analysis is directed for further works of research in making Indonesian artificial stock exchange that gives representation of micro structure of stock exchange in Indonesia. This paper is a resume of statistic behavior analyzed in top-down to become the ground in starting a more bottom-up analysis.

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File URL: http://129.3.20.41/eps/fin/papers/0405/0405005.pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0405005.

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Length: 11 pages
Date of creation: 04 May 2004
Date of revision:
Handle: RePEc:wpa:wuwpfi:0405005

Note: Type of Document - pdf; pages: 11
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Web page: http://129.3.20.41

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Related research
Keywords: Indonesia stock exchange; Telkom; HM Sampoerna; stock price index; stock exchange index; volatility clustering; truncated Levy distribution; multifractality.;

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Find related papers by JEL classification:
G - Financial Economics

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Giulia Iori, 2000. "Scaling and multiscaling in financial markets," Finance 0004006, EconWPA. [Downloadable!]
    Other versions:
  2. Jean-Philippe Bouchaud, 2002. "An introduction to statistical finance," Science & Finance (CFM) working paper archive 313238, Science & Finance, Capital Fund Management. [Downloadable!]
  3. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," Journal of Business, University of Chicago Press, vol. 36, pages 394. [Downloadable!]
  4. Gaunersdorfer, A. & Hommes, C.H., 2000. "A Nonlinear Structural Model for Volatility Clustering," CeNDEF Working Papers 00-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Situngkir, Hokky, 2006. "Value at Risk yang memperhatikan sifat statistika distribusi return," MPRA Paper 895, University Library of Munich, Germany. [Downloadable!]
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