Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia
AbstractThis 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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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0405005.
Length: 11 pages
Date of creation: 04 May 2004
Date of revision:
Note: Type of Document - pdf; pages: 11
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Indonesia stock exchange; Telkom; HM Sampoerna; stock price index; stock exchange index; volatility clustering; truncated Levy distribution; multifractality.;
Other versions of this item:
- Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Papers cond-mat/0403465, arXiv.org.
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-09 (All new papers)
- NEP-CFN-2004-05-09 (Corporate Finance)
- NEP-CMP-2004-05-09 (Computational Economics)
- NEP-FIN-2004-05-09 (Finance)
- NEP-SEA-2004-05-09 (South East Asia)
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