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

  • Hokky Situngkir
  • Yohanes Surya

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://arxiv.org/pdf/cond-mat/0403465
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Paper provided by arXiv.org in its series Papers with number cond-mat/0403465.

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Date of creation: Mar 2004
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Handle: RePEc:arx:papers:cond-mat/0403465
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  1. Giulia Iori, 2000. "Scaling and Multi-scaling in Financial Markets," Papers cond-mat/0007385, arXiv.org.
  2. 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.
  3. J. Doyne Farmer & Fabrizio Lillo, 2003. "On the origin of power law tails in price fluctuations," Papers cond-mat/0309416, arXiv.org, revised Jan 2004.
  4. Hokky Situngkir & Yohanes Surya, 2003. "PLATFORM BANGUNAN MULTI-AGEN DALAM ANALISIS KEUANGAN: gambaran deskriptif komputasi," Departmental Working Papers wps2003, Bandung Fe Institute.
  5. Bouchaud, Jean-Philippe, 2002. "An introduction to statistical finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(1), pages 238-251.
  6. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  7. Jean-Philippe Bouchaud, 2002. "An introduction to statistical finance," Science & Finance (CFM) working paper archive 313238, Science & Finance, Capital Fund Management.
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