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Indonesian Stock Market Crisis Observation with Spectral and Composite Index


  • Situngkir, Hokky


The 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.

Suggested Citation

  • Situngkir, Hokky, 2012. "Indonesian Stock Market Crisis Observation with Spectral and Composite Index," MPRA Paper 35961, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:35961

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    References listed on IDEAS

    1. G. Bonanno & F. Lillo & R. N. Mantegna, 2001. "High-frequency cross-correlation in a set of stocks," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 96-104.
    2. Mishkin, Frederic S, 1992. "Anatomy of a Financial Crisis," Journal of Evolutionary Economics, Springer, vol. 2(2), pages 115-130, August.
    3. Peter J. Boettke & William J. Luther, 2010. "The Ordinary Economics of an Extraordinary Crisis," Chapters,in: Macroeconomic Theory and its Failings, chapter 1 Edward Elgar Publishing.
    4. D. COLANDER & al., 2010. "The Financial Crisis and the Systemic Failure of Academic Economics," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 6.
    5. Hali J. Edison, 2003. "Do indicators of financial crises work? An evaluation of an early warning system," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 11-53.
    6. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    7. Fabian Valencia & Luc Laeven, 2008. "Systemic Banking Crises; A New Database," IMF Working Papers 08/224, International Monetary Fund.
    8. Hokky Situngkir & Yohanes Surya, 2005. "On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree," Macroeconomics 0505010, EconWPA.
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    More about this item


    composite index; spectral data; crisis; social economic and political issues;

    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, Innovation, 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

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