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

Author

Listed:
  • Hokky Situngkir

    (Bandung Fe Institute)

  • Yohanes Surya

    (Universitas Pelita Harapan)

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.

Suggested Citation

  • Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Finance 0405005, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0405005
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    References listed on IDEAS

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    7. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2003. "A theory of power-law distributions in financial market fluctuations," Nature, Nature, vol. 423(6937), pages 267-270, May.
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    9. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    10. Giulia Iori, 2000. "Scaling and Multi-scaling in Financial Markets," Papers cond-mat/0007385, arXiv.org.
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    Citations

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    Cited by:

    1. Situngkir, Hokky, 2011. "Pengertian dari dan untuk ketakmengertian: Social Complexity sebagai cara pandang baru dalam memahami fenomena sosial [Understanding from and to the inability to understand: Social Complexity as a ," MPRA Paper 30871, University Library of Munich, Germany.
    2. Situngkir, Hokky, 2006. "Value at Risk yang memperhatikan sifat statistika distribusi return," MPRA Paper 895, University Library of Munich, Germany.
    3. Situngkir, Hokky, 2015. "On Capturing the Spreading Dynamics over Trading Prices in the Market," MPRA Paper 67247, University Library of Munich, Germany.

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    More about this item

    Keywords

    Indonesia stock exchange; Telkom; HM Sampoerna; stock price index; stock exchange index; volatility clustering; truncated Levy distribution; multifractality.;
    All these keywords.

    JEL classification:

    • G - Financial Economics

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