Indonesian Stock Market Crisis Observation with Spectral and Composite Index

Hokky Situngkir

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: composite index; spectral data; crisis; social economic and political issues (search for similar items in EconPapers)
JEL-codes: C4 D53 E44 G15 O16 P16 R53 (search for similar items in EconPapers)
Date: 2012-01-14
New Economics Papers: this item is included in nep-fmk and nep-sea
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