Impact of the monetary crisis on statistical properties of the Jakarta and Kuala Lumpur stock exchange indices

T. Mart and T. Aminoto

Physica A: Statistical Mechanics and its Applications, 2007, vol. 373, issue C, 634-650

Abstract: Using the tools developed for statistical physics, we simultaneously analyze statistical properties of the Jakarta and Kuala Lumpur Stock Exchange indices. In spite of the small number of the data used in the analysis, the result still shows the universal behavior of complex systems previously found in the leading stock indices. We also analyze their properties before and after the crash caused by the monetary crisis. To locate the time position when the crash started we use the Omori law. We found that after the crash both stocks do not show a same statistical behavior. The impact of currency controls is observed in the distribution of the index returns.

Keywords: Random walks and Levy flights; Time series analysis; Other topics in areas of applied and interdisciplinary physics (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437106006893
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:373:y:2007:i:c:p:634-650

DOI: 10.1016/j.physa.2006.06.001

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().