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

Hokky Situngkir () and Yohanes Surya ()

Finance from University Library of Munich, Germany

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.

Keywords: Indonesia stock exchange; Telkom; HM Sampoerna; stock price index; stock exchange index; volatility clustering; truncated Levy distribution; multifractality. (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 11 pages
Date: 2004-05-04
New Economics Papers: this item is included in nep-cfn, nep-cmp, nep-fin and nep-sea
Note: Type of Document - pdf; pages: 11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0405/0405005.pdf (application/pdf)

Related works:
Working Paper: Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0405005

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