Indonesian Stock Market Crisis Observation with Spectral and Composite Index

BFI Working Paper Series, WP-1-2012

9 Pages Posted: 17 Jan 2012

See all articles by Hokky Situngkir

Hokky Situngkir

Bandung Fe Institute; Center for Complexity in Surya University

Date Written: January 14, 2012

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

Suggested Citation

Situngkir, Hokky, Indonesian Stock Market Crisis Observation with Spectral and Composite Index (January 14, 2012). BFI Working Paper Series, WP-1-2012, Available at SSRN: https://ssrn.com/abstract=1985714 or http://dx.doi.org/10.2139/ssrn.1985714

Hokky Situngkir (Contact Author)

Bandung Fe Institute ( email )

Sarimadu Permai 175
Bandung, Jawa Barat 40164
Indonesia
+622282025586 (Phone)

HOME PAGE: http://www.bandungfe.net

Center for Complexity in Surya University

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Summarecon Serpong
Tangerang, Banten 15810
Indonesia

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