Statistical properties of the Indonesian Stock Exchange Index

Terry Mart; Y. Surya

doi:10.1016/j.physa.2004.06.116

Statistical properties of the Indonesian Stock Exchange Index

Terry Mart, Y. Surya

Department of Physics

Research output: Contribution to journal › Conference article › peer-review

4 Citations (Scopus)

Abstract

Using the tools developed for statistical physics, we have analyzed statistical properties of the Indonesian Stock Exchange Index (IHSG). In spite of the small number of available data used in the analysis, the result still shows the universal behavior of complex systems previously found in the leading stock indices. We also found that the fluctuation of the index return becomes more random after the crisis.

Original language	English
Pages (from-to)	198-202
Number of pages	5
Journal	Physica A: Statistical Mechanics and its Applications
Volume	344
Issue number	1-2
DOIs	https://doi.org/10.1016/j.physa.2004.06.116
Publication status	Published - 1 Dec 2004
Event	Applications of Physics in Financial Analysis 4 (APFA4) - Warsaw, Poland Duration: 13 Nov 2003 → 15 Nov 2003

Keywords

Econophysics
Statistical mechanics

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10.1016/j.physa.2004.06.116

Cite this

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title = "Statistical properties of the Indonesian Stock Exchange Index",

abstract = "Using the tools developed for statistical physics, we have analyzed statistical properties of the Indonesian Stock Exchange Index (IHSG). In spite of the small number of available data used in the analysis, the result still shows the universal behavior of complex systems previously found in the leading stock indices. We also found that the fluctuation of the index return becomes more random after the crisis.",

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AB - Using the tools developed for statistical physics, we have analyzed statistical properties of the Indonesian Stock Exchange Index (IHSG). In spite of the small number of available data used in the analysis, the result still shows the universal behavior of complex systems previously found in the leading stock indices. We also found that the fluctuation of the index return becomes more random after the crisis.

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ER -

Statistical properties of the Indonesian Stock Exchange Index

Abstract

Keywords

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