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Statistical properties of the Indonesian Stock Exchange Index

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  • Mart, T.
  • Surya, Y.

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.

Suggested Citation

  • Mart, T. & Surya, Y., 2004. "Statistical properties of the Indonesian Stock Exchange Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 198-202.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:198-202
    DOI: 10.1016/j.physa.2004.06.116
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    References listed on IDEAS

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    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871, September.
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    Cited by:

    1. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.

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    Keywords

    Econophysics; Statistical mechanics;

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