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Sifat Statistika Data Ekonomi Keuangan

Author

Listed:
  • Hokky Situngkir
  • Yohanes Surya

    (Dept. Computational Sociology, Bandung Fe Institute)

Abstract

Makalah ini mencoba menguak sifat-sifat umum statistika data deret waktu keuangan yang diujikan terhadap beberapa data deret waktu keuangan yang ada di Indonesia, antara lain indeks individual emiten seperti harga saham PT TELKOM, harga saham PT HM SAMPOERNA, dan indeks harga saham gabungan (Jakarta Stock Exchange Index). Sifatsifat yang coba dianalisis adalah pengelompokan volatilitas, distribusi Levy terpotong (truncated Levy Distribution), dan aspek multifraktalitas. Analisis ini diarahkan untuk kerja penelitian lebih jauh pembentukan bursa efek buatan yang memberikan representasi atas struktur mikro bursa efek di Indonesia. Makalah ini menjadi resume atas sifat statistika yang dianalisis secara top-down untuk menjadi dasar memulai analisis yang lebih bottom-up.

Suggested Citation

  • Hokky Situngkir & Yohanes Surya, 2003. "Sifat Statistika Data Ekonomi Keuangan," Departmental Working Papers wpu2003, Bandung Fe Institute.
    • Handle: RePEc:bfe:wpsbfi:wpu2003
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