Is Indonesia Capital Market Chaos? An Empirical Study on the Indonesia Stock Exchange (IDX) Daily Composite Index Return

Posted: 10 May 2018 Last revised: 21 Sep 2018

Date Written: 2008

Abstract

This paper is part of author's Master Thesis Chaos in emerging capital market: an empirical study on the Jakarta Stock Exchange. Some evidences of the existence of chaotic system proved by chaos researches on the developed market as conducted by some researchers strongly motivate us to try to search the presence of chaos structure on the developing and emerging market. Therefore on this research we choose Indonesia Capital Market. We try to detect low dimensional chaos by observing daily return data of JSX (Jakarta Stock Exchange, now is Indonesia Stock Exchange or IDX) market portfolio composite Index from January 1988 to November 2003. This research was conducted in year 2004.

We apply BDS statistic, R/S Analysis, Correlation Dimension and Lyapunov Exponent as our tools for nonlinearity and chaos testing.

We find the presence of non linear dynamic system that leads to chaotic structure on the Jakarta Stock Exchange Index by investigating the existence of nonlinearity, persistence and low dimensional chaos in daily return of JSX market portfolio index.

Keywords: Attractor, BDS Statistic, Chaos Theory, Chaotic Structure, Correlation Dimension, Correlation Integral, Embedding Dimension, Fractal, Hurst Exponent, Lyaponev Exponent, Deterministic Non Linear Dynamic System, Phase Space Reconstruction, Rescaled Range (R/S) Analysis

JEL Classification: G1, C13, C14, E44, D49, D8, E32, E37, C22, C61

Suggested Citation

Bakara, Minarnita Yanti Verawati, Is Indonesia Capital Market Chaos? An Empirical Study on the Indonesia Stock Exchange (IDX) Daily Composite Index Return (2008). Available at SSRN: https://ssrn.com/abstract=1124403

Minarnita Yanti Verawati Bakara (Contact Author)

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