Indonesian Stock Market Dynamics Through Ultrametricity of Minimum Spanning Tree

18 Pages Posted: 2 Aug 2005

See all articles by Hokky Situngkir

Hokky Situngkir

Bandung Fe Institute; Center for Complexity in Surya University

Yohanes Surya

Surya Research Intl.

Abstract

We analyze the evolving price fluctuations by using ultrametric distance of minimally spanning financial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transformation of correlation coefficients into the distances among stocks. Our analysis evaluates the performance of ups and downs of stock prices and discovers the evolution towards the financial and economic stabilization in Indonesia. This is partly recognized by mapping the hierarchical trees upon the realization of liquid and illiquid stocks. We remind that the methodology is useful in two terms: the evaluation of spectral market movements and intuitively understanding for portfolio management purposes.

Keywords: ultrametricity, minimum spanning tree, liquidity, Jakarta Stock Exchange.

JEL Classification: C22, C51, D49, R53

Suggested Citation

Situngkir, Hokky and Surya, Yohanes, Indonesian Stock Market Dynamics Through Ultrametricity of Minimum Spanning Tree. Available at SSRN: https://ssrn.com/abstract=768204 or http://dx.doi.org/10.2139/ssrn.768204

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

Jl. Boulevard Gading Serpong Blok O/1
Summarecon Serpong
Tangerang, Banten 15810
Indonesia

Yohanes Surya

Surya Research Intl. ( email )

No Address Available

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