Sifat fraktalitas jaringan pasar saham Indonesia dengan korelasi linier dan non-linier
Daftar Isi:
- This study aims to analyze the fractal structure of the stock market network and find the main movers of the existing stocks of Indonesia. The return data of all stocks listed on the Indonesian Stock Exchange between 2011-2016 are used. This analysis is performed using network images based on linear and non-linear return correlations. This correlation of linear and non-linear returns forms the Minimum Spanning Tree which serve as the basis for re-imagining the stock market network. The re-imagery of the stock market network is done in order to get a clearer picture to calculate the fractal dimension. The fractal dimension calculated by the box-counting method measures the pattern of repetition or not on the formed network. The results indicate that the image of Indonesia's stock market network has infinite dimensional fractalities, or the network concluded is non-fractal. This conclusion applies to networks using both linear and non-linear return correlations. This proves that stock prices cannot be predicted in Indonesian stock market because the pattern obtained does not repeat