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Complex network analysis of conventional and Islamic stock market in Indonesia
Rahmadhani A.a, Purqon A.a, Kim S.b, Kim S.Y.b
a Department of Physics, Bandung Institute of Technology, Bandung, 40132, Indonesia
b Department of Physics, KAIST, Daejeon, 305-701, South Korea
[vc_row][vc_column][vc_row_inner][vc_column_inner][vc_separator css=”.vc_custom_1624529070653{padding-top: 30px !important;padding-bottom: 30px !important;}”][/vc_column_inner][/vc_row_inner][vc_row_inner layout=”boxed”][vc_column_inner width=”3/4″ css=”.vc_custom_1624695412187{border-right-width: 1px !important;border-right-color: #dddddd !important;border-right-style: solid !important;border-radius: 1px !important;}”][vc_empty_space][megatron_heading title=”Abstract” size=”size-sm” text_align=”text-left”][vc_column_text]© 2015 AIP Publishing LLC.The rising popularity of Islamic financial products in Indonesia has become a new interesting topic to be analyzed recently. We introduce a complex network analysis to compare conventional and Islamic stock market in Indonesia. Additionally, Random Matrix Theory (RMT) has been added as a part of reference to expand the analysis of the result. Both of them are based on the cross correlation matrix of logarithmic price returns. Closing price data, which is taken from June 2011 to July 2012, is used to construct logarithmic price returns. We also introduce the threshold value using winner-take-all approach to obtain scale-free property of the network. This means that the nodes of the network that has a cross correlation coefficient below the threshold value should not be connected with an edge. As a result, we obtain 0.5 as the threshold value for all of the stock market. From the RMT analysis, we found that there is only market wide effect on both stock market and no clustering effect has been found yet. From the network analysis, both of stock market networks are dominated by the mining sector. The length of time series of closing price data must be expanded to get more valuable results, even different behaviors of the system.[/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”Author keywords” size=”size-sm” text_align=”text-left”][vc_column_text][/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”Indexed keywords” size=”size-sm” text_align=”text-left”][vc_column_text][/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”Funding details” size=”size-sm” text_align=”text-left”][vc_column_text][/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”DOI” size=”size-sm” text_align=”text-left”][vc_column_text]https://doi.org/10.1063/1.4930741[/vc_column_text][/vc_column_inner][vc_column_inner width=”1/4″][vc_column_text]Widget Plumx[/vc_column_text][/vc_column_inner][/vc_row_inner][/vc_column][/vc_row][vc_row][vc_column][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][/vc_column][/vc_row]