Statistical properties of the Jakarta and Kuala Lumpur stock exchange indices before and after crash

Abstract

Using the tools developed for statistical physics, we simultaneously analyze statistical properties of the Jakarta and Kuala Lumpur Stock Exchange indices. In spite of the small number of data used in the analysis, the result shows the universal behavior of complex systems previously found in the leading stock indices. We also analyze their features before and after the financial crisis. We found that after the crisis both stocks do not show a same statistical behavior. The impact of currency controls is observed in the distribution of index returns.