Emerging participants in the Indonesia Stock Exchange (ISE) are the group of local
retail players, characterized by small, frequent, and short-term trading activities that rely on
market phases. Hence it is important for brokerage houses as well as the local retail players
to enter the market at the appropriate moments. The goal of this paper, therefore, is to use
regime-switching model using the weekly ISE index data to identify periods where the
market is in a volatile period. Results from the calculation shows that the market is divided
into two regimes: stable and volatile. Average length of period for each regime is 16 weeks
and 10 weeks.