A Network-Based Dynamic Analysis in an Equity Stock Market

Table 2

Basic model using different thresholds. This table summarizes the results of the following basic model: . The dependent variable is the proposed index of network change for different thresholds that define a link. corresponds to the returns or growth rate of variables such as IPSA, VIX, Pe, S&P 500, CLP, and MSCI. and are month and year fixed effects to control for seasonality and variation associated with any specific year. Column (1) uses the average transaction as a threshold. Columns to use the second, fourth, sixth, and eighth deciles as thresholds.

Variables		(2)	(3)	(4)	(5)
	Average	Second decile	Fourth decile	Sixth decile	Eighth decile
VIX	0.109	0.0735	−0.00858	0.0443	0.119
	[0.0410]	[0.0372]	[0.0381]	[0.0334]	[0.0372]
IPSA	−0.554	0.0845	−0.248	−0.237	−0.0450
	[0.277]	[0.183]	[0.248]	[0.194]	[0.233]
MSCI	0.556	0.202	0.129	0.122	0.113
	[0.242]	[0.135]	[0.161]	[0.171]	[0.165]
Pe	−0.316	−0.0818	−0.0138	−0.0175	−0.0519
	[0.115]	[0.0795]	[0.0711]	[0.0712]	[0.0796]
S&P 500	0.679	0.381	0.0800	0.374	0.821
	[0.269]	[0.218]	[0.195]	[0.173]	[0.220]
CLP	0.719	0.606	0.184	0.478	0.219
	[0.376]	[0.276]	[0.331]	[0.323]	[0.269]
Constant	0.135	0.0699	0.0636	0.0623	0.102
	[0.0118]	[0.0104]	[0.00879]	[0.00638]	[0.00933]
Observations	2,352	2,352	2,352	2,352	2,352
-squared	0.035	0.032	0.028	0.016	0.025

Robust standard errors are given in brackets. , , and .