A Network-Based Dynamic Analysis in an Equity Stock Market

Table 4

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

Variables
	Average	Second decile	Fourth decile	Sixth decile	Eighth decile
VIX	0.107	0.0758	−0.00762	0.0424	0.110
	[0.0410]	[0.0373]	[0.0380]	[0.0334]	[0.0374]
IPSA	−0.562	0.0818	−0.241	−0.238	−0.0739
	[0.277]	[0.184]	[0.248]	[0.195]	[0.230]
MSCI	0.550	0.221	0.124	0.120	0.0482
	[0.242]	[0.135]	[0.162]	[0.171]	[0.163]
Pe	−0.319	−0.0814	−0.0104	−0.0198	−0.0352
	[0.115]	[0.0795]	[0.0715]	[0.0714]	[0.0794]
S&P 500	0.679	0.387	0.0829	0.369	0.827
	[0.268]	[0.218]	[0.195]	[0.173]	[0.223]
CLP	0.716	0.633	0.182	0.477	0.225
	[0.377]	[0.276]	[0.332]	[0.323]	[0.267]
Index lagged 1 day	0.0182	−0.0553	−0.0314	0.00869	0.0921
	[0.0193]	[0.0126]	[0.0150]	[0.0172]	[0.0236]
Index lagged 2 days	−0.00677	−0.00574	0.0149	−0.0189	−0.0286
	[0.0199]	[0.0225]	[0.0244]	[0.0192]	[0.0173]
Constant	0.132	0.0744	0.0647	0.0628	0.0914
	[0.0128]	[0.0108]	[0.00889]	[0.00654]	[0.00860]
Observations	2,351	2,351	2,351	2,351	2,351
-squared	0.036	0.035	0.029	0.016	0.034

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