Research Article
A Network-Based Dynamic Analysis in an Equity Stock Market
Table 5
Probit model, IPSA positive shocks. This table summarizes the results of the following probit model: . The probit is defined over which is 1 when the daily return on the IPSA surpasses two standard deviations, and it is 0 otherwise. The independent variables are the index and a set of variables that include 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. Panel A is the basic probit estimation, and panel B includes control for autocorrelation for the respective index.
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Robust standard errors are given in brackets. , , and . |