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.

Variables	Panel A					Panel B
	Average	Second decile	Fourth decile	Sixth decile	Eighth decile	Average	Second decile	Fourth decile	Sixth decile	Eighth decile
	Index	0.989	0.719	1.378	0.855	1.185	0.979	0.746	1.448	0.844	1.039
[0.391]		[0.374]	[0.371]	[0.435]	[0.487]	[0.393]	[0.377]	[0.378]	[0.437]	[0.487]
VIX	0.477	0.517	0.550	0.550	0.440	0.454	0.466	0.525	0.487	0.394
	[1.121]	[1.125]	[1.103]	[1.118]	[1.118]	[1.118]	[1.132]	[1.104]	[1.111]	[1.118]
IPSA	44.74	43.72	44.01	43.84	44.29	44.88	43.77	44.01	44.05	44.48
	[8.606]	[8.542]	[8.463]	[8.501]	[8.587]	[8.640]	[8.560]	[8.456]	[8.485]	[8.636]
MSCI	−1.978	−1.639	−1.692	−1.683	−1.890	−1.985	−1.842	−1.578	−1.607	−2.383
	[5.826]	[5.848]	[5.742]	[5.803]	[5.866]	[5.842]	[5.850]	[5.780]	[5.805]	[5.917]
Pe	−0.0191	−0.331	−0.434	−0.364	−0.245	−0.129	−0.334	−0.492	−0.510	0.0493
	[2.259]	[2.254]	[2.270]	[2.255]	[2.273]	[2.261]	[2.255]	[2.261]	[2.240]	[2.298]
S&P 500	6.183	6.499	7.018	6.706	5.974	6.005	6.365	6.903	6.254	6.127
	[7.084]	[7.057]	[7.036]	[7.046]	[7.071]	[7.085]	[7.082]	[7.073]	[7.000]	[7.155]
CLP	5.404	5.505	5.644	5.702	6.122	5.206	4.993	5.419	5.757	6.262
	[8.426]	[8.368]	[8.340]	[8.296]	[8.383]	[8.398]	[8.387]	[8.346]	[8.271]	[8.351]
Index lag. 1 day						0.310	0.490	1.218	0.603	1.143
						[0.417]	[0.382]	[0.344]	[0.392]	[0.500]
Constant	−1.831	−1.745	−1.779	−1.746	−1.830	−1.872	−1.791	−1.888	−1.790	−1.936
	[0.219]	[0.210]	[0.208]	[0.207]	[0.215]	[0.225]	[0.212]	[0.209]	[0.206]	[0.225]
Observations	2,352	2,352	2,352	2,352	2,352	2,352	2,352	2,352	2,352	2,352
Pseudo -squared	0.148	0.145	0.152	0.145	0.148	0.149	0.146	0.159	0.147	0.153

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