A Network-Based Dynamic Analysis in an Equity Stock Market

Table 6

Probit model, IPSA negative shocks. This table summarizes the results of the following probit model: . The probit is defined over which is 1 when the daily losses on the IPSA surpass 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.

Variables
	Average	Second decile	Fourth decile	Sixth decile	Eighth decile
Index	−0.0989	−0.319	−0.448	0.956	−1.210
	[0.736]	[0.674]	[0.708]	[0.670]	[1.056]
VIX	−2.001	−1.799	−1.972	−2.130	−2.099
	[1.555]	[1.547]	[1.560]	[1.537]	[1.541]
IPSA	−144.2	−146.1	−144.9	−145.8	−148.1
	[23.26]	[23.13]	[23.05]	[23.09]	[23.39]
MSCI	2.009	3.782	2.454	2.940	2.748
	[10.25]	[10.49]	[10.50]	[10.60]	[10.81]
Pe	11.33	11.13	11.02	11.01	11.43
	[3.384]	[3.327]	[3.345]	[3.297]	[3.410]
S&P 500	−25.06	−24.41	−24.60	−26.45	−26.58
	[10.32]	[10.13]	[10.23]	[10.53]	[10.53]
CLP	−7.024	−7.076	−6.786	−8.895	−7.219
	[13.54]	[13.47]	[13.43]	[13.45]	[13.19]
Index lag. 1 day	−0.259	−1.962	−0.506	−0.652	−2.891
	[0.828]	[0.992]	[0.748]	[0.978]	[1.451]
Constant	−3.104	−3.064	−3.100	−3.168	−2.804
	[0.395]	[0.415]	[0.412]	[0.412]	[0.422]
Observations	2,352	2,352	2,352	2,352	2,352
Pseudo -squared	0.593	0.597	0.594	0.595	0.603

Robust standard errors are given in brackets. and .