A Network-Based Dynamic Analysis in an Equity Stock Market

Table 7

Probit model, IPSA volume shocks. This table summarizes the results of the following probit model: . The probit is defined over which is 1 when the daily volume 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, volume, 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: positive shock					Panel B: negative shock
	Average	Second decile	Fourth decile	Sixth decile	Eighth decile	Average	Second decile	Fourth decile	Sixth decile	Eighth decile
	Index	0.990	1.053	1.422	1.306	1.064	−1.806	−1.412	0.560	−0.388	0.186
[0.378]		[0.389]	[0.401]	[0.445]	[0.476]	[0.749]	[0.901]	[1.183]	[0.882]	[0.922]
VIX	1.464	1.463	1.559	1.585	1.430	3.948	3.878	3.989	4.565	3.977
	[0.994]	[1.011]	[0.974]	[0.991]	[0.992]	[2.898]	[2.639]	[2.753]	[2.609]	[2.609]
IPSA	2.779	1.603	1.431	2.080	1.797	−43.66	−36.58	−33.21	−32.28	−43.63
	[5.577]	[5.610]	[5.385]	[5.549]	[5.483]	[14.95]	[12.61]	[13.16]	[12.87]	[14.46]
MSCI	5.752	5.889	6.295	6.027	5.804	15.81	15.10	12.89	12.12	13.89
	[4.542]	[4.607]	[4.516]	[4.578]	[4.563]	[8.761]	[8.125]	[8.202]	[8.535]	[8.683]
Pe	0.0824	−0.0650	−0.0736	−0.177	0.0852	9.485	6.114	5.050	2.996	6.291
	[2.234]	[2.245]	[2.222]	[2.244]	[2.268]	[5.609]	[5.022]	[5.026]	[4.225]	[5.264]
S&P 500	4.099	4.346	4.667	4.619	4.242	30.18	26.68	26.72	33.60	29.96
	[5.426]	[5.432]	[5.367]	[5.363]	[5.383]	[18.92]	[18.83]	[18.77]	[15.92]	[18.52]
CLP	2.598	2.627	3.142	3.230	3.696	−3.954	−2.881	−7.122	−7.266	−8.233
	[7.998]	[8.020]	[7.879]	[7.894]	[7.939]	[17.30]	[15.63]	[17.38]	[16.75]	[16.02]
Index lag. 1 day	0.255	0.547	0.872	0.118	0.922	−3.548	−0.174	0.829	2.727	−4.650
	[0.413]	[0.405]	[0.369]	[0.415]	[0.468]	[0.886]	[0.849]	[0.935]	[1.325]	[1.352]
Volume	0.574	0.576	0.574	0.576	0.568	−2.890	−2.704	−2.720	−2.807	−2.800
	[0.0801]	[0.0805]	[0.0802]	[0.0805]	[0.0805]	[0.440]	[0.431]	[0.422]	[0.470]	[0.456]
Constant	−1.801	−1.757	−1.813	−1.736	−1.844	−3.236	−3.719	−3.936	−4.109	−3.616
	[0.215]	[0.206]	[0.210]	[0.204]	[0.220]	[0.672]	[0.679]	[0.573]	[0.774]	[0.737]
Observations	2,340	2,340	2,340	2,340	2,340	2,340	2,340	2,340	2,340	2,340
Pseudo--squared	0.141	0.141	0.148	0.142	0.143	0.689	0.670	0.669	0.681	0.683

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