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A Network-Based Dynamic Analysis in an Equity Stock Market
Joint Authors
Lavin, Jaime F.
Eberhard, Juan
Montecinos-Pearce, Alejandro
Source
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-11-27
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
We study how changes in the structure of a brokers’ transaction network affect the probability with which the returns and volume of the traded financial assets change significantly.
We analyze how the dynamics of the brokers’ transaction network are associated with the returns and volume observed in the Chilean stock market.
To do this, we construct and validate an index that synthesizes the daily changes of the brokers’ transaction network structure of equity market transactions.
We find that the changes of this structure are significantly correlated with variables that describe the local and international economic-financial environments.
In addition, changes in the brokers’ transaction network structure are associated with a greater probability of positive shocks of more than two standard deviations in the stock exchange index return and total traded stock volume.
These results suggest that the structure of the brokers’ trading relations plays a role in determining the returns and volume of transactions in the Chilean stock market.
American Psychological Association (APA)
Eberhard, Juan& Lavin, Jaime F.& Montecinos-Pearce, Alejandro. 2017. A Network-Based Dynamic Analysis in an Equity Stock Market. Complexity،Vol. 2017, no. 2017, pp.1-16.
https://search.emarefa.net/detail/BIM-1142792
Modern Language Association (MLA)
Eberhard, Juan…[et al.]. A Network-Based Dynamic Analysis in an Equity Stock Market. Complexity No. 2017 (2017), pp.1-16.
https://search.emarefa.net/detail/BIM-1142792
American Medical Association (AMA)
Eberhard, Juan& Lavin, Jaime F.& Montecinos-Pearce, Alejandro. A Network-Based Dynamic Analysis in an Equity Stock Market. Complexity. 2017. Vol. 2017, no. 2017, pp.1-16.
https://search.emarefa.net/detail/BIM-1142792
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1142792