A Network-Based Dynamic Analysis in an Equity Stock Market

Juan Eberhard (), Jaime F. Lavin and Alejandro Montecinos-Pearce

Complexity, 2017, vol. 2017, 1-16

Abstract:

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.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://downloads.hindawi.com/journals/8503/2017/3979836.pdf (application/pdf)
http://downloads.hindawi.com/journals/8503/2017/3979836.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:3979836

DOI: 10.1155/2017/3979836

Access Statistics for this article

More articles in Complexity from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().