A network-based dynamic analysis in an equity stock market
type: Item
instance of: scholarly article
title: A network-based dynamic analysis in an equity stock market
zbMATH Open document ID: 1380.93227
DOI: 10.1155/2017/3979836
author: Juan Eberhard
author: Jaime F. Lavin
author: Alejandro Montecinos-Pearce
published in: Complexity
publication date: 2018-02-01T00:00:00Z
review text: Summary: 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.
Mathematics Subject Classification ID: 93E03
Mathematics Subject Classification ID: 93A30
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6833377
zbMATH Keywords: brokers' transaction network
zbMATH Keywords: equity stock market
zbMATH Keywords: local and international economic-financial environments
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2017/3979836
OpenAlex ID: W2769724348
cites work: Response of complex networks to stimuli
cites work: Which Networks are Least Susceptible to Cascading Failures?
cites work: Systemic risk measures
description: scientific article; zbMATH DE number 6833377