TY - JOUR
T1 - Analyzing Stock Brokers' Trading Patterns
T2 - A Network Decomposition and Spatial Econometrics Approach
AU - Eberhard, Juan
AU - Lavín, Jaime F.
AU - Montecinos-Pearce, Alejandro
AU - Arenas, José
AU - Sensoy, Ahmet
N1 - Publisher Copyright:
© 2019 Juan Eberhard et al.
PY - 2019
Y1 - 2019
N2 - Using a unique data set with all the daily transactions from the Santiago Stock Exchange, we develop a novel methodology that combines a network decomposition with a spatial econometrics technique to study how brokers' characteristics and trading decisions may affect the stock market return. We present suggestive evidence of a mechanism by which structural changes of the transaction network between brokers affect the aggregate returns of the stock market. We find that brokers tend to trade with counterparties with dissimilar intraday selling volume when market return significantly increases. Moreover, brokers with a research department tend to sell to brokers without a research department when the market experiences a considerable increase of its return. From the financial perspective, these results highlight new ways in which intermediaries may affect market equilibrium and the efficiency of the market.
AB - Using a unique data set with all the daily transactions from the Santiago Stock Exchange, we develop a novel methodology that combines a network decomposition with a spatial econometrics technique to study how brokers' characteristics and trading decisions may affect the stock market return. We present suggestive evidence of a mechanism by which structural changes of the transaction network between brokers affect the aggregate returns of the stock market. We find that brokers tend to trade with counterparties with dissimilar intraday selling volume when market return significantly increases. Moreover, brokers with a research department tend to sell to brokers without a research department when the market experiences a considerable increase of its return. From the financial perspective, these results highlight new ways in which intermediaries may affect market equilibrium and the efficiency of the market.
UR - http://www.scopus.com/inward/record.url?scp=85070458427&partnerID=8YFLogxK
U2 - 10.1155/2019/7490640
DO - 10.1155/2019/7490640
M3 - Article
AN - SCOPUS:85070458427
SN - 1076-2787
VL - 2019
JO - Complexity
JF - Complexity
M1 - 7490640
ER -