Product market competition and stock return dependence

Hossein Asgharian and Lu Liu

Finance Research Letters, 2022, vol. 50, issue C

Abstract: We model the spillover effect between competing firms’ daily idiosyncratic stock returns, using spatial econometric techniques. Contagion effect from rival firms dominates competitive effect, and the net effect is larger from negative return shocks of rival firms than from positive ones. The net effect is strong for firms in product markets with low concentration and high product market fluidity.

Keywords: Return comovement; Contagion and competitive effects; Product market concentration; Product market fluidity (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004123

DOI: 10.1016/j.frl.2022.103207

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