Product market competition and stock return dependence

Hossein Asgharian; Lu Liu

doi:10.1016/j.frl.2022.103207

Product market competition and stock return dependence

Hossein Asgharian, Lu Liu

Department of Economics

Stockholm Business School

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Article number	103207
Journal	Finance Research Letters
Volume	50
DOIs	https://doi.org/10.1016/j.frl.2022.103207
Publication status	Published - 2022

Subject classification (UKÄ)

Economics

Free keywords

Contagion and competitive effects
Product market concentration
Product market fluidity
Return comovement

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10.1016/j.frl.2022.103207

Cite this

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title = "Product market competition and stock return dependence",

abstract = "We model the spillover effect between competing firms{\textquoteright} 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 = "Contagion and competitive effects, Product market concentration, Product market fluidity, Return comovement",

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AU - Asgharian, Hossein

AU - Liu, Lu

PY - 2022

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AB - 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.

KW - Contagion and competitive effects

KW - Product market concentration

KW - Product market fluidity

KW - Return comovement

U2 - 10.1016/j.frl.2022.103207

DO - 10.1016/j.frl.2022.103207

M3 - Article

AN - SCOPUS:85135367035

SN - 1544-6123

VL - 50

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 103207

ER -

Product market competition and stock return dependence

Abstract

Subject classification (UKÄ)

Free keywords

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Cite this