Stock market dependence and product market linkages

Research output: Other contributionMiscellaneous

Abstract

We study the implications of interfirm product market linkages for dependence among the daily stock returns of US publicly traded firms using a spatial econometric regression. The effects of rivals and major customers change with various characteristics related to the product market network. We find that the competitive effect dominates the contagion effect for firms competing in highly concentrated industries, while the contagion effect becomes stronger in industries with higher product-market variability. We also find that a concentrated customer base and weak product uniqueness increase the sensitivity of the firms to their major customers.

Details

Authors
Organisations
External organisations
  • Stockholm University
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics
Original languageEnglish
Publication statusSubmitted - 2018
Publication categoryResearch