Product market competition and stock return dependence
(2022) In Finance Research Letters 50.- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/ae6efc63-0081-493f-8f29-b41737aa245f
- author
- Asgharian, Hossein LU and Liu, Lu LU
- organization
- publishing date
- 2022
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Contagion and competitive effects, Product market concentration, Product market fluidity, Return comovement
- in
- Finance Research Letters
- volume
- 50
- article number
- 103207
- publisher
- Elsevier
- external identifiers
-
- scopus:85135367035
- ISSN
- 1544-6123
- DOI
- 10.1016/j.frl.2022.103207
- language
- English
- LU publication?
- yes
- id
- ae6efc63-0081-493f-8f29-b41737aa245f
- date added to LUP
- 2022-09-09 12:37:43
- date last changed
- 2022-09-09 12:37:43
@article{ae6efc63-0081-493f-8f29-b41737aa245f, abstract = {{<p>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.</p>}}, author = {{Asgharian, Hossein and Liu, Lu}}, issn = {{1544-6123}}, keywords = {{Contagion and competitive effects; Product market concentration; Product market fluidity; Return comovement}}, language = {{eng}}, publisher = {{Elsevier}}, series = {{Finance Research Letters}}, title = {{Product market competition and stock return dependence}}, url = {{http://dx.doi.org/10.1016/j.frl.2022.103207}}, doi = {{10.1016/j.frl.2022.103207}}, volume = {{50}}, year = {{2022}}, }