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Product market competition and stock return dependence

Asgharian, Hossein LU and Liu, Lu LU (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.

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author
and
organization
publishing date
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}},
}