Hossein Asgharian
Professor
Product market competition and stock return dependence
Author
Summary, in English
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.
Department/s
- Department of Economics
Publishing year
2022
Language
English
Publication/Series
Finance Research Letters
Volume
50
Document type
Journal article
Publisher
Elsevier
Topic
- Economics
Keywords
- Contagion and competitive effects
- Product market concentration
- Product market fluidity
- Return comovement
Status
Published
ISBN/ISSN/Other
- ISSN: 1544-6123