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Hossein Asgharian. Photo.

Hossein Asgharian

Professor

Hossein Asgharian. Photo.

Product market competition and stock return dependence

Author

  • Hossein Asgharian
  • Lu Liu

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