This article seeks to find factors that can account for the determinants of common variations in returns for a small open economy where the Swedish stock market serves as an example. The importance of the candidate factors is first analyzed by looking at the standard deviation of their mimicking...

We model the immediate responses of firms’ daily idiosyncratic stock returns to the idiosyncratic returns of the firms’ rivals, using spatial econometric techniques. Contagion effect of rivals dominates competitive effect, and the net effect is larger when firms respond to negative return...