This paper explores the return dynamics between the world's major computer OBM firms and their corresponding OEM/ODM companies in Taiwan. We adopt a systematic multiple hypotheses testing method, the VAR test methodology, to test the dynamic relations. The result shows that there exist strong dynamic relations between the stock returns of the own-brand firms and their corresponding OEM/ODM firms. Specifically, returns of the OBM firms tend to lead those of their corresponding OEM/ODM companies. And the extent of this return lead-lag pattern increases with the closeness of the relationship between those OBM firms and their OEM/ODM partners. This implies that the OBM-OEM/ODM partnership is an important factor in the information set of the investors' trading strategies. In addition to the return dynamics, we also examine the volatility association and spillover effect between returns of these two types of firms. The result indicates a significant spillover effect of the current volatility of the OBM firms on future volatility of their corresponding OEM/ODM firms. Our results imply that the information transmission process between performance of the OBM firms and earnings power of the OEM/ODM companies is not only channeled through the first moment return lead-lag pattern, but also conducted by the second moment volatility spillover effect.
Review of Quantitative Finance and Accounting – Springer Journals
Published: Oct 13, 2004
It’s your single place to instantly
discover and read the research
that matters to you.
Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.
All for just $49/month
Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly
Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.
All the latest content is available, no embargo periods.
“Whoa! It’s like Spotify but for academic articles.”@Phil_Robichaud