We model the immediate responses of firms’ daily idiosyncratic stock returns to the idiosyncratic returns of the firms’ rivals and major customers, using spatial econometric techniques. We show that ignoring firms’ response to rivals results in non-negligible overestimation of firms’ response to major customers while ignoring customer-supplier interactions leads to overestimation of response to rivals. We relate the immediate price comovement to several firm and industry characteristics. Contagion effect of rivals dominates competition effect and the net effect is larger when firms respond to negative return shocks of rival firms than to positive ones. The net effect is strong for firms in product markets with low concentration and high product market fluidity. Suppliers with lower product uniqueness and higher customer concentration are more sensitive to the shocks from their customers.