Unit Roots and the Dynamics of Market Shares: An Analysis Using Italian Banking Micro-Panel

CentER Discussion Paper Series No. 2008-44

21 Pages Posted: 20 May 2008

See all articles by Caterina Giannetti

Caterina Giannetti

Friedrich-Schiller-Universität Jena; University of Bologna - Department of Economics

Date Written: May 2008

Abstract

The paper proposes the use of panel data unit root tests to assess market share instability in order to have (preliminary) indications of the industry dynamic. The idea is to consider the movements in market shares not only as element of the market structure but rather reflecting conduct that arise from that market. If shares are mean-reverting, the firm actions only have a temporary effect on shares. On the other hand, if they are evolving, as signaled by the presence of unit roots, the gain in shares respect with the competitors could be long-term. To illustrate the potential of unit roots tests, I consider an application to the Italian retail banking industry.

Keywords: turbulence, cross-section dependence

JEL Classification: C23, D40

Suggested Citation

Giannetti, Caterina, Unit Roots and the Dynamics of Market Shares: An Analysis Using Italian Banking Micro-Panel (May 2008). CentER Discussion Paper Series No. 2008-44, Available at SSRN: https://ssrn.com/abstract=1135206 or http://dx.doi.org/10.2139/ssrn.1135206

Caterina Giannetti (Contact Author)

Friedrich-Schiller-Universität Jena ( email )

Furstengraben 1
Jena, Thuringa 07743
Germany

University of Bologna - Department of Economics ( email )

Strada Maggiore 45
Bologna, 40125
Italy

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