Unit Roots and the Dynamics of Market Shares

An Analysis Using Italian Banking Micro-Panel

C. Giannetti

Research output: Working paperDiscussion paperOther research output

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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.
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages21
Volume2008-44
Publication statusPublished - 2008

Publication series

NameCentER Discussion Paper
Volume2008-44

Fingerprint

Unit root tests
Banking
Unit root
Market share
Competitors
Banking industry
Market structure
Mean-reverting
Industry dynamics
Retail banking
Panel data

Keywords

  • Turbulence
  • cross-section dependence

Cite this

Giannetti, C. (2008). Unit Roots and the Dynamics of Market Shares: An Analysis Using Italian Banking Micro-Panel. (CentER Discussion Paper; Vol. 2008-44). Tilburg: Finance.
Giannetti, C. / Unit Roots and the Dynamics of Market Shares : An Analysis Using Italian Banking Micro-Panel. Tilburg : Finance, 2008. (CentER Discussion Paper).
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Giannetti, C 2008 'Unit Roots and the Dynamics of Market Shares: An Analysis Using Italian Banking Micro-Panel' CentER Discussion Paper, vol. 2008-44, Finance, Tilburg.

Unit Roots and the Dynamics of Market Shares : An Analysis Using Italian Banking Micro-Panel. / Giannetti, C.

Tilburg : Finance, 2008. (CentER Discussion Paper; Vol. 2008-44).

Research output: Working paperDiscussion paperOther research output

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Giannetti C. Unit Roots and the Dynamics of Market Shares: An Analysis Using Italian Banking Micro-Panel. Tilburg: Finance. 2008. (CentER Discussion Paper).