Unit roots and the dynamics of market shares: an analysis using an Italian banking micro-panel

Caterina Giannetti

Empirical Economics, 2015, vol. 48, issue 2, 537-555

Abstract: The paper proposes the use of panel data unit-root tests to assess market-share instability in order to obtain indications of industry dynamics. The idea is to consider movements in market shares as much more than mere elements of the market structure. In fact, these movements reflect conduct that arises from that market. If shares are mean-reverting, then firm actions have only a temporary effect on shares. On the other hand, if shares are evolving, as signaled by the presence of unit roots, then any gain in shares with respect to the competitors is long term. To illustrate the potential of unit-roots tests, the paper considers an application to the Italian retail banking industry. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Market shares; Cross-section dependence; Industry dynamics; C23; D40 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s00181-013-0795-1

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