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

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  • Giannetti, C.

    (Tilburg University, School of Economics and Management)

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
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Suggested Citation

  • Giannetti, C., 2008. "Unit Roots and the Dynamics of Market Shares : An Analysis Using Italian Banking Micro-Panel," Other publications TiSEM 08ff44cb-31c2-4845-8f7d-1, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:08ff44cb-31c2-4845-8f7d-106a7da06aa6
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    More about this item

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General

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