Detecting Chinese IPO Market Cycles Based on Markov Regime Switching Model

摘要：

　　This paper analyzes the periodicity of Chinas IPO market in order to find whether there is an alternation between hot market and cold market.According to the research on the four factors,including IPO volume,initial return rate,market return rate and listing time lag,and using Markov regime switching model,we find that the alternation between hot market and cold market does exist in Chinese stock market.However,the alternation phenomenon differs based on different parameters.By synthetic analysis,we believe Chinese IPO market has gone through three hot periods during 2000 to 2010,which are 2000.03-2001.01,2008.05-2009.01 and 2010.03-2010.10.

关键词： IPO Market cycles Markov regime switching model

作者: HU Zhiqiang ZHANG Yunvun HU Weining

作者单位: School of Economics and Management,Wuhan University,P.R.China,430072 Business School,Hubei University,P.R.China,430072

会议类型: 国际会议

会议名称: The 5th International Institute of Statistics & Management Engineering Symposium (第五届(2012)国际统计与管理工程学术研讨会(IISMES2012))

会议地点: 青岛

会议语种:英文

页码: 408-417

在线出版日期: 2012-07-20（万方平台首次上网日期，不代表论文的发表时间）