Abstract
This paper seeks to detect hot and cold IPO cycles in the Tunisian and Egyptian share market using a Markov regime switching model. Using a set of IPO activity measures (number of IPOs, level of underpricing, market conditions and duration), we established a model which estimates these activity measures in hot and cold periods respectively. We depicted the turning points for each activity measure. It is found that these markets are cold in the major period. As in regards to cycles, the segmentation method gives almost the same periods, except for the market condition measures (Trading volume for Tunisian stock market and Stock Market Returns (SMR) for Egyptian stock market) which give a different segmentation.
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