HOT AND COLD CYCLES FOR AFRICAN EMERGING SHARE IPO MARKET EVIDENCE FROM TUNISIA
Journal Title: Asian Economic and Financial Review - Year 2014, Vol 4, Issue 11
Abstract
This paper seeks to detect hot and cold IPO cycles in the Tunisian 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 establish a model which estimates these activity measures in hot and cold periods respectively. We depict the turning points from 1998 to 2012 for each activity measure. It is found that Tunisian stock market is cold in the major period. As regards to cycles, the segmentation method gives almost the same periods, except for the trading volume which gives a different segmentation.
Authors and Affiliations
L. Hedhili Zaier| High Institute of Business (ISG), Tunis University, Tunisia, A. Kammoun Abdelmoula| High Institute of Business Administration of Sfax (ISAAS), Sfax University, Tunisia
Keywords
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- EP ID EP2108
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