关键词: Markov区制转换模型, IPO市场周期, 热销/过渡/冷发期

Abstract: This paper expands the IPO market conditions to three states, which include hot periods, cold periods and interim periods, and improves the variables in detecting IPO market cycles considering cycles’ robustness and China’s IPO market’s reality. These improved variables can be divided into numbers of IPOs issued, IPO underpricing, market conditions and government regulation, which include ten different proxy variables. Then we use the Markov regime switching model (three regimes) to make regressions with proxy variables respectively. By analyzing the regression results, filtered probability, and smoothed probability, we can get ten kinds of IPO cycles corresponding to ten different proxy variables. Further, this paper points the results of IPO market cycles in China’s A-share market from January 1994 to June 2012. The results confirm the relevance between IPO market cycles and numbers of IPOs issued, IPO underpricing, market conditions and government regulation, and also assist IPO issuers and investors to make effective decisions to some extent.

Key words: Markov Regime Switching Model, IPO Market Cycles, Hot/Interim/Cold Periods.