Multinational Finance Journal, 1999, vol. 3, no. 4, pp. 223-252 | https://doi.org/10.17578/3-4-1
Gulnur Muradoglu, University of Manchester, U.K.
Hakan Berument, Bilkent University, Turkey
Kivilcim Metin, Bilkent University, Turkey
Abstract:
This paper examines how determinants of volatility and stock returns change with financial crisis. The contributions of the paper are twofold. First, using a GARCH-M framework, risk and return are jointly modeled by using macroeconomic variables both in the variance and the mean equations. The conditional variance equation is specified by including macro-economic variables, a relevant information set for emerging economies, that is often overlooked in various GARCH specifications. Second, determinants of risk and return are investigated before during and after a major financial crisis at ISE. We show that, both the determinants of risk and the risk-return relationship change as the economy switches from one regime to the other.
Keywords : Emerging; financial crisis; GARCH-M; Istanbul Stock Exchange; macroeconomic variables; risk; stock returns
Citation (Format 1)
Muradoglu, Gulnur, Hakan Berument, and Kivilcim Metin, 1999, Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE), Multinational Finance Journal 3, 223-252.
Citation (Format 2)
Muradoglu, G., Berument, H., Metin, K., 1999. Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE). Multinational Finance Journal 3, 223-252.