{"id":1316,"date":"2025-02-20T20:58:27","date_gmt":"2025-02-20T18:58:27","guid":{"rendered":"https:\/\/sites.uwasa.fi\/mfjuva\/?page_id=1316"},"modified":"2025-10-01T21:48:26","modified_gmt":"2025-10-01T18:48:26","slug":"1999vol3num4","status":"publish","type":"page","link":"https:\/\/sites.uwasa.fi\/mfjuva\/all-issues\/1999vol3num4\/","title":{"rendered":""},"content":{"rendered":"<p><a href=\"https:\/\/sites.uwasa.fi\/mfjuva\/wp-content\/blogs.dir\/4\/files\/sites\/231\/2025\/02\/MJ650p16stj0c1ljt1km93rm1vs5jg4.pdf\">Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE)<\/a><\/p>\n<p>Multinational Finance Journal, 1999, vol. 3, no. 4, pp. 223-252 | <a href=\"https:\/\/doi.org\/10.17578\/3-4-1\">https:\/\/doi.org\/10.17578\/3-4-1<\/a><\/p>\n<p>Gulnur Muradoglu, University of Manchester, U.K.<\/p>\n<p>Hakan Berument, Bilkent University, Turkey<\/p>\n<p>Kivilcim Metin,\u00a0Bilkent University, Turkey<\/p>\n<p>Abstract:<br \/>\nThis 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.<\/p>\n<p>Keywords : Emerging; financial crisis; GARCH-M; Istanbul Stock Exchange; macroeconomic variables; risk; stock returns<\/p>\n<p>Citation (Format 1)<br \/>\nMuradoglu, 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),\u00a0Multinational Finance Journal\u00a03, 223-252.<br \/>\nCitation (Format 2)<br \/>\nMuradoglu, 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.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE) 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,\u00a0Bilkent University, Turkey Abstract: This paper examines how determinants of volatility and stock [&hellip;]<\/p>\n","protected":false},"author":557,"featured_media":0,"parent":221,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_acf_changed":false,"footnotes":""},"class_list":["post-1316","page","type-page","status-publish","hentry"],"acf":[],"_links":{"self":[{"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/pages\/1316"}],"collection":[{"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/users\/557"}],"replies":[{"embeddable":true,"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/comments?post=1316"}],"version-history":[{"count":7,"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/pages\/1316\/revisions"}],"predecessor-version":[{"id":1835,"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/pages\/1316\/revisions\/1835"}],"up":[{"embeddable":true,"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/pages\/221"}],"wp:attachment":[{"href":"https:\/\/sites.uwasa.fi\/mfjuva\/wp-json\/wp\/v2\/media?parent=1316"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}