Browsing by Subject "GARCH-M"
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Item Open Access Financial crisis and changes in determinants of risk and return: an empirical investigation of an emerging market (ISE)(Multinational Finance Society, 1999) Muradoglu, G.; Berument, Hakan; Metin, K.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.