Financial crisis and changes in determinants of risk and return: an empirical investigation of an emerging market (ISE)

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buir.contributor.authorBerument, Hakan
dc.citation.epage252en_US
dc.citation.issueNumber4en_US
dc.citation.spage223en_US
dc.citation.volumeNumber3en_US
dc.contributor.authorMuradoglu, G.en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorMetin, K.en_US
dc.date.accessioned2019-02-12T12:00:47Z
dc.date.available2019-02-12T12:00:47Z
dc.date.issued1999en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis 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.en_US
dc.identifier.issn1096-1879
dc.identifier.urihttp://hdl.handle.net/11693/49321
dc.language.isoEnglishen_US
dc.publisherMultinational Finance Societyen_US
dc.source.titleMultinational Finance Journalen_US
dc.subjectEmerging marketsen_US
dc.subjectFinancial crisisen_US
dc.subjectGARCH-Men_US
dc.subjectIstanbul Stock Exchangeen_US
dc.subjectMacroeconomic variablesen_US
dc.subjectRisken_US
dc.subjectStock returnsen_US
dc.titleFinancial crisis and changes in determinants of risk and return: an empirical investigation of an emerging market (ISE)en_US
dc.typeArticleen_US

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