Muradoglu, G.Berument, HakanMetin, K.2019-02-122019-02-1219991096-1879http://hdl.handle.net/11693/49321This 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.EnglishEmerging marketsFinancial crisisGARCH-MIstanbul Stock ExchangeMacroeconomic variablesRiskStock returnsArticle