Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE)

30 Pages Posted: 17 Jul 2015

See all articles by Yaz Gulnur Muradoglu

Yaz Gulnur Muradoglu

Queen Mary University of London; City University London - Sir John Cass Business School

Hakan Berument

Bilkent University - Department of Economics

Kivilcim Metin-Ozcan

Bilkent University

Date Written: 1999

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

JEL Classification: G1,G2,C5

Suggested Citation

Muradoglu, Yaz Gulnur and Berument, Hakan and Metin-Ozcan, Kivilcim, Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE) (1999). Multinational Finance Journal, Vol. 3, No. 4, p. 223-252, 1999. Available at SSRN: https://ssrn.com/abstract=2631459

Yaz Gulnur Muradoglu (Contact Author)

Queen Mary University of London ( email )

Francis Bancroft Building
Mile End Road
London, E1 4NS
United Kingdom

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 7040 0124 (Phone)
+44 20 7040 8853 (Fax)

Hakan Berument

Bilkent University - Department of Economics ( email )

06533 Ankara
Turkey

Kivilcim Metin-Ozcan

Bilkent University ( email )

06533 Ankara
Turkey

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
23
Abstract Views
443
PlumX Metrics