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Volume 3, Number 4 / December 1999 , Pages 223-282
Multinational Finance Journal, 1999, vol. 3, no. 4, pp. 223-252
Gulnur Muradoglu , University of Manchester, U.K.    Corresponding Author
Hakan Berument , Bilkent University, Turkey
Kivilcim Metin , Bilkent University, Turkey

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
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Multinational Finance Journal, 1999, vol. 3, no. 4, pp. 253-282
Ranko Jelic , University of Birmingham, U.K.    Corresponding Author
Richard Briston , University of Hull, U.K.
Chris Mallin , University of Birmingham, U.K.

Abstract:
A transition from centrally-planned towards market-based economies in Central and Eastern European Countries (CEEC) in the early 1990's, resulted in mass privatisation programmes and the transformation of the state-controlled banks, the main (and sometimes the only) financial intermediaries in those countries. Given the unique institutional background, the focus of this paper is upon answering the following two questions: First, whether, and if so how, the emerging financial structures of firms in transition economies differ from the structures in Western financial markets? Second, what are the factors that affect bank loan supply schedules in transition economies, and to what extent do they differ between the selected countries? Results from data sets for firms in the Czech Republic, Hungary, and Poland suggest lower debt ratios than those reported for the G-7 countries.

Keywords : bank lending; enterprise debt; firm financing; transition economies
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