Quarterly Publication of Multinational Finance Society • ISSN 1096-1879

Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE)
(Multinational Finance Journal, 1999, vol. 3, no. 4, pp. 223-252)

Gulnur Muradoglu
University of Manchester, U.K.
Hakan Berument
Bilkent University, Turkey
Kivilcim Metin
Bilkent University, Turkey

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 (JEL: G1,G2,C5).

Keywords: emerging markets, financial crisis, GARCH-M, Istanbul Stock Exchange, macroeconomic variables, risk, stock returns

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Gambling Banks and Firm Financing in Transition Economies
(Multinational Finance Journal, 1999, vol. 3, no. 4, pp. 253-282)

Ranko Jelic
University of Birmingham, U.K.
Richard Briston
University of Hull, U.K.
Chris Mallin
University of Birmingham, U.K.

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. Although some evidence of improvements in bank financial intermediation has been found, the range of factors that affect the supply side of loans in selected countries indicates the importance of further institutional reforms in transition economies (JEL Classification G32, P34).

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

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