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...

This paper examined the weak form of efficiency by using the random walk test and the day of the week effect at Istanbul Stock Exchange (ISE) during the period 4 January 1988 - 27 December 1996. The random walk model is rejected for all periods under consideration and test results provide an...

The purpose of this paper is to compare the forecast performance of alternative time series models, namely VAR in levels, stochastic seasonal models (SSM) and error correction models (ECM) at the Istanbul Stock Exchange (ISE). Considering the emerging market characteristic of the ISE, stock...