Aram Balagyozyan

University of Scranton · Department of Economics and Finance

This study looks for evidence of investor herding in the Turkish banking sector. We apply the methodology of Chang et al. (2000) to daily stock returns between 2007 and 2012 and find evidence of herding. This result is robust under model specifications that control for market and firm fundamentals. Herding behaviour shows asymmetric effects, and in...

This study examines herding behavior in all industrial sectors of the Turkish stock market. Applyingthe methodology of Chang et al. (2000)to the Turkish sectoral daily stock prices from 2002 to 2014, we found strong evidence ofherding. This evidence did not disappear even after we controlled for market regimes and firm fundamentals. Investor herdin...

This paper investigates whether large non-bank institutional investors herded during the dot-com bubble of the 1990s. We use the vector Markov-switching model of Hamilton and Lin (1996) to analyze the technology stock holdings of 115 large institutional investors from 1980 to 2012. By imposing different restrictions on the elements of the transitio...

This study examines whether house price cycles led or lagged business cycles in the state-level US data from 1979 to 2012. We use a vector Markov-switching model to test for various lead/lag scenarios across the US. For the majority of the US states as well as the aggregate US, we could not reject the hypothesis that between 1979 and 2012 house pri...

Using a partial-equilibrium consumption model with a fuzzy decision-making consumer, we demonstrate that if the consumer sentiment is an independent determinant of consumer spending, traces of the sentiment should be concentrated in the intercept of the regression of the log consumption change on other macroeconomic fundamentals. Using a dynamic-fa...

We show how an extreme value statistical test, designed under the assumption of normality, achieves higher power than traditional tests when the underlying distribution turns out to have thicker tails. We also demonstrate increase in power with numerical simulations. An empirical example with application in risk management is given.

Using a two-period non-stochastic life-cycle model, Hauenschild and Stahlecker (2001) show that when information about future labor income is ambiguous, individuals may engage in precautionary savings even if their marginal utility is not convex. We extend the methodology of Houenschild and Stahlecker to a model with standard preferences and demons...