https://scholars.lib.cycu.edu.tw/handle/123456789/6172 Thu, 11 Jun 2026 07:33:59 GMT 2026-06-11T07:33:59Z https://scholars.lib.cycu.edu.tw/handle/123456789/8050 Title: CONTAGIOUS INVESTOR SENTIMENTS AND THEIR VOLATILITIES. Authors: Koshoev, Askar Abstract: This study examines the cross-country relationships of investor sentiments. Discoveries of linkages across fourteen developed and emerging markets provide evidence of interdependencies. Employing CCI as a proxy for investor sentiments and ARIMA-EGARCH models, this study has successfully captured multiple instances of spillover of sentiments and volatilities. The results suggest that most markets have at least one-directional association with another market by either spreading or being exposed to investor sentiments. Moreover, the division of the sample into pre and post-global crisis periods suggests that the senti- ments are becoming more contagious as technologies advance, leading to further integration between the markets. [ABSTRACT FROM AUTHOR] Copyright of Review of Finance & Banking is the property of Review of Finance & Banking and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) Sat, 01 Jan 2022 00:00:00 GMT https://scholars.lib.cycu.edu.tw/handle/123456789/8050 2022-01-01T00:00:00Z https://scholars.lib.cycu.edu.tw/handle/123456789/6373 Title: Synthetic versus Physical Exchange Traded Funds. Spillover and Asymmetric - Volatility Effects Authors: Koshoev, Askar Abstract: Earning popularity synthetic exchange-traded funds which track their benchmarks by taking positions in derivative contracts are subjects of many debates concerning potential negative effects they may cause. At the moment, available empirical resultsare scarce and ambiguous. This research investigates the impact of synthetic funds on the stock market by comparing them to their physical alternatives. The spillover and asymmetric volatility effects were identified and analyzed by the deployment of the EGARCH-M-ARMA model. Local legislation on the Chinese market caused the creation of several physical and synthetic ETFs which track same benchmarks. This unique conditions can be employed in order to examine the effects of synthetic ETFs on the market. The sample of this study comprises ETFs which track Chinese A-shares but are listed or cross-listing in Hong Kong or New York stock exchanges. This study broadens the knowledge about synthetic ETFs and their relationships with the markets. Spillover and asymmetric-volatility effects are tested for ETFs, their respective benchmark indices, and general markets indices. The results do not reveal clear evidence that Synthetic ETFs have an impact on the stock markets. Mon, 01 Jan 2018 00:00:00 GMT https://scholars.lib.cycu.edu.tw/handle/123456789/6373 2018-01-01T00:00:00Z https://scholars.lib.cycu.edu.tw/handle/123456789/6272 Title: SPECIFICS OF INVESTOR SENTIMENTS: ANALYSIS OF CHINESE MARKET. Authors: JOHN WEI-SHAN HU; Koshoev, Askar Abstract: Applying panel regression model with fixed effects, this study analyzes specifics of investor sentiments and future stock returns of the Chinese stock market from 2005 until 2015. The results suggest that Chinese market is speculative and prone to the investor sentiments. To conduct a deeper investigation, this research employs quantile regression model, analyzes time frames, dividend payouts, cross-listing effects, government ownership, firm age and size. Some of the outcomes are unexpected. Susceptibility to investor sentiments is characterized by dividend payers, large, and older firms. On the other hand, cross-listing and government ownership provide significant resistance to the investor sentiments. [ABSTRACT FROM AUTHOR] Copyright of CLEAR International Journal of Research in Commerce & Management is the property of Chinniah Lakshmiammal Educational Academy & Research (CLEAR) Foundation and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) Sun, 01 Jan 2017 00:00:00 GMT https://scholars.lib.cycu.edu.tw/handle/123456789/6272 2017-01-01T00:00:00Z https://scholars.lib.cycu.edu.tw/handle/123456789/6244 Title: Five Factors to Measure P/E Ratio in China Authors: Hu, John Wei-Shan; Koshoev, Askar Abstract: One of the most popular indicators of a stock valuation, Price-to-earnings (P/E) ratio is designed to provide investors with information about stock price relative to the earnings. Theoretically, P/E ratio should keep stock values in equilibrium; however, researchers found that P/E ratio is negatively correlated with future earnings and future stock returns. Previous studies connect this misevaluation issue with forecasting errors. Using fixed effects panel regression and the sample of Chinese A-shares, this study analyzes the major determinants of P/E ratio. The results reveal that investor sentiments rather than growth rate are the major factor for stocks valuation in China. Sun, 01 Jan 2017 00:00:00 GMT https://scholars.lib.cycu.edu.tw/handle/123456789/6244 2017-01-01T00:00:00Z