Ajay Pandey

OP Jindal Global University - Jindal Global Law School (JGLS)

Jindal Centre 12 Bhi12 Bhikaiji Cama Place

Near Jagdishpur Village

New Delhi, Uttar Pradesh/Haryana 110 066

India

SCHOLARLY PAPERS

13

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1

CROSSREF CITATIONS

9

Scholarly Papers (13)

1.

Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets

Number of pages: 36 Posted: 06 Aug 2008 Last Revised: 28 Dec 2010
Brajesh Kumar, Priyanka Singh and Ajay Pandey
Jindal Global Business School, Indian Institute of Management (IIM), Ahmedabad and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 998 (21,922)
Citation 3

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2.

Price Volatility, Trading Volume and Open Interest: Evidence from Indian Commodity Futures Markets

Number of pages: 56 Posted: 14 Aug 2010
Brajesh Kumar and Ajay Pandey
Jindal Global Business School and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 792 (30,489)

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Volatility, Volume, Open Interest, MDH, Emerging Market

3.

Price and Volatility Spillovers Across North American, European and Asian Stock Markets: With Special Focus on Indian Stock Market

Number of pages: 43 Posted: 08 Jan 2009 Last Revised: 28 Dec 2010
Priyanka Singh, Brajesh Kumar and Ajay Pandey
Indian Institute of Management (IIM), Ahmedabad, Jindal Global Business School and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 529 (52,099)
Citation 2

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Return Spillover, Volatility spillover, VAR (15), BEKK, Emerging market, Cointegration, Granger causality

4.

Role of Indian Commodity Derivatives Market in Hedging Price Risk: Estimation of Constant and Dynamic Hedge Ratio and Hedging Effectiveness

22nd Australasian Finance and Banking Conference 2009
Number of pages: 30 Posted: 17 Aug 2009
Brajesh Kumar and Ajay Pandey
Jindal Global Business School and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 490 (57,418)
Citation 1

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CCC-MGARCH, commodity futures, hedging effectiveness, dynamic hedge ratio

5.

The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market

Number of pages: 51 Posted: 25 Dec 2009
Brajesh Kumar, Priyanka Singh and Ajay Pandey
Jindal Global Business School, Indian Institute of Management (IIM), Ahmedabad and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 330 (91,651)

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Trading volume, Volatility, Mixture of distributions hypothesis, GARCH, Granger Causality, VAR, Impulse response function, Variance decomposition

6.

Land Markets in India: Distortions and Issues

INDIA INFRASTRUCTURE REPORT 2009: LAND - A CRITICAL RESOURCE FOR INFRASTRUCTURE, Nirmal Mohanty, Runa Sarkar, Ajay Pandey, eds., 3inetwork, Oxford Univ Press, New Delhi, 2009
Number of pages: 7 Posted: 30 Nov 2012
Sebastian Morris and Ajay Pandey
Indian Institute of Management, Ahmedabad - Economics and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 305 (99,913)

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India, land, acquisition, hold out problem, infrastructure, public policy, urban policies, land use, rents

7.

Estimation of Bid-Ask Spread and Its Components in Indian Stock Market Using Trade Prices

Number of pages: 51 Posted: 13 Nov 2013
Priyanka Singh and Ajay Pandey
Indian Institute of Management (IIM), Ahmedabad and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 165 (182,041)

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Bid-ask spread, adverse selection costs, inventory holding costs, order processing costs, order driven market

8.

The Question of Land and Infrastructure Development in India: Urgently Required Reforms for Fairness and Infrastructural Development

Indian Institute of Management Working Paper No. 2010-03-02
Number of pages: 23 Posted: 07 Feb 2011
Sebastian Morris and Ajay Pandey
Indian Institute of Management, Ahmedabad - Economics and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 146 (201,632)
Citation 1

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Land, India, Eminent-domain, Acqusition, Valuation, Law, Real-Estate, Government, Rent, Distortion

9.

Price Impact of Block Trades and Price Behavior Surrounding Block Trades in the Indian Capital Market

Posted: 25 Mar 2010
Sobhesh Kumar Agarwalla and Ajay Pandey
Indian Institute of Management (IIM) Ahmedabad and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 132 (218,821)
Citation 1

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Block Trades, Market Microstructure, All-or-None Trades

10.

Impact of the Introduction of Call Auction on Price Discovery: Evidence from the Indian Stock Market Using High-Frequency Data

Number of pages: 32 Posted: 13 Dec 2012 Last Revised: 15 Dec 2012
Indian Institute of Management (IIM) Ahmedabad, Indian Institute of Management and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 118 (238,210)

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Call Auction, Market Opening, Market Effciency, Intraday Behaviour, Emerging Markets

11.

Efficient Subsidisation of Lpg: A Study of Possible Options in India Today (Based on a Report Commissioned by the Petroleum Federation of India)

Indian Institute of Management Working Paper No. 2006-04-07
Number of pages: 61 Posted: 09 Feb 2011
Sebastian Morris and Ajay Pandey
Indian Institute of Management, Ahmedabad - Economics and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 93 (280,455)
Citation 3

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Public-Policy, Subsidy, India, Oil, Kerosene, Pricing, Public-expenditure

12.

Impact of the Proposed GST on the Consumer Price Index in India

Indian Institute of Management Udaipur Research Paper Series No. 2018
Number of pages: 19 Posted: 19 Aug 2018
Indian Institute of Management, Ahmedabad - Economics, OP Jindal Global University - Jindal Global Law School (JGLS), Indian Institute of Management (IIM) Ahmedabad and Adani Institute of Infrastructure Management
Downloads 51 (388,517)

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India, Public Finance, Taxation, Indirect Taxes, Goods and Sevices Tax, GST, Economic Reforms

13.

Whether Cross-Listing, Stock-Specifi c and Market-Wide Calendar Events Impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market Using High-Frequency Data

Number of pages: 21 Posted: 30 Nov 2012
Sobhesh Kumar Agarwalla and Ajay Pandey
Indian Institute of Management (IIM) Ahmedabad and OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 44 (413,012)

Abstract:

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intraday volatility, emerging market, calendar effects, cross-listing, derivatives expiry days