Ajay Pandey

O. P. 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

  • O. P. Jindal Global University - Jindal Global Law School (JGLS)

SCHOLARLY PAPERS

13

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TOTAL CITATIONS
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30

Scholarly Papers (13)

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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, Brajesh Kumar, Priyanka Singh and Ajay Pandey
IIM AhmedabadJindal Global Business School, Indian Institute of Management (IIM), Ahmedabad and O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 1,265 (33,085)
Citation 8

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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, Brajesh Kumar and Ajay Pandey
IIM AhmedabadJindal Global Business School and O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 1,044 (43,630)
Citation 2

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Volatility, Volume, Open Interest, MDH, Emerging Market

3.

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, Brajesh Kumar and Ajay Pandey
IIM AhmedabadJindal Global Business School and O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 669 (79,337)
Citation 6

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

4.

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
Goa Institute of Management and O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 649 (82,450)

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

5.

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, Brajesh Kumar and Ajay Pandey
Indian Institute of Management (IIM), Ahmedabad, IIM AhmedabadJindal Global Business School and O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 601 (90,916)
Citation 7

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

6.

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

Number of pages: 51 Posted: 25 Dec 2009
Brajesh Kumar, Brajesh Kumar, Priyanka Singh and Ajay Pandey
IIM AhmedabadJindal Global Business School, Indian Institute of Management (IIM), Ahmedabad and O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 440 (133,483)

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

7.

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
Sebastian Morris, Ajay Pandey, Sobhesh Kumar Agarwalla and Astha Agarwalla
Goa Institute of Management, O. P. Jindal Global University - Jindal Global Law School (JGLS), Indian Institute of Management (IIM) Ahmedabad and Adani Institute of Infrastructure Management
Downloads 340 (177,945)

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

8.

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 O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 260 (235,406)

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

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 O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 230 (265,596)
Citation 1

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

10.

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
Goa Institute of Management and O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 212 (286,937)
Citation 1

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

11.

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
Sobhesh Kumar Agarwalla, Joshy Jacob and Ajay Pandey
Indian Institute of Management (IIM) Ahmedabad, Indian Institute of Management Ahmedabad and O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 175 (343,430)
Citation 1

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

12.

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
Goa Institute of Management and O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 139 (416,345)
Citation 3

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

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 O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 79 (613,048)
Citation 1

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