Ajay Pandey

Indian Institute of Management (IIM), Ahmedabad

Professor

Vastrapur

Ahmedabad 380015, GA Gujarat

India

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 10,913

SSRN RANKINGS

Top 10,913

in Total Papers Downloads

3,577

CITATIONS
Rank 36,274

SSRN RANKINGS

Top 36,274

in Total Papers Citations

5

Scholarly Papers (12)

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 762 (20,696)
Citation 2

Abstract:

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 539 (30,079)

Abstract:

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 435 (46,575)
Citation 1

Abstract:

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 388 (52,140)

Abstract:

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 241 (88,012)

Abstract:

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

6.

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 103 (190,703)

Abstract:

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

7.

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 91 (211,257)

Abstract:

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

8.

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 89 (147,830)
Citation 2

Abstract:

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

9.

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 88 (176,326)

Abstract:

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

10.

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 75 (253,278)

Abstract:

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

11.

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 56 (211,257)

Abstract:

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

12.

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 Indian Institute of Management (IIM), Ahmedabad
Downloads 34 (359,068)

Abstract:

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