Susan Thomas

Indira Gandhi Institute of Development Research (IGIDR)

Visiting Research Associate-Economics

Gen A.K. Vaidya Marg Santoshnagar

Goregaon (East)

Bombay 400065, Maharashtra

India

  • Indira Gandhi Institute of Development Research (IGIDR)

    • Email
    • Tel: 22-840-0919, ext 550
    • Fax: 22-840-2752
SCHOLARLY PAPERS

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Scholarly Papers (12)

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1.

Profitability of Trading Strategies on High-Frequency Data, with Trading Costs

Number of pages: 21 Posted: 26 Jul 2004
Tirthankar C. Patnaik and Susan Thomas
Indira Gandhi Institute of Development Research (IGIDR) and Indira Gandhi Institute of Development Research (IGIDR)
Downloads 2,974 (3,690)
Citation 1

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Contrarian, and momentum trading strategies, Transaction costs, High-Frequency Data, Market Liquidity

2.

Market Microstructure Considerations in Index Construction

Number of pages: 20 Posted: 24 Apr 1998
Ajay Shah and Susan Thomas
Indira Gandhi Institute of Development Research (IGIDR) and Indira Gandhi Institute of Development Research (IGIDR)
Downloads 1,441 (12,391)
Citation 6

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3.

Variance-Ratio Tests and High-Frequency Data: A Study of Liquidity and Mean Reversion in the Indian Equity Markets

Number of pages: 24 Posted: 26 Mar 2003
Tirthankar C. Patnaik and Susan Thomas
Indira Gandhi Institute of Development Research (IGIDR) and Indira Gandhi Institute of Development Research (IGIDR)
Downloads 741 (33,073)
Citation 1

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Variance-Ratios, High-frequency Data, Market Liquidity

4.

High Frequency Data in Finance: A Study of the Indian Equity Markets

IGIDR Working Paper
Number of pages: 24 Posted: 11 Nov 2003
Susan Thomas
Indira Gandhi Institute of Development Research (IGIDR)
Downloads 468 (60,268)

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Intraday data, High Frequency Data, temporal aggregation

5.

A Policy Response to the Indian Micro-Finance Crisis

Number of pages: 49 Posted: 17 May 2011
Renuka Sane and Susan Thomas
National Institute of Public Finance and Policy and Indira Gandhi Institute of Development Research (IGIDR)
Downloads 173 (173,327)
Citation 2

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financial services distribution, consumer protection, credit bureaus, securitisation, micro-finance

6.

When Do Stock Futures Dominate Price Discovery?

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 37 Posted: 24 Aug 2011 Last Revised: 22 Mar 2013
Nidhi Aggarwal and Susan Thomas
Indian Institute of Management (IIMU), Udaipur and Indira Gandhi Institute of Development Research (IGIDR)
Downloads 142 (204,584)
Citation 1

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Price discovery, Single stock futures, Liquidity, Leverage, Information arrival

7.

Liquidity Considerations in Estimating Implied Volatility

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 31 Posted: 11 May 2011 Last Revised: 14 Nov 2011
Rohini Grover and Susan Thomas
Indira Gandhi Institute of Development Research (IGIDR) and Indira Gandhi Institute of Development Research (IGIDR)
Downloads 142 (204,584)
Citation 1

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liquidity, implied volatility, volatility index, Indian index options market

8.

Measuring and Explaining the Asymmetry of Liquidity

Number of pages: 23 Posted: 26 Mar 2013
Rajat Tayal and Susan Thomas
IGIDR and Indira Gandhi Institute of Development Research (IGIDR)
Downloads 74 (319,714)

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9.

Identifying SIFIs and SINFIs: New Perspectives in Measuring Systemic Risk

Number of pages: 26 Posted: 13 May 2014
Natasha Agarwal, Sanchit Arora, Akhil Behl, Rohini Grover, Shashwat Khanna and Susan Thomas
Indian Institute of Foreign Trade, Indira Gandhi Institute of Development Research (IGIDR), Indira Gandhi Institute of Development Research (IGIDR), Indira Gandhi Institute of Development Research (IGIDR), Indira Gandhi Institute of Development Research (IGIDR) and Indira Gandhi Institute of Development Research (IGIDR)
Downloads 17 (540,440)

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Systemic risk, Systemically important financial institutions, Systemic risk index

10.

The Real Cost of Credit Constraints: Evidence from Micro- Finance

Number of pages: 35 Posted: 28 Apr 2014
Renuka Sane and Susan Thomas
National Institute of Public Finance and Policy and Indira Gandhi Institute of Development Research (IGIDR)
Downloads 3 (630,895)

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micro-credit, micro-finance ban, natural experiment, Andhra Pradesh

11.

Heteroskedasticity Models on the Bse

Posted: 25 Aug 1998
Susan Thomas
Indira Gandhi Institute of Development Research (IGIDR)

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12.

How Competition and Automation Have Changed the Bombay Stock Exchange

Posted: 03 Jul 1998
Ajay Shah and Susan Thomas
Indira Gandhi Institute of Development Research (IGIDR) and Indira Gandhi Institute of Development Research (IGIDR)

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