Sanjay Sehgal

University of Delhi - Department of Financial Studies

University Road

Delhi, 110 007

India

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

1.

Short-Term Persistence in Mutual Funds Performance: Evidence from India

10th Capital Markets Conference, Indian Institute of Capital Markets
Number of pages: 23 Posted: 13 Feb 2007
Sanjay Sehgal and Manoj Jhanwar
University of Delhi - Department of Financial Studies and affiliation not provided to SSRN
Downloads 1,204 (16,035)

Abstract:

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Mutual Funds, Fama- French Model, Performance Evaluation, Multifactor Asset Pricing, Short Term Persistence, Hedge Funds.

2.

Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets

The International Journal of Business and Finance Research, v. 7 (3) p. 57-75
Number of pages: 20 Posted: 29 Jan 2013
Sanjay Sehgal, Namita Rajput and Florent Deisting
University of Delhi - Department of Financial Studies, University of Delhi and ESC PAU
Downloads 403 (70,874)

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Price discovery, Granger Causality, VECM, EGARCH, Volatility, Spillover

3.

Short-Term Momentum Patterns in Stock and Sectoral Return: Evidence from India

22nd Australasian Finance and Banking Conference 2009
Posted: 16 Aug 2009
Sanjay Sehgal and Sakshi Jain
University of Delhi - Department of Financial Studies and Sakshi Jain
Downloads 370 (78,288)

Abstract:

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Trading strategies, CAPM, Fama French model, Momentum profits, behavioral finance

4.

Rational Sources of Momentum Profits: Evidence from the Indian Equity Market

Indian Institute of Capital Markets 9th Capital Markets Conference Paper
Number of pages: 50 Posted: 06 Jan 2006
Sanjay Sehgal
University of Delhi - Department of Financial Studies
Downloads 301 (98,713)

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Momentum profits, Indian Stock Markets, Equity Markets, Fama & French Model, Risk in Portfolio

5.

Tests of Equity Market Anomalies for Select Emerging Markets

The International Journal of Business and Finance Research, v. 8 (3) p. 27-46, 2014
Number of pages: 20 Posted: 11 Dec 2014
University of Delhi - Department of Financial Studies, University of Delhi and ESC PAU
Downloads 229 (131,207)

Abstract:

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CAPM, Fama French Model, Emerging Markets, Market Anomalies, International Diversification

6.

Time Varying Integration in EMU’s Retail Banking to Non-Financial Corporations

Number of pages: 55 Posted: 15 Jan 2016
Sanjay Sehgal and Priyanshi Gupta
University of Delhi - Department of Financial Studies and University of Delhi - Department of Financial Studies
Downloads 26 (479,171)

Abstract:

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7.

The Investigation of Destabilization Effect in India's Commodity Futures Market: An Alternative Viewpoint

Forthcoming in the Journal of Financial Economic Policy (JFEP)
Posted: 22 Oct 2014
Wasim Ahmad and Sanjay Sehgal
Department of Economic Sciences, Indian Institute of Technology Kanpur, Kanpur India and University of Delhi - Department of Financial Studies

Abstract:

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Destabilization hypothesis, futures market, unexpected liquidity, band-pass filters, spot market volatility, nonlinear causality

8.

An Empirical Examination of the Process of Information Transmission in India's Agriculture Futures Markets

Forthcoming in Journal of Quantitative Economics (New Series)
Posted: 13 Jun 2014
Sanjay Sehgal, Wasim Ahmad and Florent Deisting
University of Delhi - Department of Financial Studies, Department of Economic Sciences, Indian Institute of Technology Kanpur, Kanpur India and ESC PAU

Abstract:

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Commodity futures market; Price discovery; Volatility spillovers, Spillover index, Information transmission

9.

On the Possible Impact of Commodity Transaction Tax on India's Commodity Derivatives: An Empirical Study

Posted: 29 Mar 2014
Sanjay Sehgal and Wasim Ahmad
University of Delhi - Department of Financial Studies and Department of Economic Sciences, Indian Institute of Technology Kanpur, Kanpur India

Abstract:

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Commodity transaction tax, liquidity, volatility, futures market, bid-ask spread

10.

An Investigation of Price Discovery and Volatility Spillovers in India's Foreign Exchange Market

Forthcoming in Journal of Economic Studies
Posted: 28 Mar 2014
Sanjay Sehgal, Wasim Ahmad and Florent Deisting
University of Delhi - Department of Financial Studies, Department of Economic Sciences, Indian Institute of Technology Kanpur, Kanpur India and ESC PAU

Abstract:

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Currency futures market, Price discovery, BEKK-GARCH, DCC-GARCH, Directional spillovers, volatility spillovers

11.

Regime Shifts and Volatility in BRIICKS Stock Markets: An Asset Allocation Perspective

Forthcoming in International Journal of Emerging Markets
Posted: 28 Mar 2014
Wasim Ahmad and Sanjay Sehgal
Department of Economic Sciences, Indian Institute of Technology Kanpur, Kanpur India and University of Delhi - Department of Financial Studies

Abstract:

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Markov switching model; emerging markets; regime shifts; synchronization; asset allocation