Brajesh Kumar

Jindal Global Business School

Assistant Professor

University Sonipat-Narela Road

Near Jagdishpur Vill

Sonipat, Haryana 131001

India

http://www.jgbs.edu.in

IIM Ahmedabad

Fellow

Vastrapur

Ahmedabad, Gujarat 380 015

India

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

1.

Trade Off Theory or Pecking Order Theory: What Explains the Behavior of the Indian Firms?

Number of pages: 60 Posted: 04 Sep 2008 Last Revised: 20 Sep 2008
Priyanka Singh and Brajesh Kumar
Indian Institute of Management (IIM), Ahmedabad and Jindal Global Business School
Downloads 1,000 (21,617)
Citation 3

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Trade-off theory, Pecking order theory, capital structure, emerging market

2.

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 996 (21,757)
Citation 3

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3.

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 790 (30,280)

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Volatility, Volume, Open Interest, MDH, Emerging Market

4.

Volatility Modeling, Seasonality and Risk-Return Relationship in GARCH-in-Mean Framework: The Case of Indian Stock and Commodity Markets

The 5th Conference of Asia-Pacific Association of Derivatives Paper
Number of pages: 30 Posted: 04 Jun 2008 Last Revised: 11 Dec 2008
Brajesh Kumar and Priyanka Singh
Jindal Global Business School and Indian Institute of Management (IIM), Ahmedabad
Downloads 686 (36,733)
Citation 1

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Volatility, GARCH-in-Mean, Seasonality, S&P CNX Nifty, Gold, Soybean

5.

Effect of Futures Trading on Spot Market Volatility: Evidence from Indian Commodity Derivatives Markets

Number of pages: 25 Posted: 23 Mar 2009
Brajesh Kumar
Jindal Global Business School
Downloads 652 (39,251)
Citation 2

Abstract:

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Spot volatility, Commodity Market, Futures trading activity, GARCH, VAR

6.

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 526 (51,957)
Citation 2

Abstract:

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

7.

Inter-Relationship between Economic Growth, Savings and Inflation in Asia

Number of pages: 26 Posted: 12 Aug 2008
IIM Ahmedabad, affiliation not provided to SSRN and Jindal Global Business School
Downloads 524 (52,219)

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Growth, Savings, Inflation, Asia, Simultaneity, Fixed-Effect

8.

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 489 (56,977)
Citation 1

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

9.

Short Run and Long Run Dynamics of Initial Public Offerings: Evidence from India

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 39 Posted: 25 Aug 2008 Last Revised: 25 Nov 2008
Priyanka Singh and Brajesh Kumar
Indian Institute of Management (IIM), Ahmedabad and Jindal Global Business School
Downloads 420 (68,653)
Citation 1

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Underpricing, IPO, Indian Capital Markets, institutional investors, retail investors

10.

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 329 (91,142)

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

11.

Asymmetric Volatility of Net Convenience Yield: Empirical Evidence from Indian Commodity Futures Markets

Number of pages: 22 Posted: 31 Jul 2018
Brajesh Kumar
Jindal Global Business School
Downloads 17 (539,945)

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Convenience Yield, Asymmetric Volatility, EGARCH, The Theory Of Storage

12.

International Diversification Benefits between Indian, US and Japanese Stock Markets

Posted: 13 Aug 2008
Priyanka Singh and Brajesh Kumar
Indian Institute of Management (IIM), Ahmedabad and Jindal Global Business School

Abstract:

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Indian stock market, tri-variate Johansen Cointegration, Granger causality, tri-variate VAR, return spillover

13.

Mean Reversion and Persistence in Commodity Markets in India

Posted: 07 Aug 2008 Last Revised: 08 Aug 2008
Brajesh Kumar and Priyanka Singh
Jindal Global Business School and Indian Institute of Management (IIM), Ahmedabad

Abstract:

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castor seed, gold, guar seed, silver, maize, soyoil, soybean, mean reversion, persistence, randomness, commodity