Priyanka Singh

Indian Institute of Management (IIM), Ahmedabad

Fellow

Vastrapur

Ahmedabad, Gujarat 380 015

India

SCHOLARLY PAPERS

9

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Scholarly Papers (9)

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 (21,641)
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 (21,784)
Citation 3

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3.

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 (36,766)
Citation 1

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

4.

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 (52,028)
Citation 2

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

5.

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 (68,719)
Citation 1

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

6.

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 (91,210)

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

7.

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 OP Jindal Global University - Jindal Global Law School (JGLS)
Downloads 164 (181,564)

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

8.

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

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

9.

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

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