Browsing Working Papers by Author "Kumar, Brajesh"
Now showing items 1-5 of 5
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The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market
Kumar, Brajesh; Singh, Priyanka; Pandey, Ajay (2011-05-26)This study investigates the nature of relationship between price and trading volume for 50 Indian stocks. Firstly the contemporaneous and asymmetric relation between price and volume is examined. It examines the dynamic ... -
Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets
Kumar, Brajesh; Singh, Priyanka; Pandey, Ajay (2009-07-29)This paper examines hedging effectiveness of futures contract on a financial asset and commodities in Indian markets. In an emerging market context like India, the growth of capital and commodity futures market would depend ... -
Inter-Relationship between Economic Growth, Savings and Inflation in Asia
Chaturvedi, Vaibhav; Kumar, Brajesh; Dholakia, Ravindra H. (2009-07-29)The present study examines the inter-relationship between economic growth, savings rate and inflation for south-east and south Asia in a simultaneous equation framework using two stage least squares with panel data. The ... -
Price and Volatility Spillovers across North American, European and Asian Stock Markets: With Special Focus on Indian Stock Market
Singh, Priyanka; Kumar, Brajesh; Pandey, Ajay (Indian Institute of Management Ahmedabad, 2008)This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect. Interdependence of Indian stock market with other fourteen world markets ... -
Volatility Modeling, Seasonality and Risk-Return Relationship in GARCH-in-Mean Framework: The Case of Indian Stock and Commodity Markets
Kumar, Brajesh; Singh, Priyanka (2009-07-30)This paper is based on an empirical study of volatility, risk premium and seasonality in risk-return relation of the Indian stock and commodity markets. This investigation is conducted by means of the General Autoregressive ...