Browsing Working Papers by Author "Pandey, Ajay"
Now showing items 1-19 of 19
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Does GST in India hurt producing regions? A new estimate of the tax base under GST of select states
Morris, Sebastian; Pandey, Ajay; Agarwalla, Sobhesh Kumar; Agarwalla, Astha (Indian Institute of Management Ahmedabad, 2019)GST as introduced in India being a destination based tax, does not encourage regions to vigorously promote manufacturing and tradable services industries. Being in the midst of its economic transformation, and given the ... -
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 ... -
Efficient Subsidisation of LPG: A Study of Possible Options in India Today (Based on a Report Commissioned by the Petroleum Federation of India)
Pandey, Ajay; Morris, Sebastian (2009-09-01)The budget contained an announcement that the central government would actively explore the option of using an appropriate form of the ‘food stamps’ or an alternative scheme to improve the efficacy and reduce the cost of ... -
Estimation of bid-ask spread and its components in Indian stock market using trade prices
Singh, Priyanka; Pandey, Ajay (IIM Ahmedabad, 2013-11)In the absence of order-book data and limited information on quoted bid-ask spreads in the Indian stock market, this paper attempts to analyze the bid-ask spread in Indian market by estimating bid-ask spreads and its ... -
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 ... -
Impact of the Introduction of Call Auction on price discovery: Evidence from the Indian Stock Market Using High-Frequency Data
Agarwalla, Sobhesh Kumar; Jacob, Joshy; Pandey, Ajay (2010)Call markets are claimed to aggregate information and facilitate price discovery where continuous markets may fail. Its advantage, however, comes at the cost of imme- diacy. Possibly due to faulty design or due to \thick ... -
Impact of the proposed GST on the consumer price index in India
Morris, Sebastian; Pandey, Ajay; Agarwalla, Sobhesh Kumar; Agarwalla, Astha (Indian Institute of Management Ahmedabad, 2018)Fears that the movement to GST would add to inflation have been unfounded. In this study we ex-ante estimate the impact the movement to GST would have on inflation and show that it would be very marginal at best. The ... -
Initial Returns, Long Run Performance and Characteristics of Issuers: Differences in Indian IPOs Following Fixed Price and Book building Processes
Pandey, Ajay (2009-09-04)Initial returns (or underpricing) and long run performance of IPOs have been researched extensively across countries. Recent research on IPOs has also been focused on differences in pricing and allocation mechanisms across ... -
Introducing Competition in Container Movement by Rail
Morris, Sebastian; Pandey, Ajay; Raghuram, G.; Gangwar, Rachna (2011-05-26)Container movement by rail was a monopoly of Indian Railways (IR) until recently and its subsidiary, Container Corporation (CONCOR), was the sole operator of container trains. Entry of other entities has been driven by ... -
Lender moral hazard in state-owned banks: evidence from an emerging economy
Gopalakrishnan, Balagopal; Jacob, Joshy; Pandey, Ajay (Indian Institute of Management Ahmedabad, 2018-07-04)We examine the credit risk-choices of the public sector banks (PSBs) in India with a novel dataset that is able to trace the borrowers to their banks. We determine the likelihood of the ownership type of the lender bank ... -
A minimum buyback requirement in open market repurchases: impact on the signalling role
Srivastava, Pranjal; Joshy, Jacob; Pandey, Ajay (Indian Institute of Management Ahmedabad, 2021-04-02)The paper investigates the impact of the imposition of a minimum buyback requirement on open market repurchases in India. We find that the regulatory change has led to a significant increase in the abnormal stock returns ... -
Modeling and Forecasting Volatility in Indian Capital Markets
Pandey, Ajay (2009-09-02)Various volatility estimators and models have been proposed in the literature to measure volatility of asset returns. In this paper, we compare empirical performance of various unconditional volatility estimators and ... -
Overnight Stock Returns and Time-Varying Correlations
Pandey, Ajay (2009-09-02)Time-varying correlation of the stock market returns across countries in the context of international investments has been well researched in the literature in last few years. It has also been recognized that there is ... -
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 ... -
The Question of Land and Infrastructure Development in India: Urgently Required Reforms for Fairness and Infrastructural Development
Morris, Sebastian; Pandey, Ajay (2011-05-26)Land in India is problematic largely because of archaic and perverse provisions in the practice and the law. The new Land Acquisition Amendment Bill does go some way to correct the anti-democratic and imperial provisions ... -
Relative effectiveness of signals in IPOs in Indian Capital Markets
Pandey, Ajay; Kumar, G. Arun (Indian Institute of Management Ahmedabad, 2001-09-01)IPO by a firm calls for assessment of potential agency problems and associated costs by the outside investors. The potential conflict of interest problems between insiders and outsiders could be very high in countries with ... -
A Scheme for Efficient Subsidisation of Kerosene in India
Morris, Sebastian; Pandey, Ajay; Barua, Samir K. (2009-03-11)The distortions in price based subsidisation are very severe. The direct fiscal cost of ensuring that a rupee of value is delivered to all household users of kerosene is as high as Rs.3 and when the consideration is the ... -
Towards Reform of Land Acquisition Framework in India
Morris, Sebastian; Pandey, Ajay (2009-08-22)We bring out the fundamental and more important problems with the current framework of land acquisition in India, regulations on land and the functioning of land markets. We argue that reform is overdue and the current ... -
Whether Cross-Listing, Stock-speci c and Market-wide Calendar Events impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market using High-frequency Data
Agarwalla, Sobhesh Kumar; Pandey, Ajay (2013-11-25)Using high-frequency stock price data, we investigate the e ect of various stock- speci c and market-wide events on intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF ...