Browsing Working Papers by Author "Singh, Priyanka"
Now showing items 1-5 of 5
-
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 ... -
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 ... -
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 ...