Research Papers in Peer Reviewed Journals

 Published/ Accepted for Publication

• "The asymmetry in day and night option returns: Evidence from an emerging market" with Aparna Bhat & Prof. S.V.D. Nageswara Rao in Journal of Futures Markets, pp 1-18 (2024). 

• “How Smart is a Momentum Strategy? An Empirical Study of Indian Equities” with Apurv Nigam in Algorithmic Finance, 10(1-2): 21-37 (2023). 

• “Performance of Volatility Asset as Hedge for investor’s portfolio against Stress Events: COVID19 and 2008 Financial Crises” with Chinnaraja C in IIMB Management Review, 31(2), pp 127-144.  (2022). 

• “Investor Sentiment and its Role in Asset Pricing: An Empirical Study for India” (2019) with Prof. Sanjay Sehgal in IIMB Management Review,31(2), pp 127-144.  

• “Information Linkages amongst BRICS countries: Empirical Evidence from Implied Volatility Indices” (2019) with Gagan Sharma and Parthajit Kayal in Journal of Emerging Market Finance, 18(3), pp 263-289. 

• “Dynamics of Banking Sector Integration in South Asia: An Empirical Study” (2019) with Prof. Sanjay Sehgal and Dr. Wasim Ahmad in Indian Growth & Development Review, 12(3), pp 315-332.  

• “Dynamic Currency Linkages and its Determinants: An Empirical Study for East Asian Economic Community Region” (2018) with Prof. Sanjay Sehgal in Emerging Markets Finance and Trade, Issue 7, Vol. 54, pp 1538-1556.  

• “Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region” (2018) with Prof. Sanjay Sehgal and Prof. Florent Diesting in Journal of Quantitative Economics, Issue 2, Vol. 16, pp 389-425. 

• “Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study” (2018) with Prof. Sanjay Sehgal and Prof. Florent Diesting in Cogent Economics & Finance,6(1). 

• “Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies” (2018) with Prof. Sanjay Sehgal and Sakshi Saini in Theoretical Economics Letters, 8, pp 2416- 2443.  

• “Examining Dynamic Currency Linkages amongst South Asian Economies: An Empirical Study” (2017) with Prof. Sanjay Sehgal and Prof. Florent Diesting in Research in International Business and Finance, 42, 173-190. 

• “Behaviour and Determinants of Implied Volatility in Indian Market” (2016), with Narain and Narander in Journal of Advances in Management Research, Vol 13 (3), pp 271-291.  Awarded Highly Commended paper in the 2017 Emerald Literati Network Awards for Excellence

• “Information Transmission between NSE50 Spot and Derivative Platforms in India: An Empirical Study” (2015), with Prof. Sanjay Sehgal and Prof. Florent Diesting in Journal of Quantitative Economics, Vol 13 (2), pp215-235. 

• “Real Estate Investment Selection and Empirical Analysis of Property Prices: Study of Select Residential Projects for Gurgaon, India” (2015), with Prof. Sanjay Sehgal, Mridul Upreti and Aakriti Bhatia in International Real Estate Review, Vol. 18 No. 4, pp. 523-566.  

Under Review/ Work in Progress

•  “Effect of change in expiry on volatility, volume, and connectedness: A tale of two Stock Indices in India” with Prof. Vikas Pandey & Prof. Bhaskar Chimmwal. (2025). Under Review in Review of Derivatives Research

•  “Forecasting Bitcoin Returns and Volatility Using Hybrid Jump Detection and Deep Learning” with Anish Behera & Prof. Sudeep Bapat (2025). Under Review in Journal of Forecasting

• "Disentangling the upside from the downside: Short-term predictive power of the variance risk premium in India" with Aparna Bhat, Prof. S.V.D. Nageswara Rao (2025). Under Review in Journal of Futures Markets

•  “Predicting bankruptcy for Micro, Small and Medium (MSME) Enterprises using Statistical and Artificial Intelligent Techniques: An Empirical Study for India” with Prof. Vinish Kathuria & Rajendra Sonar. Finalization for Submission

• “Equity Market Microstructure under the Microscope During COVID-19: An Emerging Market Study” with Kaushik Sanghani, Dr. Gaurav Raizada, Keshav Kumar. Work in Progress

•  “Portfolio Optimization Using Higher Order Moments: An Empirical Study” with Aditya Jain, Prof. Avinash Bhardwaj, Aparna Bhatt. (2024). Work in Progress

• “Prediction of Investment Flow and Investment Decision of Various Investors: Artificial Neural Network Approach” with Bhaskar Chimwal and Prof. Varadraj Bapat. Work in Progress

• “Dynamics of Unconventional Monetary Policy Transmission - Evidence from India” with Bristi Bose. Work in Progress

•  “Revisiting Momentum Strategy: A New Paradigm for Investment Management” with Bhaskar Chimwal and Prof. Varadraj Bapat. Work in Progress

• “Stock Trading using Deep Reinforcement Learning: An Empirical Study” with Abhilaksh Maheshwari & Prof. Bhaskar Chimmwal. Work in Progress

• “Pairs Trading in Indian Stock Market: A Machine Learning Approach” with Kunal Chabbra & Prof. Bhaskar Chimmwal. Work in Progress