Publications
Check publications on Researchgate and Google Scholar.
2018 - 2023:
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Journal Articles
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Roy, P. , Ahmad, W., Sadorsky, P., and Phani, B. V.,“What do we know about the idiosyncratic risk of clean energy equities? ”, Energy Economics , 112(8), 106167, 2022.
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Siddiqui, S., and Roy, P., “Probing Cross-Market Diversification: Opportunities in Energy Commodities”, Finance India , 36(3), 1043-1068, 2022.
- Siddiqui, S., and Roy, P., “Asymmetric Effects of Exchange Rate and Its Relationship with Foreign Investments: A Case of Indian Stock Market”, Vision: The Journal of Business Perspective , 25(4), 415-427, 2021.
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Khan, M. A., Roy, P., Siddiqui, S., and Alakkas, A. A., “Systemic Risk Assessment: Aggregated and Disaggregated Analysis on Selected Indian Banks, Complexity , 8360778, 2021.
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Siddiqui, S., and Roy, P., “Stock Return Dynamics and Portfolio Hedging: A Case of Leading Oil Consuming Economies”, SCMS: Journal of Indian Management , 15(2), 91-105, 2021.
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Siddiqui, S., and Roy, P., “Asymmetric information linkages across select futures and spot indices: Evidence using Wavelet- based GARCH model”, Journal of Advances in Management Research, 17(3), 397-419, 2020.
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Saurabh, S. and Roy, P., "Signs of Financial Distress at Jet Airways – The Way Forward”, AIMA India Case Research Centre, Product Number: 529, 2022.
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Siddiqui, S. and Roy, P., “Airtel Payments Bank Limited: Furthering Financial Inclusion”, Ivey Publishing, Business School at Western University Canada, Product Number: 9B19M001, 2019.
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Dhanagare, A., Saurabh, S. and Roy, P., "Consumer Investment Behavior”, A Research Agenda for Consumer Financial Behavior – Edward Elgar Publishing, June 2023.
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Does ESG Disclosure offer value and economic relevance during COVID-19 pandemic uncertainty? (co-authored with Prof. Suman Saurabh), Indian Finance Conference, 19th − 21th December, 2022, IIM Calcutta, India.
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Does ESG Disclosure offer value and economic relevance during COVID-19 pandemic uncertainty? (co-authored with Prof. Suman Saurabh), World Finance and Banking Symposium, 16th − 17th December, 2022, Florida International University, Miami.
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Exploring the Systemic Risk from Global Risk Spillover Networks: Evidence from Ex-ante Volatility Measures (co-authored with Prof. Wasim Ahmad), 8th International Conference on Empirical Issues in International Trade and Finance, 15th − 16th December, 2022, IIFT, New Delhi, India.
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Does Liquidity Beta Anomaly Hold for India? Firm-Level Evidence from Twin Episodes of Crisis (co-authored with Prof. Wasim Ahmad & khushbu Kumawat), 8th Indian Finance Conference, 15th − 16th December, 2022, IIFT, New Delhi, India.
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Does the ESG disclosure during uncertain environment offers substantial opportunities in Indian stock market? (co-authored with Prof. Suman Saurabh), International Conference on Sustainable Development Goals- 2022, organized by IIM Bodhgaya, on 16th − 17th September, 2022. (Best Paper Award)
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Modelling the Idiosyncratic Risk of Clean Energy Equities (co-authored with Prof. Wasim Ahmad), 4th International Conference on Financial Markets and Corporate Finance, 7th − 9th July, 2022, IIT Bombay, India.
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ESG Disclosure and Firm Risk: A Case of India’s Environmentally Sensitive Sector (co-authored with Prof. Suman Saurabh), 12th Conference on Excellence in Research and Education, 3rd− 5th June, 2022, IIM Indore, India.
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Signs of Financial Distress at Jet Airways – The Way Forward (co-authored with Prof. Suman Saurabh), 2nd AIMA-ICRC, Case Writing Competition and Conference, 24th − 25th March, New Delhi, India. (Excellence Award)
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Non-financial Disclosure and Firm Risk: A Case of India’s Environmentally Sensitive Sector (co-authored with Prof. Suman Saurabh), International Conference on Banking and Finance, 25th − 26th February, 2022, IMI Bhubaneshwar, India.
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ESG and Corporate Financial Performance: A Meta-Analysis (co-authored with Prof. Monica Singhania), XVI International Conference on Public Policy and Management, 23rd − 25th August, 2021, IIM Bangalore, Bangalore, India.
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Systemic Risk in Select Indian Banks: Evidence from Aggregated and Dis- aggregated Analysis(co-authored with Prof. Saif Siddiqui), 6th International Management Conference on Advances in Management through Research, Innovation and Technology, Organized by Fortune Institute of International Business, 2020, 16th−18th December, 2020, New Delhi, India. (Best Paper Award in Finance Track)
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Wavelet Based Information and Portfolio Management: A Tale of Emerging Futures Market (co-authored with Prof. Saif Siddiqui), 7th PAN IIM World Management Conference, 2019, 12th −14th December, 2019, IIM Rohtak, India.
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Modelling Cross-Market Volatility and Co-Movement (co-authored with Prof. Saif Siddiqui), 2nd International Conference on “Contemporary Issues in Economics, Management and Business”, 2019, 26th − 27th November, 2019, Hanoi, Vietnam.
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Asymmetric Effects of Exchange Rate and Foreign Institutional Investments in India: A Nonlinear ARDL Approach (co-authored with Prof. Saif Siddiqui), 6th International Conference on Business Analytics and Intelligence (ICBAI) 2018, 20th − 22nd December 2018, IISc Bangalore, India.
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Nonlinear Exchange Rate Movements and Relation with FII’s and Nifty 50 (co-authored with Prof. Saif Siddiqui), 6th IIFT Conference on Empirical Issues in International Trade and Finance, 13th − 14th December 2018, New Delhi.
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Examining Asymmetric Relationship between India VIX, Nifty 50 Returns and Trading Volume: A case of Quantile Regression (co-authored with Prof. Saif Siddiqui), First PAN IIT International Management Conference 2018, November 30- December 2, 2018, IIT Roorkee, Uttarakhand, India. (Emerald Best Paper Award )
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Stock, Energy and Foreign Exchange Markets in India: Modelling Volatility Persistence and Co-movement (co-authored with Prof. Saif Siddiqui), Global Business Research Symposium, 29th −30th November, 2018, University of Riverside, USA.
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Co-integrating among Brent Crude Oil, Nifty 50 and Exchange Rate: An ARDL –Bounds Testing Approach (co-authored with Prof. Saif Siddiqui), 3rd International Conference on Financial Markets and Corporate Finance, 12th− 14thJuly, 2018, Indian Institute of Technology Kanpur, India.
Case Studies
Book Chapters
Conference Papers