Browsing by Author "Chakrabarti, Prasenjit."

Nandy, Amarendu.; Chakrabarti, Prasenjit. (Financial Express, 2021-05-24)

Co-movement of volatility risk premium: evidence from single stock options market in India

Chakrabarti, Prasenjit. (Applied Economics Letters, 2021)

This study investigates the existence of commonality of volatility risk premium in the index and individual stock options. Using data from the National Stock Exchange (NSE) India, the study finds that the commonality ...

COVID-19 pandemic and global financial market interlinkages: a dynamic temporal network analysis

Chakrabarti, Prasenjit.; Jawed, Mohammad Shameem.; Sarkhel, Manish. (Applied Economics, 2021-06)

The present study investigates the changes in G20 stock market dynamics and their interlinkages in the aftermath of COVID-19. It utilizes the Detrended Cross-Correlation Analysis (DCCA) along with the network and ...

Cross-sectional drivers of systematic volatility risk: evidence from stock options

Chakrabarti, Prasenjit.; Shankar, R. L.; Kumar, K Kiran. (Presented at the 27th Annual Conference of the Multinational Finance Society 2020. Poland, 2020-06-28)

In this paper, we study whether investors demand the systematic component of the volatility risk (VRP Beta) in the options market. We explore the possible determinants of the systematic component of the volatility risk. ...

Does group affiliation impact financial constraints? Evidence from India

Bhatia, Prince.; Chakrabarti, Prasenjit. (Managerial Finance, 2022)

Purpose – This study aims to primarily investigate two vital questions: First, the authors examine whether group-affiliated firms are more (less) financially constrained vis- a-vis standalone firms. The authors estimate working ...

Foreign currency borrowing and risk exposure of firms: an emerging market economy viewpoint

Chakrabarti, Prasenjit.; Sen, Sudipta. (Indian Statistical Institute, New Delhi, 2021-12-20)

The moral hazard headache

Chakrabarti, Prasenjit.; Sen, S. (The Hindu Business Line, 2021-09-23)

Options order flow, volatility demand and variance risk premium

Chakrabarti, Prasenjit.; Kotha, Kiran Kumar. (Multinational Finance Society, 2017)

This study investigates whether volatility demand information in the order flow of Indian Nifty index options impacts the magnitude of variance risk premium change. The study further examines whether the sign of variance ...

RBI’s gamble on banks’ balance sheets

Sen, Sudipta.; Chakrabarti, Prasenjit. (The Hindu Business Line, 2022-02-16)

Role of financial characteristics, governance and ownership structure during Covid-19 Crisis

Srivastava, Abhishek.; Chakrabarti, Prasenjit. (IIM Bangalore, India, 2021-12-16)

Transmission of funding liquidity shocks in the options market: evidence from India

Chakrabarti, Prasenjit.; Sen, Sudipta. (Applied Economics Letters, 2021)

The extant literature examines the interactions between funding liquidity and market volatility on the equity market. This paper extends the literature and investigates the interactions between funding liquidity and market ...

Which is the right option for Indian market: Gaussian, normal inverse Gaussian, or Tsallis?

Chakrabarti, Prasenjit.; Guhathakurata, Kousik. (IIMB Management Review, 2019-09)

This paper models Nifty spot prices using frameworks based on Gaussian distribution (geometric Brownian motion) and non-Gaussian distributions, viz. normal inverse Gaussian (NIG), and Tsallis distributions, to investigate ...

Why a bad bank needs a sunset clause

Sen, S.; Chakrabarti, Prasenjit. (The Hindu Business Line, 2021-11-11)

Working capital management, financial performance and growth of firms: empirical evidence from India

Sawarni, Kumar Sanjay.; Narayanasamy, Sivasankaran.; Chattopadhyay, Subir.; Chakrabarti, Prasenjit. (Journal of Indian Business Research, 2022)

Purpose – This paper aims to investigate how firms growing at a high average rate over a period differ in their working capital management (WCM) efficiency from those growing at a low rate during the same period. It also ...

Browsing by Author "Chakrabarti, Prasenjit."

Browsing by Author "Chakrabarti, Prasenjit."

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