Abhaya Kumar Kepulaje

@nitte.edu.in

Associate Professor, Department of MBA
Nitte Deeemed to be University, Justice K S Hegde Institute of Management

Abhaya Kumar Kepulaje


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https://researchid.co/abhay_467

RESEARCH, TEACHING, or OTHER INTERESTS

Economics, Econometrics and Finance, Business, Management and Accounting, General Economics, Econometrics and Finance, General Business, Management and Accounting
12

Scopus Publications

122

Scholar Citations

6

Scholar h-index

5

Scholar i10-index

Scopus Publications

  • Arbitrage opportunities in the energy equity futures - A study from Indian perspective
    Abhaya Kumar Kepulaje, Prakash Pinto, Iqbal Thonse Hawaldar, A. A. Bhavan Nanaiah, K. G. Ramesh, Virgil Popescu, Ramona Birau
    Multidisciplinary Science Journal, 2025
    This study aimed to examine the opportunity for arbitrage in Indian energy equity futures. Contract-wise historical spot and futures data were gathered for ten selected energy companies. The cost of carry model was used to compute the theoretical values of the futures. To generalize the results, the T-test was applied, and the run test was used to assess the randomness of the arbitrages during the contract period. The T-test results revealed that, after factoring in brokerage and taxes, most of the selected companies' arbitrage values were not equal to zero. The results of the test indicated that the arbitrage opportunities were not random during the contract period; they are highest at the beginning of the contract and gradually decrease as the delivery date approached. This study serves as a valuable reference for the traders, investors, and policymakers in the Indian market.
  • CROSS-BORDER LINKAGES BETWEEN THE GLOBAL RUBBER SPOT AND FUTURES MARKETS
    Regional and Sectoral Economic Studies, 2024
  • Examining the dependence of textile company performance on macroeconomic variables
    JAIN AKSHATHRAJ, CARINA-ELENA STEGĂROIU, VALENTIN STEGĂROIU, SHETTY PRATIK NARENDRA, KEPULAJE ABHAYA KUMAR
    Industria Textila, 2023
    The textile sector in India has good fundamentals and has become an interesting sector for equity investors. The performance of textile companies in India is volatile in the market for various reasons. This study aims to examine the dependence of Indian textile company performance on macroeconomic variables. Based on the market capitalisation, the top 10 textile companies were selected as samples for the study, the annual net profit ratio, return on asset ratio, operating ratio and the earning per share data of selected companies were collected from 31st March 2004 to 31 st March 2021. For the same period, the Inflation, Crude oil price, GDP of the service sector, GDP of the manufacturing sector and the GDP of the agricultural sector in India were gathered. The results of multivariate regression analysis revealed that the changes in Inflation, GDP from agriculture and GDP from the service sector are affecting the performance of textile companies in India.
  • ARIMA model to forecast the RSS-1 rubber price in India: A case study for textile industry
    KEPULAJE ABHAYA KUMAR, PRAKASH PINTO, CRISTI SPULBAR, RAMONA BIRAU, IQBAL THONSE HAWALDAR, SAMARTHA VISHAL, IULIANA CARMEN BĂRBĂCIORU
    Industria Textila, 2023
    Various rubber products are used in the textile industry. Due to increased foreign supply and synthetic rubber production, the price of natural Rubber in India has become more volatile. This paper aims to develop an appropriate model to predict the weekly price using the Box Jenkins methodology. The weekly price for Indian RSS-1 Rubber for the sample period from January 2002 to December 2019 has been collected from the official website of the Indian Rubber Board. ACF and PACF correlograms check the series stationarity and identify the model parameters. A model with the maximum number of significant coefficients, lowest volatility, lowest Akaike's information criterion (AIC), lowest Schwarz criterion and highest Adjusted R-squared is tentatively selected as the appropriate model and for the same model diagnostic check is carried out. An appropriate model to forecast the weekly price for the RSS-1 variety of Rubber is ARIMA (1, 1, 4).
  • Investigating the Nexus between Crude Oil Price and Stock Prices of Oil Exploration Companies
    K. Abhaya Kumar, Prakash Pinto, Iqbal Thonse Hawaldar, Saheem Shaikh, Shravan Bhagav, B. Padmanabha
    International Journal of Energy Economics and Policy, 2022
    In emerging economies, examining the linkage between different markets has become crucial. We have examined the linkage between crude oil and Indian oil exploration companies' equity prices. The augmented Dickey-Fuller method is used to test the stationarity of the series. The Granger causality test, Vector autoregression (VAR), and correlation methodologies are used to examine the causality between the markets. The p-values of Granger causality tests are less than 0.05, which confirms that the crude oil price causes the price movements of Indian oil exploration equities. The VAR (2) model confirmed that the prices of HOCE, OIL, and ONGC follow the first and second lag, Reliance and PETRONET equities follow the first lag of International crude price. The impulse response function shows a positive response of Indian oil exploration equity returns for the positive shocks of crude oil return. The findings of this study may help the traders and investors in the equity market, energy equity investors.
  • Using Econometric Models to Manage the Price Risk of Cocoa Beans: A Case from India
    Kepulaje Abhaya Kumar, Cristi Spulbar, Prakash Pinto, Iqbal Thonse Hawaldar, Ramona Birau, Jyeshtaraja Joisa
    Risks, 2022
    This study aims at developing econometric models to manage the price risk of Dry and Wet Cocoa beans with the help of ARIMA (Autoregressive Integrated Moving Average) and VAR (Vector Auto Regressive). The monthly price of Cocoa beans is collected for the period starting from April 2009 to March 2020 from the office of CAMPCO Limited, Mangalore, and the ICE Cocoa futures price from the website of investing.com. The augmented dickey fuller test is used to test the stationarity of the series. The ACF and PACF correlograms are used to identify the tentative ARIMA model. Akaike information criterion (AIC) and Schwarz criterion (SBIC), Sigma square, and adjusted R2 are used to decide on the optional AR and MA terms for the models. Durbin–Watson statistics and correlograms of the residuals are used to decide on the model’s goodness of fit. Identified optimal models were ARIMA (1, 1, 0) for the Dry Cocoa beans price series and ARIMA (1, 1, 2) for the Wet Cocoa beans price series. The multivariate VAR (1) model found that the US and London Cocoa futures prices traded on the ICE platform will influence the price of Dry Cocoa in India. This study will be helpful to forecast the price of Cocoa beans to manage the price risk, precisely for Cocoa traders, Chocolate manufacturers, Cocoa growers, and the government for planning and decision-making purposes.
  • Crude oil futures to manage the price risk of textile equities: An empirical evidence from India
    B. R. PRADEEP KUMAR, K. ABHAYA KUMAR, PRAKASH PINTO, IQBAL THONSE HAWALDAR, CRISTI SPULBAR, RAMONA BIRAU, LUCIAN CLAUDIU ANGHEL
    Industria Textila, 2022
    The textile sector in India is the oldest manufacturing sector. As the raw materials for this sector are sourced from the petrochemical industries, the earnings of Indian textile companies are dependent on the crude oil price. The crude price in the international market has become more volatile and hence, the equity price of Indian textile companies has become more volatile. This study aims to develop two price risk management strategies for Indian textile equities. Using the vector autoregressive (VAR) model, a price forecast model, further the possibility of cross hedge for textile equities with the help of crude futures is examined using the Granger causality test and Pearson correlation statistics. The results of the study showed that crude futures price in India is one of the price determinants of textile industry stock prices.
  • Investigating the impact of normal and abnormal loss factors in garment industry: A case study based on a jeans manufacturer in India
    SAHANA BHAT, K. ABHAYA KUMAR, CRISTI SPULBAR, RAMONA BIRAU, PRAKASH PINTO, IQBAL THONSE HAWALDAR, CRISTIAN REBEGEA
    Industria Textila, 2022
    This study aimed to analyse the normal and abnormal loss of a jeans manufacturing company in India. Personal interview and observation method are used in this study. Abnormal loss in quantity and rupee value is computed for 40 days of production based on the observed data. Mean abnormal losses are computed and one sample t-test is applied to test the hypotheses that the mean abnormal loss is not equal to zero. The study revealed that a normal loss of 3 to 5% is expected in any garment manufacturing company due to loss during the cutting and shrinkage process. The p-values of one sample t-test were less than 0.05 for all the tested hypotheses, hence, all the null hypotheses (H01 to H05 mean abnormal losses equal to zero) were rejected. Further, it was found that fabric is the big contributor in terms of abnormal loss. Hence, proper training for workers and recruiting of trained workers are advised to reduce abnormal losses
  • Can crude oil futures be the good hedging tool for tyre equities? Evidence from India
    K. Abhaya Kumar, Prakash Pinto, Iqbal Thonse Hawaldar, K. G. Ramesh
    International Journal of Energy Economics and Policy, 2021
    This article examines the cross-hedging performance of crude futures against the tyre equity futures to hedge the tyre equity stocks. Three multivariate conditional volatility models, namely constant conditional correlation (CCC), dynamic conditional correlation (DCC) and diagonal BEKK are applied. Using the conditional covariance and variance from the MGARCH estimates, the optimal hedge ratios (OHRs) are computed. The results of this study show that the volatility spillover exists between the returns of crude oil futures and tyre equity. However, for tyre equities, the best cross hedge is tyre equity futures rather than crude futures. All the MGARCH estimates show better hedging possibility with tyre equity futures, particularly MRF futures.Keywords: CCC; Crude future; DCC; Diagonal BEKK; Tyre equity; Tyre equity futuresJEL Classifications: G21; G30DOI: https://doi.org/10.32479/ijeep.11863
  • Crude oil futures to manage the price risk of natural rubber: Empirical evidence from India
    Kepulaje Abhaya Kumar, Prakash Pinto, Iqbal Thonse Hawaldar, Cristi Spulbar, Ramona Birau
    Agricultural Economics Czech Republic, 2021
    Crude oil futures to manage the price risk of natural rubber: Empirical evidence from India | Kepulaje Abhaya Kumar, Prakash Pinto, Iqbal Thonse Hawaldar, Cristi Spulbar, Ramona Birau | Agricultural Journals
  • Biogas from cattle dung as a source of sustainable energy: A feasibility study
    K. Abhaya Kumar, Prakash Pinto, Iqbal Thonse Hawaldar, B.R. Pradeep Kumar
    International Journal of Energy Economics and Policy, 2020
  • Impact of financial and oil price crisis on the financial performance of selected banks in Bahrain
    International Journal of Economic Research, 2017

RECENT SCHOLAR PUBLICATIONS

  • Examining the dependence of textile company performance on macroeconomic variables
    J Akshathraj, CE Stegäroiu, V Stegäroiu, SP Narendra, KA Kumar
    Industria Textila 74 (6), 713-717 , 2023
    2023
    Citations: 1
  • ARIMA model to forecast the RSS-1 rubber price in India: A case study for textile industry
    RB K. Abhaya Kumar , Prakash Pinto , Iqbal Thonse Hawaldar, Vishal Samartha
    Industria Textila 74 (2), 238-245 , 2023
    2023
    Citations: 5
  • Investigating the impact of normal and abnormal loss factors in garment industry: A case study based on a jeans manufacturer in India
    S Bhat, KA Kumar, C Spulbar, R Birau, P Pinto, IT Hawaldar, C Rebegea
    Industria Textila 73 (5), 560-563 , 2022
    2022
    Citations: 2
  • Crude oil futures to manage the price risk of textile equities: An empirical evidence from India
    B. R. Pradeep Kumar K. Abhaya Kumar , Prakash Pinto , Iqbal Thonse Hawaldar
    Industria Textila 73 (4), 438-446 , 2022
    2022
    Citations: 2
  • Investigating the Nexus between Crude Oil Price and Stock Prices of Oil Exploration Companies
    PB K. Abhaya Kumar , Prakash Pinto , Iqbal Thonse Hawaldar, Saheem Shaikh ...
    International Journal of Energy Economics and Policy 12 (4), 40-47 , 2022
    2022
  • Using Econometric Models to Manage the Price Risk of Cocoa Beans: A Case from India
    KA Kumar, P Pinto, IT Hawaldar, C Spulbar, J Birau, Ramona: Joisa
    Risks 10 (6), 115 , 2022
    2022
    Citations: 10
  • Examining the Financial Performance of Tyre Manufacturing Companies in India: A Case Study
    S Bhagav, C Spulbar, R Birau, KA Kumar, D Cinciulescu
    Analele Universitatii" Constantin Brancusi" din Targu Jiu. Serie Litere si … , 2022
    2022
    Citations: 2
  • An empirical study on opportunities and challenges to commercialize biodegradable products in Udupi and Dakshina Kannada districts of Karnataka, India.
    K Shetty, C Spulbar, R Birau, KA Kumar, D MB, PV Ninulescu
    Revista de Stiinte Politice/Revue des Sciences Politiques , 2022
    2022
    Citations: 1
  • Using Econometric Models to Manage the Price Risk of Cocoa Beans: A Case from India. Risks, 10, 115
    KA Kumar, C Spulbar, P Pinto, IT Hawaldar, R Birau, J Joisa
    2022
    Citations: 2
  • Can Crude Oil Futures be the Good Hedging Tool for Tyre Equities? Evidence from India
    KA Kumar, P Pinto, IT Hawaldar, KG Ramesh
    International Journal of Energy Economics and Policy 11 (6), 523-537 , 2021
    2021
    Citations: 4
  • Crude oil futures to manage the price risk of natural rubber: Empirical evidence from India
    KA Kumar, P Pinto, IT Hawaldar, C Spulbar, R Birau
    Agricultural Economics- Czech 67 (10), 423-434 , 2021
    2021
    Citations: 20
  • Market reaction for event demonetization: A case study for India
    R Birau, C Spulbar, KA Kumar, CL Amin, K Poojary, C Rebegea
    Revista de Stiinte Politice, 27-40 , 2021
    2021
  • Forecasting Areca Nut Market Prices Using The Arima Model: A Case Study Of India
    KA Kumar, P Pinto, IT Hawaldar, C Spulbar, R Birau, ME Loredana
    Annals-Economy Series 2, 4-18 , 2021
    2021
    Citations: 6
  • Biogas from Cattle Dung as a Source of Sustainable Energy: A Feasibility Stud
    KA Kumar, P Pinto, IT Hawaldar, PK B. R
    International Journal of Energy Economics and Policy 10 (6), 370 - 375 , 2020
    2020
    Citations: 5
  • Impact of financial and oil price crisis on the financial performance of selected banks in Bahrain
    IT Hawaldar, R Mathukutti, L Lokesh, A Kumar
    International Journal of Economic Research 14 (18), 83-96 , 2017
    2017
    Citations: 12
  • Performance analysis of commercial banks in the kingdom of Bahrain (2001-2015)
    IT Hawaldar, KA Kumar, P Pinto, SM Sison
    International Journal of Economics and Financial Issues 7 (3), 729-737 , 2017
    2017
    Citations: 40
  • Earnings information and stock market efficiency
    NR Joseph, N Kumar, K Lokesh, A Kumar
    American Scientific Research Journal for Engineering, Technology, and … , 2017
    2017
    Citations: 10

MOST CITED SCHOLAR PUBLICATIONS

  • Performance analysis of commercial banks in the kingdom of Bahrain (2001-2015)
    IT Hawaldar, KA Kumar, P Pinto, SM Sison
    International Journal of Economics and Financial Issues 7 (3), 729-737 , 2017
    2017
    Citations: 40
  • Crude oil futures to manage the price risk of natural rubber: Empirical evidence from India
    KA Kumar, P Pinto, IT Hawaldar, C Spulbar, R Birau
    Agricultural Economics- Czech 67 (10), 423-434 , 2021
    2021
    Citations: 20
  • Impact of financial and oil price crisis on the financial performance of selected banks in Bahrain
    IT Hawaldar, R Mathukutti, L Lokesh, A Kumar
    International Journal of Economic Research 14 (18), 83-96 , 2017
    2017
    Citations: 12
  • Using Econometric Models to Manage the Price Risk of Cocoa Beans: A Case from India
    KA Kumar, P Pinto, IT Hawaldar, C Spulbar, J Birau, Ramona: Joisa
    Risks 10 (6), 115 , 2022
    2022
    Citations: 10
  • Earnings information and stock market efficiency
    NR Joseph, N Kumar, K Lokesh, A Kumar
    American Scientific Research Journal for Engineering, Technology, and … , 2017
    2017
    Citations: 10
  • Forecasting Areca Nut Market Prices Using The Arima Model: A Case Study Of India
    KA Kumar, P Pinto, IT Hawaldar, C Spulbar, R Birau, ME Loredana
    Annals-Economy Series 2, 4-18 , 2021
    2021
    Citations: 6
  • ARIMA model to forecast the RSS-1 rubber price in India: A case study for textile industry
    RB K. Abhaya Kumar , Prakash Pinto , Iqbal Thonse Hawaldar, Vishal Samartha
    Industria Textila 74 (2), 238-245 , 2023
    2023
    Citations: 5
  • Biogas from Cattle Dung as a Source of Sustainable Energy: A Feasibility Stud
    KA Kumar, P Pinto, IT Hawaldar, PK B. R
    International Journal of Energy Economics and Policy 10 (6), 370 - 375 , 2020
    2020
    Citations: 5
  • Can Crude Oil Futures be the Good Hedging Tool for Tyre Equities? Evidence from India
    KA Kumar, P Pinto, IT Hawaldar, KG Ramesh
    International Journal of Energy Economics and Policy 11 (6), 523-537 , 2021
    2021
    Citations: 4
  • Investigating the impact of normal and abnormal loss factors in garment industry: A case study based on a jeans manufacturer in India
    S Bhat, KA Kumar, C Spulbar, R Birau, P Pinto, IT Hawaldar, C Rebegea
    Industria Textila 73 (5), 560-563 , 2022
    2022
    Citations: 2
  • Crude oil futures to manage the price risk of textile equities: An empirical evidence from India
    B. R. Pradeep Kumar K. Abhaya Kumar , Prakash Pinto , Iqbal Thonse Hawaldar
    Industria Textila 73 (4), 438-446 , 2022
    2022
    Citations: 2
  • Examining the Financial Performance of Tyre Manufacturing Companies in India: A Case Study
    S Bhagav, C Spulbar, R Birau, KA Kumar, D Cinciulescu
    Analele Universitatii" Constantin Brancusi" din Targu Jiu. Serie Litere si … , 2022
    2022
    Citations: 2
  • Using Econometric Models to Manage the Price Risk of Cocoa Beans: A Case from India. Risks, 10, 115
    KA Kumar, C Spulbar, P Pinto, IT Hawaldar, R Birau, J Joisa
    2022
    Citations: 2
  • Examining the dependence of textile company performance on macroeconomic variables
    J Akshathraj, CE Stegäroiu, V Stegäroiu, SP Narendra, KA Kumar
    Industria Textila 74 (6), 713-717 , 2023
    2023
    Citations: 1
  • An empirical study on opportunities and challenges to commercialize biodegradable products in Udupi and Dakshina Kannada districts of Karnataka, India.
    K Shetty, C Spulbar, R Birau, KA Kumar, D MB, PV Ninulescu
    Revista de Stiinte Politice/Revue des Sciences Politiques , 2022
    2022
    Citations: 1
  • Investigating the Nexus between Crude Oil Price and Stock Prices of Oil Exploration Companies
    PB K. Abhaya Kumar , Prakash Pinto , Iqbal Thonse Hawaldar, Saheem Shaikh ...
    International Journal of Energy Economics and Policy 12 (4), 40-47 , 2022
    2022
  • Market reaction for event demonetization: A case study for India
    R Birau, C Spulbar, KA Kumar, CL Amin, K Poojary, C Rebegea
    Revista de Stiinte Politice, 27-40 , 2021
    2021