Commodity market, Time series analysis, financial modelling, Stock market operations
17
Scopus Publications
470
Scholar Citations
10
Scholar h-index
11
Scholar i10-index
Scopus Publications
An Application of ARIMA Model to Forecast the Dynamics of COVID-19 Epidemic in India Rupinder Katoch, Arpit Sidhu Global Business Review, 2025 The swiftly growing and overwhelming epidemic in India has intensified the question: What will the trend and magnitude of impact of the novel coronavirus disease 2019 (COVID-19) be in India in the near future? To answer the present question, the study requires ample historical data to make an accurate forecast of the blowout of expected confirmed cases. All at once, no prediction can be certain as the past seldom reiterates itself in the future likewise. Besides, forecasts are influenced by a number of factors like reliability of the data and psychological factors like perception and reaction of the people to the hazards arising from the epidemic. The present study presents a simple but powerful and objective, that is, autoregressive integrated moving average (ARIMA) approach, to analyse the temporal dynamics of the COVID-19 outbreak in India in the time window 30 January 2020 to 16 September 2020 and to predict the final size and trend of the epidemic over the period after 16 September 2020 with Indian epidemiological data at national and state levels. With the assumption that the data that have been used are reliable and that the future will continue to track the same outline as in the past, underlying forecasts based on ARIMA model suggest an unending increase in the number of confirmed COVID-19 cases in India in the near future. The present article suggests varying epidemic’s inflection point and final size for underlying states and for the mainland, India. The final size at national level is expected to reach 25,669,294 in the next 230 days, with infection point that can be expected to be projected only on 23 April 2021. The study has enormous potential to plan and make decisions to control the further spread of epidemic in India and provides objective forecasts for the confirmed cases of COVID-19 in the coming days corresponding to the respective COVID periods of the underlying regions.
Dynamics of Volatility Spillovers: Evidence from Implied Volatility Indexes to Conventional and Green Equities in the Indian Context Southeast Asian Journal of Economics, 2025
Unmasking market turmoil by decoding stock market dynamics post-fraud allegations: Evidence from Adani-Hindenburg case Nishant Sapra, Shubham Kakran, Arpit Sidhu, Ashish Kumar Journal of Corporate Accounting and Finance, 2024 The article investigates how the devastating repercussions of fraud allegations, as outlined in the Hindenburg report, are actively and critically affecting the stock prices of the Adani Group. This investigation, which explores the foundation of the accused companies' financial health and market trust, is crucial. These ramifications go far beyond Adani Group and are highly relevant to potential investors globally, highlighting the urgent need for a thorough comprehension of these dynamics in the context of the global market environment. The journey from stock market crash to market correction is analyzed using the theoretical lens of Risk Aversion theory. At the same time, the Efficient Market Hypothesis (EMH) assumptions are being tested. The study employs a long‐term event study approach to analyze the stock price impact of the Hindenburg report using the Cumulative Abnormal Returns (CAR) methodology. For analysis, a sample of six Adani group companies and relevant stakeholders like creditors, LIC, immediate counterparts of each company, and NIFTY bank indices are considered. The study finds that the stock prices of four out of six Adani Group companies declined significantly after the Hindenburg report, defying the assumptions of the EMH. Risk‐seeking investors' regulatory assurance and investment may have helped in a market correction. The associated banks (lenders to Adani) and Banking indices depicted a price decline on the second and third days, which reversed on the fourth day, indicating a diminished spillover effect. Moreover, no competitor besides Tata Power saw abnormally large gains. This study analyses the event from the lens of Risk aversion and tests the assumption of EMH. The study concludes that these findings have practical implications for investors (risk‐averse and risk‐seeking), policymakers, and researchers.
Government Healthcare Initiatives and the Demand for Pharmaceuticals Pharma Marketing and Pharmacoeconomics Opportunities Challenges and the Way Forward, 2024
The Environment of Marketing Management in Transitory Businesses Pharma Marketing and Pharmacoeconomics Opportunities Challenges and the Way Forward, 2024
Volatility spillover effects and risk assessment of Indian green stocks: a DCC-GARCH analysis Ubaid Ahmad Peer, Rupinder Katoch, Arpit Sidhu Journal of Energy Markets, 2023 Green investing is becoming popular in India as the government aims to reduce CO2 emissions through eco-friendly projects. However, these investments in Indian green companies are new and may face price fluctuations and risks linked to other assets. To better understand these risks, we employ a dynamic conditional correlation– generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model, enabling us to analyze market interdependence by estimating time-varying conditional correlation using monthly data. Our study focuses on the volatility spillover effects within Indian sustainability indexes (S&P BSE CARBONEX and S&P BSE GREENEX), which can be predicted based on information regarding the market volatility of traditional stocks, crude oil and economic policy uncertainty. We show that there is high persistence in the conditional variances for all pairs, indicating that past shocks to volatility have a long-lasting impact on future volatility. However, the effects of ARCH are found to be weak, suggesting that recent volatility innovations have a limited influence on future volatility. The DCC persistence is found to be significantly positive for all pairs, indicating a strong dynamic dependence between the volatilities of pairs of assets. Understanding these dynamics can guide both portfolio diversification for investors and the crafting of effective policies.
Impact of Investors’ Attention on the Global Stock Market: A Bibliometric Analysis Sheenam Lohan, Arpit Sidhu, Shubham Kakran Indian Journal of Finance, 2023 Purpose: The stock market is a highly dynamic financial marketplace that drives economic progress. This study employed bibliometric analysis, using tools like Biblioshiny and VOSviewer, to execute quantitative analysis on research papers around the stock market in terms of investor attention. It improved the literature review’s quality by analyzing 632 research papers from the Scopus database. Design/Methodology/Approach: The selected papers from 1994 to 2022 were reviewed and analyzed. A conceptual model identified significant themes, while a thematic map provided a comprehensive visual representation of the interconnections. Results: The analysis yielded noteworthy findings, highlighting a significant surge in academic publications. Most of the research regarding investor attention and the stock market has been concentrated in China, the UK, the USA, and Australia, indicating this topic’s global relevance. Among the identified high-frequency keywords, investor attention, investment, and attention stood out as prominent themes within the literature. Finance Research Letters and Pacific-Basin Finance Journal were identified as influential publication outlets. Originality/Value: This research introduced novel bibliometric analysis techniques, providing robust insights into the stock market concerning investor’s attention. Integrating a conceptual model and thematic map enhanced understanding and contributed innovatively to the field. Practical Implications: The study offered regulatory implications, aiding policymakers in understanding the stock market concerning investor’s attention. Practitioners could utilize the findings for informed decision-making in stock companies and gain insights into emerging research trends.
Bankruptcy prediction using Altman Z-score model and data envelopment analysis model: A case of public listed realty sector companies in India International Journal of Advanced Science and Technology, 2019
A Burst Bubble In Financial Stock Market Causes Financial Contagion And Volatility Spillover: A Statistical Overview A Sidhu, S Kakran Journal of Administrative Development 3 (2), 111-132 , 2026 2026
An application of ARIMA model to forecast the dynamics of COVID-19 epidemic in India R Katoch, A Sidhu Global business review 26 (2), 332-345 , 2025 2025 Citations: 61
Dynamics of Volatility Spillovers: Evidence from Implied Volatility Indexes to Conventional and Green Equities in the Indian Context UA Peer, R Katoch, A Sidhu Southeast Asian Journal of Economics 13 (1), 65-97 , 2025 2025 Citations: 2
Solar energy advances and CO2 emissions: a comparative review of leading nations' path to sustainable future S Kakran, JS Rathore, A Sidhu, A Kumar TIDEE: TERI Information Digest on Energy and Environment 24 (1), 28-29 , 2025 2025
The Environment of Marketing Management in Transitory Businesses S Kakran, A Sidhu, Abhimanyu, A Kumar Pharma Marketing and Pharmacoeconomics: Opportunities, Challenges, and the … , 2024 2024
Government Healthcare Initiatives and the Demand for Pharmaceuticals A Kumar, UP Singh, A Sidhu, S Kakran Pharma Marketing and Pharmacoeconomics, 247-276 , 2024 2024
Interrelationship dynamics between stock markets of nation under debt crisis and its major trading partners: evidence from Sri Lankan crisis S Kakran, N Sapra, A Kumar, A Sidhu Future Business Journal 10 (1), 12 , 2024 2024 Citations: 9
Solar energy advances and CO2 emissions: A comparative review of leading nations' path to sustainable future S Kakran, JS Rathore, A Sidhu, A Kumar Journal of Cleaner Production 475, 143598 , 2024 2024 Citations: 68
Exploring crisis-driven return spillovers in APEC stock markets: a frequency dynamics analysis S Kakran, V Kumari, PK Bajaj, A Sidhu The Journal of Economic Asymmetries 29, e00342 , 2024 2024 Citations: 20
The Impact Of Investor's Attention on Global Stock Market: Statistical Review of Literature S Lohan, A Sidhu, S Kakran Int. J. Business Forecasting and Marketing Intelligence 9 (2), 179-196 , 2024 2024 Citations: 10
Volatility spillover effects and risk assessment of Indian green stocks: a DCC-GARCH analysis UA Peer, R Kachoch, A Sidhu Journal of Energy Markets 16 (4), 49-71 , 2024 2024 Citations: 2
Unmasking market turmoil by decoding stock market dynamics post‐fraud allegations: Evidence from Adani‐Hindenburg case N Sapra, S Kakran, A Sidhu, A Kumar Journal of Corporate Accounting & Finance , 2024 2024 Citations: 9
Powering squarely into the future: a strategic analysis of hydrogen energy in QUAD nations A Pal, S Kakran, A Kumar, AB Youssef, UP Singh, A Sidhu International Journal of Hydrogen Energy 49, 16-41 , 2024 2024 Citations: 81
Financial contagion and volatility spillover financial stock market: The statistical review of literature S Kakran, A Sidhu, sheenam Lohan International Journal of Financial Services Management 11 (4), 282-299 , 2023 2023 Citations: 6
Novel evidence from APEC countries on stock market integration and volatility spillover: A Diebold and Yilmaz approach S Kakran, A Sidhu, PK Bajaj, V Dagar Cogent Economics & Finance 11 (2), 2254560 , 2023 2023 Citations: 67
Impact of Investors’ Attention on the Global Stock Market: A Bibliometric Analysis S Lohan, A Sidhu, S Kakran Indian Journal of Finance, 21-42 , 2023 2023 Citations: 14
India’s Renewable Energy Preparedness: Assessing the Viability of Bioethanol as a Key Element in the Green Energy Transition A Kumar, S Kakran, A Sidhu, UP Singh The Management Accountant Journal 58 (6), 52-55 , 2023 2023 Citations: 1
Hydrogen energy in BRICS-US: A whirl succeeding fuel treasure S Kakran, A Sidhu, A Kumar, AB Youssef, S Lohan Applied Energy 334, 120670 , 2023 2023 Citations: 54
Contemporary Issues In Business And Economics Volume-2 Chitsimran, A Pandey, A Sharma, A Sidhu, D Kaur, R Nagina, P Mehak, ... 2023
An Eclipse of Virtual Digital Currency in India: An Updated Review With Union Budget 2022-23 S Kakran, A Sidhu Research Bulletin 48 (3-4), 1-13 , 2023 2023
MOST CITED SCHOLAR PUBLICATIONS
Powering squarely into the future: a strategic analysis of hydrogen energy in QUAD nations A Pal, S Kakran, A Kumar, AB Youssef, UP Singh, A Sidhu International Journal of Hydrogen Energy 49, 16-41 , 2024 2024 Citations: 81
Solar energy advances and CO2 emissions: A comparative review of leading nations' path to sustainable future S Kakran, JS Rathore, A Sidhu, A Kumar Journal of Cleaner Production 475, 143598 , 2024 2024 Citations: 68
Novel evidence from APEC countries on stock market integration and volatility spillover: A Diebold and Yilmaz approach S Kakran, A Sidhu, PK Bajaj, V Dagar Cogent Economics & Finance 11 (2), 2254560 , 2023 2023 Citations: 67
An application of ARIMA model to forecast the dynamics of COVID-19 epidemic in India R Katoch, A Sidhu Global business review 26 (2), 332-345 , 2025 2025 Citations: 61
Hydrogen energy in BRICS-US: A whirl succeeding fuel treasure S Kakran, A Sidhu, A Kumar, AB Youssef, S Lohan Applied Energy 334, 120670 , 2023 2023 Citations: 54
Exploring crisis-driven return spillovers in APEC stock markets: a frequency dynamics analysis S Kakran, V Kumari, PK Bajaj, A Sidhu The Journal of Economic Asymmetries 29, e00342 , 2024 2024 Citations: 20
Online food delivery industry in India: A case of customer satisfaction dynamics R Katoch, A Sidhu Advances in Mathematics: Scientific Journal 10 (1), 507-516 , 2021 2021 Citations: 15
Impact of Investors’ Attention on the Global Stock Market: A Bibliometric Analysis S Lohan, A Sidhu, S Kakran Indian Journal of Finance, 21-42 , 2023 2023 Citations: 14
Price Discovery and Volatility Spillover for Indian Energy Futures Market in the Pre-and Post-Crisis Periods N Seth, A Sidhu Indian Journal of finance 15 (8), 24-39 , 2021 2021 Citations: 11
The Impact Of Investor's Attention on Global Stock Market: Statistical Review of Literature S Lohan, A Sidhu, S Kakran Int. J. Business Forecasting and Marketing Intelligence 9 (2), 179-196 , 2024 2024 Citations: 10
Price discovery and volatility spillovers in commodity market: a review of empirical literature N Seth, A Sidhu International Journal of Financial Markets and Derivatives 7 (3), 291-314 , 2020 2020 Citations: 10
Interrelationship dynamics between stock markets of nation under debt crisis and its major trading partners: evidence from Sri Lankan crisis S Kakran, N Sapra, A Kumar, A Sidhu Future Business Journal 10 (1), 12 , 2024 2024 Citations: 9
Unmasking market turmoil by decoding stock market dynamics post‐fraud allegations: Evidence from Adani‐Hindenburg case N Sapra, S Kakran, A Sidhu, A Kumar Journal of Corporate Accounting & Finance , 2024 2024 Citations: 9
Price Discovery and Volatility Spillovers in Indian Wheat Market: An Empirical Analysis N Seth, A Sidhu IUP Journal of Applied Finance 24 (2), 5-20 , 2018 2018 Citations: 8
Bankruptcy Prediction Using Altman Z-Score Model and Data Envelopment Analysis Model: A Case of Public Listed Realty Sector Companies in India D Sidhu, R Katoch Sidhu, A. and Katoch, 399-411 , 2019 2019 Citations: 7
Financial contagion and volatility spillover financial stock market: The statistical review of literature S Kakran, A Sidhu, sheenam Lohan International Journal of Financial Services Management 11 (4), 282-299 , 2023 2023 Citations: 6
DO INTERNATIONAL GOLD PRICES AND NSE NIFTY 50 MOVE TOGETHER? A Sidhu, R Katoch Advances in Mathematics: Scientific Journal 10 (1), 497-506 , 2021 2021 Citations: 6
AN ANALYSIS FOR UNIT ROOT TESTING OF EMERGING ASIAN EQUITY MARKETS A Sidhu, R Katoch, S kakran PalArch's Journal of Archaeology of Egypt/Egyptology 18 (08), 905-915 , 2021 2021 Citations: 3
Dynamics of Volatility Spillovers: Evidence from Implied Volatility Indexes to Conventional and Green Equities in the Indian Context UA Peer, R Katoch, A Sidhu Southeast Asian Journal of Economics 13 (1), 65-97 , 2025 2025 Citations: 2
Volatility spillover effects and risk assessment of Indian green stocks: a DCC-GARCH analysis UA Peer, R Kachoch, A Sidhu Journal of Energy Markets 16 (4), 49-71 , 2024 2024 Citations: 2
