Faculty at School of Management and Entrepreneurship

Vipul Kumar Singh

Vipul Kumar Singh

Associate Professor

School of Management & Entrepreneurship


Contact Information

  • Volatility Modeling and Forecasting of financial assets
  • Systemic Risk, Financial Contagion, and Spillover Connectedness
  • Derivatives and Options Pricing
  • Portfolio Management and Asset Allocation Strategies
  • News Analytics and Macroeconomic Impact Analysis on financial markets and investor behavior

  • Ph.D. in Financial Mathematics  from Jamia Millia Islamia Central University, New Delhi (2011);
  • M.Sc. in Mathematics with Computer Science from Jamia Millia Islamia Central University, New Delhi (2003); graduated with distinction.
  • B.Sc. from University of Delhi (2001); First Division.
  • 12th Grade (CBSE) – Nehru Public School, CBSE, Ghaziabad (1997); First Division.
  • 10th Grade (CBSE) – NBN Public School, CBSE, Ghaziabad (1995); First Division.

  • Indian Institute of Management (IIM) Mumbai – Associate Professor (Finance), March 2022 – January 2025
  • Indian Institute of Management (IIM) Mumbai – Assistant Professor (Finance), April 2015 – March 2022
  • Institute of Management Technology (IMT), Nagpur – Assistant Professor (Finance), February 2012 – April 2015
  • IILM College of Management Studies, Greater Noida – Assistant Professor (Finance), November 2010 – February 2012
  • Indiabulls Securities Ltd., Gurugram – Senior Research Analyst (Derivatives & Technical), November 2008 – November 2010
  • Bajaj Capital Ltd., New Delhi – Senior Manager (Research), December 2007 – November 2008

  • AIMS International Outstanding Young Management Researcher Award – Received at the 17th AIMS International Conference held at IIM Kozhikode in 2020.
  • Bestseller Award (2024) – Ranked 4th among top-selling case studies for the coauthored work titled “Zerodha: Sustaining a Leadership Position in India.” Published in Ivey Publishing, Canada.

  • International Association for Quantitative Finance (IAQF)
  • The Bachelier Finance Society

  1. Kumar, P., & Singh, V.K. (2025). Quadrant categorization of spillover determinants of sovereign risk of BRICIT nations: a Bayesian approach. Financial Innovation, 11, Article No. 64. https://doi.org/10.1186/s40854-024-00699-z  (WOS Q1, ABS 2)
  2. Gupta, M., Singh, V.K. & Kumar, P. (2025). Resilience of green bonds in portfolio diversification: evidence from crisis periods. Journal of Asset Management. https://doi.org/10.1057/s41260-024-00393-w (WOS Q2, ABDC B, ABS 2)
  3. Kumar, P., & Singh, V. K. (2024). Cross-border sovereign risk transmission in BRICIT Nations: Unveiling asymmetries and the role of country risk premiums. Borsa Istanbul Review, 24(6), 1263-1274. https://doi.org/10.1016/j.bir.2024.07.010 (WOS Q1)
  4. Singh, V. K., & Kumar, P. (2024). Beyond volatility: Systemic resilience and risk mitigation in interconnected commodity markets. Energy Economics, 140(December), 107953. https://doi.org/10.1016/j.eneco.2024.107953 (WOS Q1, ABDC A*, ABS 3)
  5. Singh, V. K., & Kumar, P. (2024). Effectiveness of deterministic option pricing models: new evidence from Nifty and Bank Nifty Index options. Journal of Asset Management, 25, 172–189. https://doi.org/10.1057/s41260-024-00348-1 (WOS Q2, ABDC B, ABS 2)
  6. Bajaj, V., Kumar, P., & Singh, V. K. (2023). Systemwide directional connectedness from Crude Oil to sovereign credit risk. Journal of Commodity Markets, Volume 30(June), Article No. 100272. https://doi.org/10.1016/j.jcomm.2022.100272  (WOS Q1, ABDC A, ABS 3)
  7. Kumar, P., Singh, V K, & Rao, S. (2023). Does the substitution effect lead to feedback effect linkage between ethanol, crude oil, and soft agricultural commodities? Energy Economics, Volume 119 (March), Article No. 106574. https://doi.org/10.1016/j.eneco.2023.106574 (WOS Q1, ABDC A*, ABS 3)
  8. Kumar, P., Singh, V K, & Rao, S. (2023). Examining the Time Varying Spillover Dynamics of Indian Financial Indictors from Global and Local Economic Uncertainty. Journal of Quantitative Economics, Volume 21(99–121). https://doi.org/10.1007/s40953-022-00333-8 (WOS Q3, ABDC B)
  9. Kumar, P., & Singh, V. K. (2022). Does Crude Oil Fire the Emerging Markets Currencies Contagion Spillover? A Systemic Perspective. Energy Economics, Volume 116 (December), Article No. 106384. (WOS Q1, ABDC A*, ABS 3) https://doi.org/10.1016/j.eneco.2022.106384
  10. Kumar, P., & Singh, V. K. (2022). Systemic spillover dynamics of crude oil with Indian Financial indicators in post WPI revision and COVID era. Resources Policy, Volume 77 (August), Article No.102773. https://doi.org/10.1016/j.resourpol.2022.102773 (WOS Q1, ABDC B, ABS 2)
  11. Bajaj, V., Kumar, P., & Singh, V. K. (2022). Linkage Dynamics of Sovereign Credit Risk and Financial Markets: A Bibliometric Analysis. Research in International Business and Finance, 59 (January 2022), Article No. 101566. https://doi.org/10.1016/j.ribaf.2021.101566  (WOS Q1, ABDC B, ABS 2)
  12. Purankar, S., & Singh, V. K. (2020). Dynamic volatility spillover connectedness of sectoral indices of commodity and equity: evidence from India. International Journal of Management Practice, 13 (2), 151-177. (WOS Q3) https://doi/pdf/10.1504/IJMP.2020.105670
  13. Singh, V. K., Kumar, P., & Nishant, S. (2019). Global Connectedness of MSCI Energy Equity Indices: A System-wide Network Approach. Energy Economics, 84 (October 2019), Article No. 104477. https://doi.org/10.1016/j.eneco.2019.104477  (WOS Q1, ABDC A*, ABS 3)
  14. Singh, V. K., Kumar, P., & Nishant, S. (2019). Feedback Spillover Dynamics of Crude Oil and Global Assets Indicators: A System-wide Network Perspective. Energy Economics, 80(May), 321-335. https://doi.org/10.1016/j.eneco.2019.01.005  (WOS Q1, ABDC A*, ABS 3)
  15. Singh, V. K. (2019). Day-of-the Week Effect of Major Currency Pairs: New Evidence from Investors Fear Gauge. Journal of Asset Management, 20 (7), 493–507. https://doi.org/10.1108/JFEP-03-2018-0042 (WOS Q2, ABDC B, ABS 2)
  16. Panda, A. K., Nanda, S., Singh, V. K., & Kumar, S. (2019). Evidence of leverage effects and volatility spillover among exchange rates of selected emerging and growth leading economies. Journal of Financial Economic Policy, 11(2), 174-192. https://doi.org/10.1108/JFEP-03-2018-0042 (WOS Q3, ABDC B, ABS 1)
  17. Singh, V. K., Nishant, S., & Kumar, P. (2018). Dynamic and Directional Network Connectedness of Crude Oil and Currencies: Evidence from Implied Volatility. Energy Economics, 76 (October), 48-63. https://doi.org/10.1016/j.eneco.2018.09.018  (WOS Q1, ABDC A*, ABS 3)
  18. Panda, A. K., Nanda, S., Singh, V. K., & Kumar, S. (2019). Evidence of leverage effects and volatility spillover among exchange rates of selected emerging and growth leading economies. Journal of Financial Economic Policy, 11(2), 174-192. https://doi.org/10.1108/JFEP-03-2018-0042 (WOS Q3, ABDC B, ABS 1)
  19. Singh, V. K., Nishant, S., & Kumar, P. (2018). Dynamic and Directional Network Connectedness of Crude Oil and Currencies: Evidence from Implied Volatility. Energy Economics, 76 (October), 48-63. https://doi.org/10.1016/j.eneco.2018.09.018  (WOS Q1, ABDC A*, ABS 3)
  20. Singh, V. K. (2018). Trading Derivatives Options Contracts: The Associated Risk and Potential. Emerald Emerging Markets Case Studies, 8 (4), 1-22. https://doi.org/10.1108/EEMCS-01-2018-0005 
  21. Purankar, S., & Singh, V. K. (2017). Portfolio Cointegration Dynamics of Metal and Energy Commodities: Evidence from India. International Journal of Management Practice, 10(3), 273-294. DOI: 10.1504/IJMP.2017.10003815 (WOS Q3)
  22. Purankar, S., & Singh, V. K. (2017). Does Inclusion of Agriculture Futures Contracts Provides Enough Portfolio Diversification? Evidence from India. International Journal of Management Practice, 10(4), 422-444. DOI: 10.1504/IJMP.2017.086894 (WOS Q3)
  23. Purankar, S., & Singh, V. K. (2017). Interdependence Dynamics of Commodity Derivatives and Macroeconomic Factors: Evidence from India. International Journal of Applied Business and Economic Research, 15 (9), 85-106.
  24. Singh, V. K. (2016). Price and Hedging Competitiveness of Discrete Option Pricing Models: Evidence from India. Journal of Asset Management, 17(6), 453-475. https://doi.org/10.1057/s41260-016-0024-5 (WOS Q2, ABDC B, ABS 2)
  25. Singh, V. K. (2016). Parliamentary Elections Creates more “Options”: Evidence from World's Largest Democracy "India.” Journal of Asset Management, 17(5), 375-392. https://doi.org/10.1057/jam.2016.23 (WOS Q2, ABDC B, ABS 2)
  26. Singh, V. K., & Ahmed, F. (2016). Econometric Analysis of Financial Cointegration of Least Developed Countries (LDCs) of Asia and the Pacific. China Finance Review International, Emerald, Vol. 6(2), 208-227. https://doi.org/10.1108/CFRI-06-2015-0056 (WOS Q1, ABDC C, ABS 1)
  27. Ahmed, F., & Singh, V. K. (2016). Financial Integration among RCEP (ASEAN+6) Economies: Evidences from Stock and Forex Markets. South Asian Journal of Management, Vol. 23(1), 164-188. (ABDC C)
  28. Singh, V. K. (2015). Conjoint Analysis of Option and Volatility Models: Empirical Evidence from Recent Waves of Financial Upheavals. Journal of Emerging Market Finance, SAGE Publication, Vol. 14(3), 258-289. https://doi.org/10.1177/0972652714567997 (WOS Q3, ABDC B, ABS 2)
  29. Singh, V. K. (2015). Pricing Competitiveness of Jump-Diffusion Option Pricing Models: Evidence from Recent Financial Upheavals. Studies in Economics and Finance, Emerald, Vol. 32(3), 357-378. https://doi.org/10.1108/SEF-08-2012-0099 (WOS Q2, ABDC B, ABS 1)
  30. Singh, V. K. (2014). Black-Scholes Options Pricing Formula: Confluence of Financial Economics, Mathematics, and Computational Science. Asia-Pacific Journal of Management Research and Innovation, SAGE Publication, Vol. 10(1), 1-17. https://doi.org/10.1177/2319510X14529492
  31. Singh, V. K. (2014). Competency of Monte Carlo and Black-Scholes in Pricing Nifty Index Options: a vis-à-vis Study. Monte Carlo Methods and Applications, Walter de Gruyter GmbH, Germany, Vol. 20(1), 61-76. https://doi.org/10.1515/mcma-2013-0017 (WOS Q4, ABDC C)
  32. Singh, V. K. (2014). Parity Analysis of Non-log Normality of Black-Scholes & Its Inter-competence. International Journal of Financial Market and Derivatives, Inderscience, Vol. 3(4), 358 - 391. DOI: 10.1504/IJFMD.2014.062379 (ABDC C)
  33. Ahmed, F., and Singh, V. K. (2014). An Indian Model of Aid: Rethinking Policy Perspectives. Procedia-Social and Behavioral Sciences (Elsevier), 157, 196-202.
  34. Singh, V. K. (2013). Modeling Volatility Smile: Empirical Evidence from India. Journal of Derivatives and Hedge Fund, Springer Link (Palgrave -Macmillan Publication), U.K. Vol. 19(3), 208-240. https://doi.org/10.1057/jdhf.2013.14 (ABDC C)
  35. Singh, V. K., & Ahmad, N. (2013). Effectiveness of Classic Versions of Option Pricing Models in Recent Waves of Financial Upheavals. Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Malaysia, Vol. 9(2), 127-155. (ABDC C)
  36. Singh, V. K. (2013). Effectiveness of Volatility Models in Option Pricing: Evidence from recent Financial Upheavals. Journal of Advances in Management Research, Emerald, Vol. 10(3), 352 - 375. https://doi.org/10.1108/JAMR-11-2012-0048
  37. Singh, V. K., & Pachori, P. (2013). Empirical Competitiveness of Deterministic Option Pricing Models: Evidence from the Recent Waves of Financial Upheavals in India. Journal of Derivatives and Hedge Funds, Springer Link (Palgrave - Macmillan Publication), Vol. 19(2), 129-156. https://doi.org/10.1057/jdhf.2013.7 (ABDC C)
  38. Singh, V. K., & Pachori, P. (2013). A Kaleidoscopic Study of Pricing Performance of Stochastic Volatility Option Pricing Models: Evidence from Recent Flaring up of Indian Economic Turbulence. Vikalpa - Journal of IIM Ahmadabad, Vol. 38(2), 21-39. 
  39. Singh, V. K. (2013). Competency of GARCH: Evidence from recent Financial Upheavals. Journal of International Finance and Economics, Vol. 13(2), 47-64. DOI: 10.18374/JIFE-13-2.5 (ABDC C)
  40. Singh, V. K., Ahmad, N., & Pachori, P. (2011). Empirical Analysis of GARCH and Practitioner Black-Scholes Model for pricing S&P CNX Nifty 50 Index Options of India. Decision- Journal of IIM Calcutta, Vol. 38(2), 51-67.
  41. Singh, V.K., & Ahmad, N. (2011). Modeling S&P CNX Nifty Index Volatility with GARCH Class Volatility Models: Empirical Evidence from India. Indian Journal of Finance, Vol. 5(2), 34-47. (ABDC C)
  42. Singh, V. K., & Ahmad, N. (2011). Forecasting Performance of Volatility Models for Pricing S&P CNX Nifty Index Options via Black-Scholes Model. IUP Journal of Applied Finance, Vol. 17(3), 53-67.

  1. Zerodha: Sustaining a Leadership Position in India. (Coauthored with Sandeep Puri), Ivey Publishing, Sep 20, 2019.

    Product Number: W19530-PDF-ENG

    Web Link: https://hbsp.harvard.edu/product/W19530-PDF-ENG

  2. Parliamentary Election Impact on Indian Capital Markets. (Coauthored with Faisal Ahmed), Ivey Publishing, Jul 23, 2014.

    Product Number: W14299-PDF-ENG

    Web Link: https://hbsp.harvard.edu/product/W14299-PDF-ENG

Conference Presentations

  1. Research paper entitled “The Dynamic and Directional Connectedness of Equity and Currencies of Asia-Pacific Economies” presented in the 15th Asia Pacific Conference organized by Ritsumeikan Center for Asia Pacific Studies (RCAPS), Ritsumeikan Asia Pacific University (APU), Beppu, Japan, from November 11-12, 2017.
  2. Research paper entitled “Global Connectedness of Investors Fear Gauge” presented in the “International Conference on Accounting, Finance, and Financial Institutions. Theory Meets Practice 2016” organized by Poznan University of Economics and Business, Poznan, Poland from October 19-21, 2016.  
  3. Research paper entitled “Financial Co-integration of LDCs of Asia and the Pacific with China” presented at the NIDA International Business Conference 2016, held at NIDA Business School, Bangkok, Thailand on March 12, 2016, organized by NIDA Business School (AACSB Accredited).
  4. Research paper entitled “Modeling Competitiveness of DVF Functions: Evidence from Nifty Index Options” presented at the Quantitative Methods in Finance (QMF) 2014 Conference, held at Hotel Hilton, Sydney, Australia from December 17-20, 2014, organized by University of Technology, Sydney.
  5. Research paper entitled “Parity Analysis of Non Log-Normality of Black-Scholes & Its Inter-competence” presented at 9th Annual London Business Research Conference, held at Imperial College, London, UK, from August 4-5, 2014, organized by American Research and Publication International, USA & World Business Institute, Australia. 
  6. Research Paper entitled “Forecasting Effectiveness of Classic Versions of Option Pricing Models: Evidence from Recent Waves of Financial Upheavals” presented at The 4th Annual Conference on Global Economy, Business and Finance (GEBF 2014), Beijing, China, from May 22-24, 2014, organized by Higher Education Forum, Taipei, Taiwan.
  7. Case paper entitled “Election and the Market: Unleashing the potential of options trading” presented at 4th International Case Conference, held at GOA, from September 24-26, 2013, organized by IMT Nagpur and Case Research Society of India.
  8. Research Paper Entitled “An Indian Model of Aid: Rethinking Policy Perspectives” presented in Conference on International Relations – India and Development Partnerships in Asia and Africa: Towards a New Paradigm, held at Symbiosis International University, Pune in association with Public Diplomacy Division, Ministry of External Affairs, Government of India from Dec 14-15, 2013 at Symbiosis’s Lavale Campus in Pune.
  9. Case paper entitled “GAIL (India) Ltd: Pipeline Full of Opportunities” presented at 3rd International Case Conference, held at GOA, from Nov 31 – Dec 1, 2012, organized by IMT Nagpur and Case Research Society of India.
  10. Research Paper entitled “Comparative Competitiveness of Deterministic Option Pricing Models during the Recent Waves of Financial Upheaval: Empirical Evidence from India” presented in India Finance Conference 2012, held at IIM Calcutta, jointly organized by IIM Ahmadabad and IIM Bangalore, from December 18-21, 2012.
  11. Research Paper entitled, “Effectiveness of Black-Scholes model for pricing S&P CNX Nifty Index Options” presented in the 44th annual conference of The Indian Econometric Society, held at University of Hyderabad, from 3-5 January 2008

Invited Lectures, Talks,

  • Session Chair for 2nd International Financial Management Conference (IFMC) 2024 organized by Chandragupta Institute of Management (CIMP), Patna, Bihar, India, February 9, 2024.
  • Session Chair for the track “Managing Finance in the Changing Business Scenario” of International Conference on Business Research and Policy (ICBRP) organized by Chandragupta Institute of Management (CIMP), Patna, Bihar, India, from March 9-10, 2017. 

 

  1. Top Five Picks of the Day, The Economic Times, Feb 8, 2010, Page No. 16.
  2. Nifty Eyes Expiry at 5150 levels, The Economic Times, December 24, 2009, Page No. 14.
  3. Top Five Picks of the Day, The Economic Times, Nov 19, 2009, Page No. 14.

Consultancy Assignments Completed

  • Organizational restructuring assignment for Garden Silk Private Limited in Surat, Gujarat, India, from April 2022 to December 2022. The project received a grant of ₹35 Lacs (USD 41,000).
  • Strategic repositioning of ELOIRA (under DRDO, Govt. of India) in Hyderabad, India, from September 2023 to January 2024. The project received a grant of ₹28.5 Lacs (USD 33,000).

Funded Research Projects

  • Project Director for the research project titled "Shock Spillover of Crude Oil Prices on Emerging Market Currencies: A Network Approach" from 2018 to 2020. This project received ₹5.5 Lac (USD 6,500) funding from ICSSR, New Delhi, India.
  • Co-Project Director for the research project "Financing Preferences and Determinants of Capital Structure – A Study of Small and Medium Enterprises in Maharashtra" from 2018 to 2020. This project received ₹7 Lac (USD 8,500) funding from ICSSR, New Delhi, India.
  • Principal Investigator for the research project "A Study on Issues and Challenges in MSME Financing in the State of Bihar" in 2018-2019. This project received ₹2.5 Lac (USD 3,000) funding from the Indian Institute of Banking & Finance, Mumbai, India.

Dr. Vipul Kumar Singh serves as a reviewer for several renowned academic journals, contributing his expertise to a wide range of finance, economics, and applied systems publications. He has reviewed for prestigious journals such as Energy Economics, Energy Strategy Reviews, Expert Systems with Applications, Financial Innovation, the Journal of Sustainable Finance & Investment, Journal of Asian Economics, International Review of Economics and Finance, Economic Modelling, Quarterly Review of Economics and Finance, Asia-Pacific Financial Markets, Journal of Asset Management, Applied Economics, Information Sciences, Journal of Big Data, etc.

Workshop Services:

  • Resource Person for MDP entitled Management Effectiveness for Decision Making, for middle-level executives of Larsen & Toubro (L&T), conducted by NITIE Mumbai/IIM Mumbai for Financial Year 2023 & 2024.
  • Conducted MDP entitled “Finance for Non-Finance Managers” for senior and middle-level executives of ONGC, and TOYO Engineering at NITIE Mumbai from January 18-20, 2018. No. of Participants: 18
  • Conducted MDP entitled “Finance for Non-Finance Managers” for senior and middle-level executives of Ministry of Defence at NITIE Mumbai from October 27-28, 2016. No. of Participants: 21
  • Resource Person for MDP entitled Developing SPMCIL Executives to excel as Managers, conducted by NITIE Mumbai from November 23-27, 2015.
  • Resource Person for MDP entitled Data Analytics for Decision Making, for senior and middle-level executives of Coal India, conducted by NITIE Mumbai from September 7-9, 2015.
  • Resource Person for MDP entitled Finance for Non-Finance Executives, conducted by NITIE Mumbai from August 3-5, 2015.
  • Resource Person for Faculty Development Program entitled “Demystifying Derivatives” organized by Malaviya National Institute of Technology, Jaipur from October 7-11, 2013.