Staff profile - Paresh Narayan

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Prof Paresh Narayan

Position: Alfred Deakin Professor
Faculty or Division: Faculty of Business & Law
Department: Department of Finance
Campus: Melbourne Burwood Campus
Phone: +61 3 92446180 +61 3 92446180
Email: paresh.narayan@deakin.edu.au

Biography

Qualifications

  • Doctor of Philosophy, Monash University, 2004


Academic

Teaching Interests

Financial Econometrics


Subjects and units currently teaching

MAE406 Business and Financial Econometrics


Research

Research interests

  • Applied Financial Econometrics
  • Energy Economics
  • Financial Markets


Research groups

Centre For Financial Econometrics


Research page

http://www.deakin.edu.au/buslaw/aef/cfe/members.php


Publications

Publications

  • Westerlund, J., and Narayan, P., (2014) Testing for predictability in conditionally heteroskedastic stock returns, Journal of Financial Econometrics, doi:10.1093/jjfinec/nbu001.
  • Westerlund, J., and Narayan, P., (2014) A random coefficient approach to the predictability of stock returns in panels, Journal of Financial Econometrics, doi:10.1093/jjfinec/nbu003.
  • Narayan, P.K., Sharma, S., and Thuraisamy, K., (2014) An analysis of price discovery from panel data models of CDS and equity returns, Journal of Banking and Finance, 41, 167-177.
  • Makin, T., Narayan, P.K., and Narayan, S., (2014) What expenditure does Anglosphere foreign borrowing fund? Journal of International Money and Finance, 40, 63-78.
  • Narayan, P.K., Narayan, S., and Thuraisamy, K. S., (2014) Can institutions and macroeconomic factors predict stock returns in emerging markets? Emerging Markets Review, 19, 77-95.
  • Narayan, P.K., and Narayan, S., (2014) Psychological Oil Price Barrier and Firm Returns, Journal of Behavioral Finance (In Press).
  • Narayan, P.K., Narayan, S., and K.P. Prabheesh (2014) Stock returns, mutual fund flows and spillover shocks, Pacific-Basin Finance Journal, 29, 146-162.
  • Narayan, P.K., Ahmed, H.A., and Narayan, S., (2014) Do momentum trading strategies work in commodity futures markets, Journal of Futures Markets (In Press).
  • Westerlund, J., Milda, N., and Narayan, P.K., (2014) A factor analytical approach to the efficient futures market hypothesis, Journal of Futures Markets (In Press).
  • Narayan, P.K., Ahmed, H.A., Sharma, S., and K.P., Prabheesh (2014) How profitable is the Indian stock market? Pacific-Basin Finance Journal (In Press).
  • Westerlund, J., and Narayan, P.K., (2013) Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets, Journal of Futures Markets,, 33, 11, 1024-1045.
  • Narayan, P.K., Narayan, S., and Sharma, S., (2013) An Analysis of Commodity Markets: What Gain for Investors? Journal of Banking and Finance, 37, 3878-3889.
  • Westerlund, J., and Narayan, P.K., (2012) Does the Choice of Estimator Matter for Forecasting Returns, Journal of Banking and Finance, 36, 2632-2640.
  • Narayan, P.K., Mishra, M., Narayan S., (2011) Do Market Capitalisations and Stocks Traded Converge? New Global Evidence, Journal of Banking and Finance, 35, 2771-2781.
  • Narayan, P.K., and Sharma, S., (2011) New Evidence on Oil Price and Firm Returns, Journal of Banking and Finance, 35, 3253-3262.
  • Makin, T., and Narayan, P.K., (2011) Have Domestic or Foreign Factors driven European External Imbalances, Journal of International Money and Finance, 30, 537-546.
  • Narayan, P.K., Narayan, S., and Mishra, S., (2011) Do Remittances Induce Inflation? Fresh Evidence from Developing Countries, Southern Economic Journal, 77, 914-933.
  • Narayan, P.K., (2010) What Drives Stock Markets Over Short Horizons? Evidence from Emerging Markets, Quantitative Finance, 11, 261-269.
  • Narayan, P.K., and Zheng, X., (2010) Market Liquidity Risk Factor and Financial Market Anomalies: Evidence from the Chinese Stock Market, Pacific-Basin Finance Journal, 18, 509-520.
  • Narayan, P.K., and Popp, S., (2010) A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time, Journal of Applied Statistics, 37, 1425-1438.


Link to publications

http://www.deakin.edu.au/research/admin/pubs/reports/database/dynamic/output/person/person.php?person_code=naraypa


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