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Associate Professor Abhay Singh

Adjunct Senior Lecturer

Staff Member Details
Email: a.singh@ecu.edu.au

Associate Professor Abhay Kumar Singh is a Senior Lecturer and Finance Decision Lab Coordinator at the Department of Applied Finance & Actuarial Studies in the Faculty of Business & Economics, Macquarie University, Sydney.

He has a Bachelor of Technology degree in Information Technology and an MBA from the Indian Institute of Information Technology & Management Gwalior, India (2009). He completed his Ph.D. in Finance from Edith Cowan University, Perth, Australia in 2011 and was awarded the University Research Medal for an outstanding thesis.

He is a big believer in open source software and has been using R for statistical computing including quantitative research methods for over 4 years. He has recently co-authored a book entitled, R in Finance & Economics-A Beginner’s Guide for anyone interested to learn R. Abhay has over seven years’ experience in Empirical research. He has produced over 70 research outputs since the start of his career in 2009 on a range of topics including, finance, investments, econometrics, machine learning, and data analytics etc. Being an R enthusiast, his current research includes new and contemporary topics like Social Media Analytics and Big Data in Finance.

Awards and recognition

  • 2016 - Edith Cowan University School of Business & Law Dean’s Award for Early Career Researcher
  • 2016 - Markets and Services Research Centre (MASRC) Award for Research Excellence
  • 2015 - Edith Cowan University Faculty of Business & Law Dean’s Award for Early Career Researcher
  • 2011 - Edith Cowan University Research Medal
  • 2011 - Special Award for Outstanding Performance in Research (School of Accounting, Finance and Economics)
  • 2011 - Faculty of Business & Law Dean's List of High Achieving Graduates
  • 2010 - Edith Cowan University Post Graduate Research Scholarship (International) for Phd in Finance

Research areas and interests

  • Quantitative Methods in Finance & Economics
  • Applied Econometrics
  • Multivariate Statistics
  • Data Mining and Machine Learning
  • Social Media Analytics

Qualifications

  • Doctor of Philosophy, Edith Cowan University, 2011.
  • Bachelor of Technology in Information Technology, India, 2009.
  • Master of Business Administration, India, 2009.

Research Outputs

Journal Articles

  • Cripps, H., Singh, AK., Mejtoft, T., Salo, J. (2020). The use of Twitter for innovation in business markets. Marketing Intelligence and Planning, 38(5), 587-601. https://doi.org/10.1108/MIP-06-2019-0349.

Conference Publications

  • Cripps, H., Singh, AK., Mejtoft, T., Salo, J. (2020). Crowdsourcing through Twitter for innovation. 33rd Bled eConference - Enabling Technology for a Sustainable Society: June 28 – 29, 2020, Online Conference Proceedings (185-200). University of Maribor University Press. https://doi.org/10.18690/978-961-286-362-3.13.

Journal Articles

  • Allen, D., Chang, C., McAleer, M., Singh, AK. (2018). A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices. Applied Economics, 50(7), 804-823. https://doi.org/10.1080/00036846.2017.1340581.

Conference Publications

  • Do, A., Powell, R., Singh, AK., Yong, J. (2018). Cross-equity linkages between China and the U.S.: An application of GARCH-M-GED. The proceedings of 2nd Business Doctoral and Emerging Scholars Conference (40-48). Edith Cowan University.

Journal Articles

  • Allen, D., McAleer, M., Singh, AK. (2017). Risk Measurement and Risk Modelling Using Applications of Vine Copulas. Sustainability, 9(10), Article no.1762. https://doi.org/10.3390/su9101762.
  • Powell, R., Vo, D., Pham, T., Singh, AK. (2017). A dataset on tail risk of commodities markets. Data in Brief, 15(2017), 58-62. https://doi.org/10.1016/j.dib.2017.09.005.
  • Allen, D., McAleer, M., Singh, AK. (2017). An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series. Applied Economics, 49(7), 677-692. https://doi.org/10.1080/00036846.2016.1203067.
  • Singh, AK., Powell, R., Allen, D. (2017). Tail dependence analysis of stock markets using extreme value theory. Applied Economics, 49(45), 4588-4599. https://doi.org/10.1080/00036846.2017.1287858.
  • Powell, R., Vo, DH., Pham, T., Singh, AK. (2017). The long and short of commodity tails and their relationship to Asian equity markets. Journal of Asian Economics, 52(October 2017), 32-44. https://doi.org/10.1016/j.asieco.2017.08.001.
  • Allen, D., McAleer, M., Powell, R., Singh, AK. (2017). Volatility Spillovers from Australia's Major Trading Partners Across the GFC. International Review of Economics and Finance, 47(1 January 2017), 159-175. https://doi.org/10.1016/j.iref.2016.10.007.
  • Allen, D., McAleer, M., Powell, R., Singh, AK. (2017). Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. Applied Economics, 49(33), 3246-3262. https://doi.org/10.1080/00036846.2016.1257210.

Journal Articles

  • Allen, DE., McAleer, M., Powell, R., Singh, AK. (2016). A capital adequacy buffer model. Applied Economics Letters, 23(3), 175-179. https://doi.org/10.1080/13504851.2015.1061639.
  • Allen, D., McAleer, M., Powell, R., Singh, AK. (2016). Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis. Journal of Risk and Financial Management, 9(2), 18p.. https://doi.org/10.3390/jrfm9020006.
  • Allen, D., McAleer, M., Peiris, S., Singh, AK. (2016). Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies. Risks, 4(1), Article Number: 7. https://doi.org/10.3390/risks4010007.
  • Allen, DE., Powell, R., Singh, AK. (2016). Take it to the limit: Innovative CVaR applications to extreme credit risk measurement. European Journal of Operational Research, 249(2), 465-475. https://doi.org/10.1016/j.ejor.2014.12.017.

Conference Publications

  • Do, A., Powell, R., Singh, AK., Yong, J. (2016). Selection of a Model for Exploring Cross Market Linkages: A Review of E-GARCH, Markov-switching Framework and Structural Break Models. Proceedings of the ECU Business Doctoral and Emerging Scholars Colloquium (1-11). Edith Cowan University.
  • Cripps, H., Mejtoft, T., Singh, AK. (2016). The roll of Twitter in B2B Knowledge Exchange and Innovation. Research Papers on Knowledge, Innovation and Enterprise (27-46). International Conference on Knowledge, Innovation & Enterprise.

Book Chapters

  • Allen, D., McAleer, M., Singh, AK. (2015). Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment Series. Handbook of High Frequency Trading (327-344). Elsevier. https://doi.org/10.1016/B978-0-12-802205-4.00019-1.
  • Allen, D., Powell, R., Singh, AK. (2015). A Critique of Credit Risk Models with Evidence from Mid-Cap Firms. Quantitative Financial Risk Management: Theory and Practice (296-311). John Wiley & Sons. https://doi.org/10.1002/9781119080305.

Conference Publications

  • Allen, D., Powell, R., Singh, AK. (2015). Quantile regression, VaR and CVAR. An empirical beta comparison of the techniques in relation to credit risk. MODSIM2015, 21st International Congress on Modelling and Simulation (1015-1021). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, DE., McAleer, M., Powell, R., Singh, AK. (2015). A volatility impulse response analysis applying multivariate GARCH models and news events around the GFC. MODSIM2015, 21st International Congress on Modelling and Simulation (1008-1014). Modelling and Simulation Society of Australia and New Zealand.

Book Chapters

  • Allen, DE., Powell, R., Singh, AK. (2014). Risk Management and Regulation. Investment Risk Management (324-345). Oxford University Press.
  • Allen, D., Kalev, P., McAleer, M., Singh, AK. (2014). Nonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial Crisis. Handbook of Asian Finance: REITs, Trading, and Fund Performance (267-284). Elsevier. https://doi.org/10.1016/B978-0-12-800986-4.00015-7.

Conference Publications

  • Yong, J., Singh, AK. (2014). Interest rate risk of Australian REITs: A panel analysis. Proceedings from the PRRES Conference - 2014 (1 - 11). Pacific Rim Real Estate Society.

Book Chapters

  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). Understanding the Regulation Impact: US Funds of Hedge Funds After the Crisis. Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence (503-514). Academic Press. https://doi.org/10.1016/B978-0-12-401699-6.00030-7.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). A Panel-Based Quantile Regression Analysis of Funds of Hedge Funds. Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence (261-272). Academic Press. https://doi.org/10.1016/B978-0-12-401699-6.00016-2.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). South African Regulatory Reforms of Funds of Hedge Funds. Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence (525-536). Academic Press. https://doi.org/10.1016/B978-0-12-401699-6.00032-0.

Journal Articles

  • Singh, AK., Allen, D., Powell, R. (2013). Extreme market risk and extreme value theory. Mathematics and Computers in Simulation, 94(2013), 310-328. https://doi.org/10.1016/j.matcom.2012.05.010.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). Default Risk in the European Automotive Industry. International Review of Business Research Papers, 9(1), 22-37.
  • Allen, D., Ashraf, MA., McAleer, M., Powell, R., Singh, AK. (2013). Financial dependence analysis: applications of vine copulas. Statistica Neerlandica, 67(4), 403–435. https://doi.org/10.1111/stan.12015.
  • Allen, D., Singh, AK., Powell, R. (2013). EVT and Tail-Risk Modelling: Evidence from Market Indices and Volatility Series. The North American Journal of Economics and Finance, 26(2013), 355–369. https://doi.org/10.1016/j.najef.2013.02.010.
  • Allen, D., Singh, AK., Powell, R. (2013). Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions. Global Business and Economics Review, 15(1), 88-109. https://doi.org/10.1504/GBER.2013.050670.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). Extreme Equities Risk in Emerging Markets. Global Review of Accounting and Finance, 4(1), 75-84.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). Modelling tail credit risk using transition matrices. Mathematics and Computers in Simulation, 93(2013), 67-75. https://doi.org/10.1016/j.matcom.2012.09.011.

Conference Publications

  • Singh, AK., Allen, D., Powell, R. (2013). Intraday Volatility Forecast in Australian Equity Market. Proceedings of the 20th International Congress on Modelling and Simulation (MODSIM2013) (1312-1318). Modelling and Simulation Society of Australia and New Zealand.
  • Yong, J., Singh, AK. (2013). Interest rate sensitivities of externally and internally managed Australian REITs. 20th International Congress on Modelling and Simulation Proceedings (1319–1325). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Powell, R., Singh, AK. (2013). A Dynamic Credit Ratings Model. Proceedings of the 20th International Congress on Modelling and Simulation (MODSIM2013) (1291 - 1297). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Boffey, R., Kramadibrata, A., Powell, R., Singh, AK. (2013). Primary sector volatility and default risk in Indonesia. Proceedings of the 20th International Congress on Modelling and Simulation (MODSIM2013) (1298-1304). Modelling and Simulation Society of Australia and New Zealand.

Book Chapters

  • Allen, D., Singh, AK., Powell, R. (2012). Asset Selection Using a Factor Model and Data Envelopment Analysis - A Quantile Regression Approach. Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges (443-455). Elsevier. https://doi.org/10.1016/B978-0-12-415875-7.00027-0.

Journal Articles

  • Allen, D., Singh, AK., Powell, R. (2012). A Gourmet's Delight: CaViaR and the Australian Stock Market. Applied Economics Letters, 19(15), 1493-1498. https://doi.org/10.1080/13504851.2011.636017.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2012). Conditional Value at Risk Applications to the Global Mining Industry. Journal of Business and Policy Research, 7(3), 11-23.
  • Allen, D., Boffey, R., Kramadibrata, A., Powell, R., Singh, AK. (2012). Thumbs Up to Parametric Measures of Relative VaR and CVaR in Indonesian Sectors. International Journal of Business Studies, 20(1), 27-42.
  • Allen, D., Powell, R., Singh, AK. (2012). Beyond reasonable doubt: multiple tail risk measures applied to European industries. Applied Economics Letters, 19(7), 671-676. https://doi.org/10.1080/13504851.2011.593496.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2012). Identifying European Industries with Extreme Default Risk: Application of CVaR Techniques to Transition Matrices. World Review of Business Research, 2(6), 46-58.

Conference Publications

  • Allen, D., McAleer, M., Powell, R., Singh, AK. (2012). A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500. 25th Australasian Finance & Banking Conference Proceedings (19). SSRN eLibrary. https://doi.org/10.2139/ssrn.2132065.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2012). A Quantile Analysis of Default Risk for Speculative and Emerging Companies. Econometric Society Australasian Meeting 2012 (8). Econometric Society Australasia.
  • Singh, AK., Allen, D., Powell, R. (2012). Risk and Dependence Analysis of Australian Stock Market - The Case of Extreme Value Theory. 25th Australasian Finance & Banking Conference Proceedings (22). SSRN eLibrary.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2012). Enhancing Transition Matrices to Measure Extreme Credit Risk in Europe. Proceedings of Annual Paris Business and Social Sciences Conference (11). World Business Institute.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2012). Fasten Your Seatbelts: A Credit Risk Perspective on European Car Manufacturers. Proceedings of 7th Annual London Business Research Conference (12). World Business Institute.

Book Chapters

Journal Articles

  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Japanese Banks: Tail Risk and Capital Buffers. International Journal of Business Studies (ECU), 19(1), 7-27.
  • Allen, D., Singh, AK., Powell, R. (2011). Quantile Regression as a Tool for Portfolio Investment Decisions. Annals of Financial Economics, 6(1), 63-85.

Conference Publications

  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Xtreme Credit Risk Models: Implications for Bank Capital Buffers. 2011 Systemic Risk, Basel III, Financial Stability & Regulation (1-22). Institute of Global Finance.
  • Singh, AK., Allen, D., Powell, R. (2011). Value at Risk Estimation Using Extreme Value Theory. MODSIM2011, 19th International Congress on Modelling and Simulation (1478-1484). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Are credit ratings a good measure of capital adequacy?. MODSIM2011, 19th International Congress on Modelling and Simulation (1457-1463). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Comparing Australian and US Corporate Default Risk Using Quantile Regression. 2011 Australasian Meeting of the Econometric Society (12). Editorial Express.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Tail Risk for Australian Emerging Market Entities. Proceedings of 15th International Business Research Conference (611). World Business Institute.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Optimising a Mining Portfolio Using CVaR. Proceedings of 15th International Business Research Conference (12). World Business Institute.
  • Singh, AK., Allen, D., Powell, R. (2011). Evaluating Extremal Dependence in Stock Markets Using Extreme Value Theory. MODSIM2011, 19th International Congress on Modelling and Simulation (1485-1491). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Innovative transition matrix techniques for measuring extreme risk: an Australian and U.S. comparison. MODSIM2011, 19th International Congress on Modelling and Simulation (1451-1456). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Singh, AK., Powell, R. (2011). Extreme Market Risk - An Extreme Value Theory Approach. 2011 Australasian Meeting of the Econometric Society (26). Editorial Express.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Bank Risk: Does Size Matter?. 2011 Australasian Meeting of the Econometric Society (25). Editorial Express.

Journal Articles

  • Singh, AK., Sahu, R., Bharadwaj, S. (2010). Portfolio evaluation using OWA-heuristic algorithm and data envelopment analysis. The Journal of Risk Finance, 11(1), 75-88. https://doi.org/10.1108/15265941011012697.

Conference Publications

  • Allen, D., Powell, R., Singh, AK. (2010). Using Quantile Regression to Estimate Capital Buffer Requirements for Japanese Banks. Globalization, Monetary Integration and Exchange Rate Regimes in East Asia (GMIEER) (23p.). Edith Cowan University.
  • Singh, AK., Allen, D. (2010). Asset Selection using factor model and data envelope analysis - a quantile regression approach. Proceedings of the 23rd Australasian Finance & Banking Conference 2010 (13p.). Social Science Research Network.

Journal Articles

  • Allen, D., Gerrans, P., Singh, AK., Powell, R. (2009). Quantile regression: its application in investment analysis. JASSA: Journal of the Australian Society of Security Analysts, 2009(4), 7-12.

Conference Publications

  • Allen, D., Singh, AK., Powell, R. (2009). Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis. 22nd Australasian Finance & Banking Conference 2009 (1-19). UNSW Australian School of Business.

Research Projects

  • An international comparison of the linkages between commercial property indices and Real Estate Investment Trusts, Accounting and Finance Association of Australia and New Zealand, AFAANZ - Grant, 2014 ‑ 2015, $10,000.
  • Modelling Multivariate Dependence Between Realized Volatilities Using Vine Copula Methods, Edith Cowan University, ECU Early Career Researcher Grant - 2013, 2013 ‑ 2014, $5,000.
  • Forecasting risk thresholds for portfolio management and regulation, Australian Research Council, Grant - Linkage (Projects), 2005 ‑ 2012, $265,270.

Research Student Supervision

No data available

Associate Supervisor

  • Doctor of Philosophy, Modelling cross-market linkages between global markets and China’s A-, B- and H-shares
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