Research & Publications

How connected are financial markets, really?

SSCI · Q1 (Finance Research Letters)ESCI · Q3 (Review of Behavioural Finance)UGC-JRF Fellow (2021–2025)

My research agenda centres on connectedness — the hidden plumbing through which shocks travel between markets — starting with cryptocurrencies and extending to the broader financial system.

Cryptocurrency Connectedness

My doctoral research at IIT (ISM) Dhanbad examined how returns and volatility spill across cryptocurrency markets — which coins transmit shocks, which receive them, and how this changes during market stress.

Financial Market Interconnectedness

Beyond crypto: the broader study of how asset classes, sectors and geographies transmit risk to one another, using time-varying connectedness frameworks (Diebold–Yilmaz, TVP-VAR).

Financial Analytics & AI

Applying data analytics and machine learning to valuation, statement analysis and investment research — the applied side of which lives in the Analytics & AI section of this site.

Publication record

Publications & working papers

Doctoral ResearchCompleted2026

A study of connectedness, hedging and safe-haven properties, portfolio implications — insights from within cryptocurrencies and between cryptocurrencies and financial markets

Pranay Kumar Ankam · PhD Thesis, Department of Management Studies, IIT (ISM) Dhanbad

Doctoral dissertation examining return and volatility connectedness within cryptocurrency markets and between cryptocurrencies and traditional financial markets, with implications for hedging, safe-haven properties and portfolio construction.

Journal PublicationsPublished2026

Do cryptocurrencies improve hedging and safe-haven properties for equity markets of global cryptocurrency adopter countries? A comparison with gold

Pranay Kumar, Jamini Kanta Pattanayak · Review of Behavioural Finance [ESCI, Q3, ABDC-B, IF-1.7]

Compares the hedging and safe-haven effectiveness of cryptocurrencies versus gold for equity markets in major cryptocurrency-adopting countries.

DOI: 10.1108/RBF-11-2025-0464View publication

Journal PublicationsPublished2025

Do Cryptocurrencies Exhibit Similar Hedging and Safe Haven Properties under Different Uncertainty Indices? A Comparative Analysis with Gold and the U.S. Dollar Index

Pranay Kumar, Jamini Kanta Pattanayak · Finance Research Letters, 108934 [SSCI, Q1, ABDC-A, IF-6.9]

Examines whether cryptocurrencies offer hedging and safe-haven benefits comparable to gold and the U.S. dollar index across different uncertainty measures.

DOI: 10.1016/j.frl.2025.108934View publication

Working PapersUnder Review (first revision)2025

Quantile spillovers and dependences between cryptocurrencies, gold, and stock markets of cryptocurrency adopter countries

Pranay Kumar, Jamini Kanta Pattanayak · Journal of Economic and Administrative Sciences

Investigates quantile-based spillovers and dependencies across cryptocurrencies, gold and stock markets of cryptocurrency adopter countries.

Conference ProceedingsPresented2025

Time-frequency Spillovers between Central Bank Digital Currencies and Cryptocurrencies

Pranay Kumar · 7th International Conference on Financial Markets and Corporate Finance (ICFMCF 2025), IIT Kharagpur

Conference ProceedingsPresented2025

Quantile time-frequency connectedness between CBDC uncertainty and cryptocurrencies

Pranay Kumar · Doctoral Colloquium on Financial Markets & Corporate Finance (DCFMCF) 2025, IIT (ISM) Dhanbad

Conference ProceedingsPresented2024

Investigating the Spillovers from CBDCs to Cryptocurrencies during Pandemic and Russia–Ukraine Crisis

Pranay Kumar · 7th International Conference on Financial Markets and Corporate Finance (ICFMCF 2024), IIT (ISM) Dhanbad

Conference ProceedingsPresented2024

Mapping the Interconnections among Cryptocurrency, Stock, and Commodity Markets through Structural Topic Modelling: A Bibliometric Investigation

Pranay Kumar · Research Symposium on Finance and Economics (RSFE) 2024, IFMR Graduate School of Business, Krea University

Conference participation

Paper presentations at ICFMCF (IIT Kharagpur 2025, IIT ISM Dhanbad 2024), DCFMCF Doctoral Colloquium (IIT ISM Dhanbad 2025) and RSFE (IFMR GSB, Krea University 2024) are listed above under Conference Proceedings. Also co-ordinated the International Conference on Sustainable Development and Management Practices (ICSDMP 2024) at IIT (ISM) Dhanbad.