Outstanding paper award for Moonis and Shah (2002) at Vth Capital Markets Conference at UTI ICM, December 2001. [pdf]
Ajay Shah and Syed Abuzar Moonis. Testing for time variation in beta in India. Journal of Emerging Markets Finance, 2(2):163–180, May–August 2003 [pdf]
Ajay Shah. Comment on ‘Governance, supervision and market discipline: Lessons from Enron’, by Jayanth R. Varma. Journal of Indian School of Political Economy, XIV(4):637–640, October–December 2002
Susan Thomas and Ajay Shah. The stock market response to the Union Budget. Economic and Political Weekly, XXXVII(5):455–458, February 2–8 2002 [pdf]
Ajay Shah and Sivaprakasam Sivakumar. Changing liquidity in the Indian equity market. Emerging Markets Quarterly, 4(2):62–71, Summer 2000
Ajay Shah and Susan Thomas. David and Goliath: Displacing a primary market. Journal of Global Financial Markets, 1(1):14–21, Spring 2000 [pdf]
Ajay Shah. Institutional change on India’s capital markets. Economic and Political Weekly, XXXIV(3–4):183–194, January 1999 [pdf]
Ajay Shah and Susan Thomas. Market microstructure considerations in index construction. In CBOT Research Symposium Proceedings, pages 173–193. Chicago Board of Trade, Summer 1998 [pdf]
Ajay Shah and Susan Thomas. Improving the quality of India’s foreign exchange market. Prajnan, XXVI(3), 1997–1998
Raghuram Rajan and Ajay Shah. New directions in Indian financial sector policy. In Priya Basu, editor, India’s financial sector: Recent reforms, future challenges, chapter 4, pages 54–87. Macmillan, 2005 [pdf]
Ajay Shah and Susan Thomas. Equity derivatives in India: The state of the art. In Susan Thomas, editor, Derivatives markets in India 2003, chapter 1, pages 1–25. Tata McGraw–Hill, 2003
Ajay Shah. Market efficiency on the Indian equity derivatives market. In Susan Thomas, editor, Derivatives markets in India 2003, chapter 5, pages 99–119. Tata McGraw–Hill, 2003
Ajay Shah and Susan Thomas. Policy issues in Indian securities markets. In Anne Krueger and Sajjid Z. Chinoy, editors, Reforming India’s External, Financial and Fiscal Policies, Stanford Studies in International Economics and Development, chapter 4, pages 129–147. Stanford University Press, 2003 [pdf]
Ajay Shah and Susan Thomas. Securities market efficiency. In James A. Hanson, Patrick Honohan, and Giovanni Majnoni, editors, Globalization and national financial systems, chapter 6, pages 145–175. The World Bank and Oxford University Press, 2003 [pdf]
Susan Thomas and Ajay Shah. Interest rates and their markets. In Kirit Parikh and R. Radhakrishna, editors, India Development Report 2002, chapter 12, pages 177–194. Oxford University Press, 2002
Ajay Shah. Overview for ‘Part II: Financial Sector Reforms’. In Gangadhar Darbha, editor, India’s monetary policy in the crucible of reform: The collected speeches of Savak S. Tarapore (1992–1996), pages 119–122. Vision books, 2000
Ajay Shah and Susan Thomas. Policy issues in India’s capital markets in 2000. In Surjit S. Bhalla, editor, New economic policies for a new India, chapter 9, pages 185–210. ICSSR, February 2000 [pdf]
Ajay Shah. Equity derivatives in India. In L. C. Gupta, editor, India’s financial markets & institutions, chapter 22, pages 196–214. Society for Capital Market Research and Development, October 1999
Ajay Shah and Susan Thomas. Developing the Indian capital market. In James A. Hanson and Sanjay Kathuria, editors, India: A financial sector for the Twenty–first century, chapter 7, pages 205–265. Oxford University Press, 1999
Ajay Shah. Securities markets. In Bibek Debroy and Parth J. Shah, editors, Agenda for Change, chapter 1, pages 1–10. Rajiv Gandhi Institute for Contemporary Studies, April 1998
Ajay Shah. The institutional development of India’s financial markets. In Tushar Waghmare, editor, The future of India’s stock markets, chapter 3, pages 21–39. Tata McGraw Hill, April 1998
Ajay Shah and Susan Thomas. Securities markets. In Kirit S. Parikh, editor, India Development Report 1997, chapter 10, pages 167–192. Oxford University Press, February 1997
Ajay Shah, editor. The Future of India’s Stock Exchanges: Proceedings of Stock Exchanges Summit 1996. Invest India Economic Foundation, 1996
Ajay Shah and Susan Thomas. Derivatives in India: Frequently asked questions. June 2000 [pdf]
Ajay Shah. Black, Merton and Scholes: Their work and its consequences. Economic and Political Weekly, XXXII(52):3337–3342, December 1997 [pdf]
Ajay Shah. The market for liquidity. In Ajay Shah, editor, The Future of India’s Stock Exchanges: Proceedings of Stock Exchanges Summit 1996, pages 1–17. Invest India Economic Foundation, 1996
Ajay Shah. Securities markets. In Kaushik Basu, editor, The Oxford Companion to Economics in India, pages 467–471. Oxford, 2007
Susan Thomas and Ajay Shah. Stock market indexes. In Kaushik Basu, editor, The Oxford Companion to Economics in India, pages 503–504. Oxford, 2007
Board of directors, National Commodity Derivatives Exchange, 2003-2005.
Board of directors, UTI Securities Exchange, 1994-2001.
Board of directors, OTC Exchange of India, 1997-2000.
Member, RBI Technical advisory committee on the money and government securities markets, 1999-2001.
Member, RBI Technical group on the repo market, 1999.
Member, SEBI’s Secondary markets advisory committee, 2002–2004.
Member, SEBI’s L. C. Gupta Committee on Policy for Derivatives (1996).
Member, SEBI’s G. P. Gupta Committee on Market Making (1998).
Member, SEBI’s Certification Committee (1999).
Member, Executive Committee, National Securities Depository Ltd., 1996-.
Member, NSE Index policy committee, 1996-.
Member, NSE Committee for development of debt market, 1996-2000.
Member, NSE Certification steering committee, 1997-.
Member, Technical advisory group on market surveillance, NSE, 1996–1997.
Member, Committee on Investor Education and Protection Fund, Department of Company Affairs, 2001-2004.
Member, Dave Committee on Infrastructure for Financial Markets, 1996.
Member, FICCI working group on capital markets (chaired by Ashok V. Desai), 1998.
Project which led to the creation of the NSE-50 index, funded by US AID (with Susan Thomas). [pdf]
Consulting for OTCEI on design of market making, December 1996 (with Susan Thomas).
Consulting: Evaluation of capital market development activities, for USAID. In India, December 1997. In the Philippines, February 1998.
Creation of NSE MIBOR, the methodology for reference rates on the inter-bank call money market, 1998. [pdf]
Consulting: Development for Program Trading and Index Arbitrage, for UTI Securities, May 1998 (with Susan Thomas).
Consulting: Designing market protocols for the Middle East Financial Network, for MEFN, Abu Dhabi, 2000.