Articles by Faculty

Faculty of Management
Sl. No Publication Detail Abstract
1. Ajay Kumar Mishra, Thomas H. Mcinish, and Trilochan Tripathy, “Price movement and trade size on the National Stock Exchange of India”, Applied Economics,Vol. 47, No. 45, (2015), pp 4847-4854. Using data from the National Stock Exchange of India, we examine the Stealth Trading Hypothesis, which proposes that Cumulative Price Changes (CPCs) are concentrated in particular trade sizes due to the strategic trading of informed traders.We find that depending on market conditions, 60% to 80% of the CPC is concentrated in small trade sizes, with almost all the remaining price changes concentrated in medium trade sizes. These results support the Stealth Trading Hypothesis.
2. Rania Jammazia, Aviral Kumar Tiwari, Román Ferrer, and Pablo Moya, “Time- varying dependence between stock and government bond returns: International evidence with dynamic copulas”, North American Journal of Economics and Finance, Vol. 33, (Jul 2015), pp 74-93 The paper investigates the dependence pattern between stock and long-term government bond returns for a wide range of developed countries over the last two decades using a dynamic DCC- GARCH-copula model. The empirical results show that the dependence structure between stock and 10-year government bond returns varies significantly over time for most countries
3. Mishra A K and Tripathy T, “Macroeconomic Stress, Equity Market Liquidity Spirals and Markov Regime Switching”, International Journal of Finance and Economics, Vol. 7, No. 6, (2015), pp 179-192. The paper makes an attempt to identify the periods of high illiquidity spiral and loss spiral fitting into the Markov switching regimes model with Constant Transition Probability (CTP) and Time-Varying Transition Probability (TVTP) models in the US equity market. We have identified two different states of the illiquidity spiral and loss spiral in the data associated with the said variables under the CPT and TVTP. The results suggest that the TVTP model is preferred to the CTP model in identifying the illiquidity spiral and loss spiral regime switching. In particular, the probability of remaining in the high illiquidity spiral and high loss spiral regimes increases with a decrease in S&P 500 return.
4. Aviral Kumar Tiwari, Aruna Kumar Dash, and Subhendu Dutta, “Testing the mean reversion in prices of agricultural commodities in India”, Economics Bulletin, Vol. 35, No. 3, (Sep 2015), pp 1928- 1940. The paper examines the mean reversion property of 46 agricultural commodities in India covering the period 2000-2013. Two batteries of time series tests have been used for the purpose. One battery of tests is associated with testing the null hypothesis of unit root whereas the second battery of tests is associated with testing the null hypothesis of stationarity. Robust evidence of stationarity is found for Betelnut/Arecanut, Black Pepper, Cardamom, Cumin, Garlic, Ginger (Fresh), Guava, Poultry chicken, and Turmeric. The results indicate that any policy to influence the prices of these commodities will not have a permanent impact as they have a tendency to revert to the mean. The article concludes with a recommendation to the policymakers / government to review the commodity futures ban for these commodities.