Research
Publications
- Tripathi, J. S. (2023). Trade-Growth Nexus: A Study of G20 Countries using Simultaneous Equations Model with Dynamic Policy Simulations. Journal of Policy Modeling, 45(4), 806-816. [DOI]. [SSRN_WP].
- Tripathi, J. S., & Rengifo, E. W. (2023). The Impact of Fractional Trading on Risk Aversion for Non-professional Investors. Finance Research Letters, 52, 103547. [DOI]. [SSRN_WP].
- Tripathi, J. S. (2016). Trade-Growth Nexus: A Study of G20 Countries. IOSR J Econ Finance, 7(3), 60-70. [DOI].
- Desai, N., & Tripathi, J. S. (2016). Rupee Exchange Rate Dynamics from 1993 to 2011: Study of Factors Driving the Exchange Rate. IOSR J Econ Finance, 7(2), 19-25. [DOI].
Working Papers
The Impact of Earnings Announcements Before and After Regular Market Hours on Asset Price Dynamics. (2024). (w/ Erick W. Rengifo).
Abstract: We study the impact of earnings announcements before and after regular market hours on the asset price dynamics observed in stock markets. Fundamental value signals and market liquidity are the most important features of any stock market that help investors to make informed decisions. With the recent increase in retail investor participation led by commission-less fintech trading applications and new features like fractional trading, we now have higher volatility and significantly quicker price changes. This makes it hard to make informed trading decisions. Moreover, these effects are exacerbated even further around earnings announcement days. In this paper, we use Nasdaq data feed at a minute frequency, and we show a significant increase in the slope of the price-volume structure during extended hours (after-hours, or pre-market hours) compared with the ones observed during regular market times. In this sense, our analysis shows that the liquidity is much less during the after-hours and pre-market. As such, earnings announcements of stocks during these times have a significantly larger price impact than those with earnings announced during regular trading hours. This significant difference can be explained by observing the limit order book structures during these different trading periods. In this paper, we suggest that the earnings announcements should not be made during extended hours (after-hours or pre-market hours), given the significantly lower liquidity and the significantly larger price impact that determines the prices for the next trading session.Relationship Between Trade and Growth for Developing Countries at Different Levels of Income. (2023). (w/ Dominick Salvatore). Submitted, Under Review.
Abstract: We explore the relationship between trade openness and economic growth for developing countries at different income levels using a simultaneous equations model from 2004-2019. The model is estimated using a full information maximum likelihood method for the developing high-income (HI), upper-middle-income (UMI), lower-middle-income (LMI), and low-income (LI) countries. We find that for developing HI, UMI, and LI countries, trade positively impacts growth which varies significantly in magnitude. Trade contributes significantly higher growth for developing HI countries when compared to developing UMI and LI countries. The results suggest that trade is positively related to growth, but it works as a handmaiden rather than a growth engine. On the other hand, for developing LMI countries, we find that trade negatively impacts growth. For developing LMI countries, trade contributes significantly to capital formation for these countries, leading to growth. Further, we also perform dynamic policy simulations based on the most advocated policies like increasing growth of exports, foreign capital inflows, curbing domestic inflation, etc. We find that these policies are not very effective in increasing the growth rate of the real per capita income.Bond ETF Performance During the COVID-19 Crisis. (2022). (w/ Jay Surti). IMF Working Paper, forthcoming.
Abstract: Arbitrage activity by large banks (called APs) is vital to ensuring the efficiency and stability of ETF performance. Exploiting the availability of data for the period of the Covid-19-associated market instability, we analyze and contrast APs’ arbitrage activity in normal versus stressed market conditions for a representative database of passive, fixed-income ETFs. We find that APs trade ETF shares and bonds in a manner consistent with the arbitrage incentives predicted by theory, in normal times, for corporate bond ETFs, but not for broad market ETFs. For corporate bond ETFs, these incentives were dented significantly during March-April 2020, resulting in persistent, larger discounts-to-NAV of ETF share prices until the Fed’s policy interventions turned the tide. APs’ incentives to manage bond inflow shocks during this period constitute a key factor generating countervailing incentives, interacting with the liquidity of corporate bond ETFs’ asset portfolios. Our results add to emerging empirical evidence that APs do not trade at a scale necessary to quickly close out price-NAV differentials and also appear to trade in a direction that exacerbates share price discounts-to-NAV during times of stress. We find no significant differences between ETFs that are primarily held by institutional versus retail investors.The Impact of Fractional Trading on Order Book Dynamics. (2022). (w/ Erick W. Rengifo). Submitted, Under Review. [SSRN_WP].
Abstract: We study the impact of fractional trading on the price levels and order book dynamics observed in stock markets. Fractional trading has recently been introduced on multiple trading platforms in equities markets, allowing individuals to buy a fraction of a share of stocks or ETFs (exchange-traded funds). Fractional trading, along with direct and easier access to the markets through commission-less trading apps, can potentially modify the risk appetite of non-professional investors (who are generally myopic and risk-averse) and create opportunities for portfolio creation and diversification, hence increasing the demand for stocks. It can also impact non-professional investors’ investment behavior, price levels, and market volatility. Using Nasdaq data feed at a minute frequency, we show that there has been a significant increase in the slope of the price-volume structure. In some cases, there is an increase in the number of steps required to place a limit order after the introduction of fractional trading. Our results suggest that increased demand for stocks led by easiness to trade stocks and fractional trading impacts the order book’s price formation process and price-volume structure.
Works in Progress
- Relationship between Trade and Growth after the Great Lockdown. (w/ Dominick Salvatore).
- The Impact of Fractional Trading on Risk Aversion and Wealth Allocation Behavior for Non-professional Investors under the Prospect Theory Framework. (w/ Erick W. Rengifo).
- Exchange Traded Funds, Market Liquidity, and Financial Stability. (w/ Jay Surti).
- Crypto Markets Order Book Dynamics.
Theses and Other Selected Projects
- Topics on Fractional Trading and Trade-Growth Nexus, 2023 [PhD Dissertation]
- Predicting COVID-19 Cases Using Google Community Mobility Report, 2020
- Trade-Growth Nexus: A Study of G20 Countries, 2016 [MSc Thesis]
- Performance Analysis and Estimation of Production Function for Indian Automobile Sector, 2015
- Magnetohydrodynamics and Dynamo Theory, 2014 [BSc Thesis]