April' 20
The IUP Journal of Applied Finance
Focus
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| Article | Price (₹) | ||
| Improved Capital Asset Pricing Model: A Multi-Objective Approach to Maximizing Capital Utility in Egypt |
100
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| Children as Savings Instrument for Old Age |
100
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| The Causal Relationship Between Stock Prices and Exchange Rate: A Toda-Yamamoto Approach |
100
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| Arch-Based Arima Forecasting of Money Plus Quasi Money in the Economy of India |
100
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Improved Capital Asset Pricing Model: A Multi-Objective Approach to Maximizing Capital Utility in Egypt
This paper proposes a new approach to allocating financial resources in the context of Egyptian culture. It uses an Improved Capital Asset Pricing Model (ICAPM) to maximize the utility of capital and investors' remunerations, given the dual goal of society benefits (economic and social) by means of cost of capital and profits. A multi-objective optimization technique is developed with two target models, based on the relationship between independent factors, which are the three categories of investments that satisfy society demands: subsistence, comfort and luxuries; and the dependent factors which are cost of capital as production return and the expected profit as a return for investment risk. In this paper, the ICAPM is formulated and solved as a multi-objective model. The proposed model is applied on real data estimated from Central Bank of Egypt (CBE) Annual Report 2017- 2018, and Egypt Exchange 30 (EGX 30) Historical Data (January 2017 - December 2017). The results show the best allocation for the three available alternatives with the lowest cost of capital and the highest total return.
Children as Savings Instrument for Old Age
This paper addresses the question of whether the parents' perceived expectation that their children will provide for their financial needs in old age lowers parents' level of savings in financial and physical assets. The study uses household level data from India to address this question. It is found that an increased perceived likelihood of children providing in old age leads to lower savings in passive instruments (e.g., bank deposits) in all age groups above 40 years. Savings in real estate wealth are seen to serve the primary purpose of bequest. However, interestingly, lower perceived expectation from children leads to lower savings in real estate wealth in age groups between 40 and 60 years. Active instruments seem to be accessed by only a minority of households and no consistent and statistically significant effect due to parents' expectation from children are observed. Educational expenditure, a form of investment in children, is affected by parents' expectation from children. A lower perceived expectation from children leads to lower educational expenditure per child.
The Causal Relationship Between Stock Prices and Exchange Rate: A Toda-Yamamoto Approach
The linkages between the stock market and foreign exchange market have been widely explored in different economies of the world. The diverse theoretical models suggest how exchange rate may affect stock prices and how stock prices may affect exchange rate. The study uses the Toda-Yamamoto approach to test the causality between exchange rate and stock prices employing a modified Wald statistics in an augmented VAR framework. The test results reveal a bidirectional causality running from exchange rate to stock prices and stock prices to exchange rate as well.
Arch-Based Arima Forecasting of Money Plus Quasi Money in the Economy of India
In the present study, quarterly money plus quasi money data of India for the time period 1975-2015 is broken down by time arrangement strategies. In the study the model for M is established to be ARIMA(1, 1, 1). From the forecast obtainable by using the model, it could be observed that forecasted M is very much similar to the corresponding quarter's actual M. This is efficient in view of the test that forecast errors are white noise. Further, the results demonstrate that ARCH(2, 4) forecasting is quite better than ARIMA(1, 1, 1) forecasting. Future research should try to examine the increasingly complex determining strategies to anticipate India's quarterly money plus quasi money series.