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Journal of Quantitative Finance and Economics

Journal of Quantitative Finance and Economics

Frequency :Bi-Annual

ISSN :2582-1237

Peer Reviewed Journal

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Table of Content :-Journal of Quantitative Finance and Economics , Vol:5, Issue:2, Year:2023

Analyzing the Performance of Diversified Commodity Derivatives Portfolios in Brazil

BY :   Vinícius Da Silva Braga and Glauco Fonteles de Oliveira e Silva
Journal of Quantitative Finance and Economics , Year: 2023,  Vol.5 (2),  PP.201-215
Received: 22 July 2023  | Revised: 25 August 2023  | Accepted : 30 August 2023  | Publication: 30 December 2023 
Doi No.: https://DOI:10.47509/JQFE.2023.v05i02.01 

This paper seeks to investigate how we invest in commodity derivatives by comparing the performance of portfolios constructed using the mean-variance model, hierarchical risk parity, and the naive strategy with the stock market and the risk-free rate. For this purpose, daily closing future prices of ethanol, corn, cattle, gold, coffee, and soybeans traded in Brazil from 2015 to 2023 are considered, in addition to the rate of interbank deposit certificates (CDI or DI) and the performance of the theoretical portfolio. of shares in the Ibovespa index. The constructed portfolios are analyzed using the Sharpe Ratio, CVaR, Beta, and Maximum Drawdown metrics and the comparison of their returns. The results indicate that the portfolio constructed using the mean-variance model presented the lowest risk ratios and generated the highest return, followed by the hierarchical risk parity, the naive strategy, and the Ibovespa index. These findings are useful for scientific literature that investigates finance by bringing empirical evidence of Brazilian commodities to portfolio managers, investors, and other agents in the supply chain.

Keywords: Portfolio diversification, Investments in derivatives, Brazilian commodities, future prices.

JEL Classification: G00, G11, Q11, Q14.

Vinícius Da Silva Braga and Glauco Fonteles de Oliveira e Silva (2023). Analyzing the Performance of Diversified Commodity Derivatives Portfolios in Brazil. Journal of Quantitative Finance and Economics. 5(2), 201-215. https://DOI:10.47509/JQFE.2023.v05i02.01

SINGAPORE AND USA: Can Small and Large Countries alike Apply Collaboration to End Poverty?

BY :   Dennis Ridley, Lorin Lee and Andrea Nelson
Journal of Quantitative Finance and Economics , Year: 2023,  Vol.5 (2),  PP.217-242
Received: 29 July 2023  | Revised: 09 September 2023  | Accepted : 20 September 2023  | Publication: 30 December 2023 
Doi No.: https://DOI:10.47509/JQFE.2023.v05i02.02 

Countries that rank highly in capitalism, democracy and rule of law (CDR) are known to have high levels of real per capita gross domestic product (GDP) adjusted for purchasing power parity (GDPppp). Singapore and the United States of America (USA), one small and one large, are high CDR countries with high GDPppp. However, Singapore’s GDPppp is significantly higher than that of USA and others, which is remarkable and noteworthy. The purpose of this paper is to determine the reasons for this and to identify any characteristics that can be adopted by poor countries, whether large or small, to improve their own GDPppp. The paper is scientific in that it presents a theory of collaboration and describes the corresponding experiment in school sport collaboration training that Singapore did, thereby making CDR work to create the world’s highest GDPppp. The novelty is the revelation that while cooperation is the basis of ordinary economic growth, collaboration is the embryo of extraordinary economic growth.

Keywords: Collaboration; CDR economic model; Gross domestic product; Rule of law; Sports training; Gene Therapy.

Dennis Ridley, Lorin Lee & Andrea Nelson (2023). Singapore and USA: Can Small and Large Countries alike Apply Collaboration to End Poverty?. Journal of Quantitative Finance and Economics. 5(2), 217-242. https://DOI:10.47509/JQFE.2023.v05i02.02

Application of Transportation and Inventory Models on Operations and Performance of Manufacturer Representatives Firms in Akwa Ibom State, Nigeria

BY :   Etim Osim Etim, Isaac Ayanyinka Ayandele, Samuel George Etuk and Augustine Brendan Inyang
Journal of Quantitative Finance and Economics , Year: 2023,  Vol.5 (2),  PP.243-257
Received: 12 October 2023  | Revised: 03 November 2023  | Accepted : 10 November 2023  | Publication: 30 December 2023 
Doi No.: https://DOI:10.47509/JQFE.2023.v05i02.03 

The study was carried out to ascertain the effects of the application of transportation and inventory models on the operations and performance of manufacturer representatives' firms in Akwa Ibom State. This follow the fact that it seems the application of these models in real life situation is so complex, most managers shy away from their adoption in decision making process. Survey research design was employed in the study using questionnaire to obtained data from one hundred and twenty-two (122) firms which constituted the sample of the study. The dependent variable was operational efficiency/performance, while transportation and inventory models were the independent variables. The data were analyzed using descriptive statistics and simple linear regression analysis. Results revealed (TM: t-stat = 5.791, R2 = 0.58, F-ratio = 166.66, P<0.05; InM: t-stat = 22.278, R2 = 0.508, F-ratio = 123.94, P<0.05) that transportation and inventory models significantly and positively influenced operations and performance of studied firms. It was concluded that quantitative models affect operations and performance of these entities and recommended that other models such as forecasting and assignment models as well as computerizations of operations be imbibed by the managers to foster their operations and performance.

Keywords: Transportation and inventory models, performance, decision making, quantitative models.


Etim Osim Etim, Isaac Ayanyinka Ayandele, Samuel George Etuk & Augustine Brendan Inyang (2023). Application of Transportation and Inventory Models on Operations and performance of Manufacturer Representatives Firms in Akwa Ibom State, Nigeria. Journal of Quantitative Finance and Economics. 5(2), 243-257. https://DOI:10.47509/JQFE.2023.v05i02.03


Comparative Analysis of Error Innovation Distributions in Modelling Volatility of Nigeria Stock Exchange

BY :   OLUBIYI Adenike Oluwafunmilola, OLAYEMI Michael Sunday, ADIGUN Kehinde Abimbola, & OLAJIDE Oluwamayowa Opeyimika
Journal of Quantitative Finance and Economics , Year: 2023,  Vol.5 (2),  PP.259-273
Received: 22 October 2023  | Revised: 19 November 2023  | Accepted : 26 November 2023  | Publication: 30 December 2023 
Doi No.: https://DOI:10.47509/JQFE.2023.v05i02.04 

In the estimation of volatility models, this paper compares the new distribution of innovation error. An empirical database of the daily returns of the Nigeria Stock Exchange (NSE) index from 2012 to 2022 was used to compare the standardized exponentiated Gumbel error innovation distribution (SEGEID) with the existing error distribution. The data are stationary without transformation, according to the statistics of stationary, but there is heteroscedasticity, according to the statistics of the ARCH effect using the statistics of ADF. With a probability value of 0.00 in both the new error distribution and the current distribution, the estimates of the volatility model are significant. The results showed that GARCH (1,1) with a SEGEID error distribution surpassed other model with lower AIC values. In the study simulation, GARCH (1,1) with SEGEID was more effective than other error distributions and showed the effectiveness and effectiveness of SEGEID.

Keywords: Volatility models, Simulation, Standardized exponentiated, stocks and error distributions.

JEL Classification: C58, F47, C59


OLUBIYI Adenike Oluwafunmilola, OLAYEMI Michael Sunday, ADIGUN Kehinde Abimbola, & OLAJIDE Oluwamayowa Opeyimika (2023). Comparative Analysis of Error Innovation Distributions in Modelling Volatility of Nigeria Stock Exchange. Journal of Quantitative Finance and Economics. 5(2), 259-273. https://DOI:10.47509/JQFE.2023.v05i02.04

Mobile Money and Income Inequality in Togo

BY :   Pikabe DONI and Mawuli Kodjovi COUCHORO
Journal of Quantitative Finance and Economics , Year: 2023,  Vol.5 (2),  PP.275-295
Received: 30 October 2023  | Revised: 22 November 2023  | Accepted : 06 December 2023  | Publication: 30 December 2023 
Doi No.: https://DOI:10.47509/JQFE.2023.v05i02.05 

The objective of this paper is to analyze the impact of mobile money on income inequality in Togo using data from the 2018 Harmonized Household Living Conditions Survey (EHCVM). The Propensity Score Matching method is then used to analyze the impact of mobile money on household expenditures. Our results show that households that use mobile money see an increase in spending compared to households that do not use it. To account for the potential endogeneity bias that may exist between mobile money and spending, we use smooth instrumental variable quantile regression as robustness. Our results reveal that mobile money contributes to increased household spending at all quantile levels of the distribution. The authorities could therefore encourage research and development in the field of digital finance such as mobile money. This could result in the financing of start-ups that innovate in this field.

Keywords: Mobile money, income inequality, households, Togo

JEL: O16, D63, H31

Pikabe DONI & Mawuli Kodjovi COUCHORO (2023). Mobile Money and Income Inequality in Togo. Journal of Quantitative Finance and Economics. 5(2), 275-295. https://DOI:10.47509/JQFE.2023.v05i02.05

Shadow of Inflation-Unemployment-Poverty on the Economic Development in India

BY :   Jitendra Kumar Sinha
Journal of Quantitative Finance and Economics , Year: 2023,  Vol.5 (2),  PP.297-315
Received: 10 November 2023  | Revised: 30 November 2023  | Accepted : 16 December 2023  | Publication: 30 December 2023 
Doi No.: https://DOI:10.47509/JQFE.2023.v05i02.06 

This article analyses the impact of inflation, poverty, unemployment, and population growth on the economic growth of India using the time series data from 1990-2021. The stationarity for the variables was tested through unit root testing, while the asymmetric nonlinear autoregressive distributed lag technique (NARDL) was applied to reveal the association among the variables via short-run and long-run dynamics. It was found that inflation and poverty have negative linkages with economic growth; unemployment has a positive association with economic growth, and population growth showed a negative association with economic growth via short-run and long-run dynamics. Unemployment and inflation are now emerging issues in India, and government policies are required to tackle these issues to boost economic progress.

Keywords: Inflation; Unemployment; Poverty: Economic Growth; NARDL.

JEL: C25, E32, E37, E51

Jitendra Kumar Sinha (2023). Shadow of Inflation-Unemployment-Poverty on the Economic Development in India. Journal of Quantitative Finance and Economics. 5(2), 297-315. https://DOI:10.47509/JQFE.2023.v05i02.06

On Approach for Analysis of Random Economic Processes

BY :   E.L. Pankratov
Journal of Quantitative Finance and Economics , Year: 2023,  Vol.5 (2),  PP.317-320
Received: 20 November 2023  | Revised: 05 December 2023  | Accepted : 10 December 2023  | Publication: 30 December 2023 
Doi No.: https://DOI:10.47509/JQFE.2023.v05i02.07 

In this paper we introduce a model for prognosis of random economical processes. The approach gives a possibility to make prognosis of the considered processes during changing of economical situation. Also we introduce an analytical approach for analysis of the introduced model.

Keywords: random economical processes; approach for prognosis.

E.L. Pankratov (2023). On Approach for Analysis of Random Economic Process. Journal of Quantitative Finance and Economics. 5(2), 317-320. https://DOI:10.47509/JQFE.2023.v05i02.07

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