2022
Net investment position and the stock market: The case of traditional and ESG indices
SLEPECKÝ, Jaroslav; Anna VORONTSOVA; Inna MAKARENKO; Iryna ZBYHLEI; Alex PLASTAN et. al.Basic information
Original name
Net investment position and the stock market: The case of traditional and ESG indices
Authors
SLEPECKÝ, Jaroslav (203 Czech Republic, guarantor, belonging to the institution); Anna VORONTSOVA (804 Ukraine); Inna MAKARENKO (804 Ukraine); Iryna ZBYHLEI (804 Ukraine) and Alex PLASTAN (804 Ukraine)
Edition
Investment Management and Financial Innovations, 2022, 1810-4967
Other information
Language
English
Type of outcome
Article in a journal
Field of Study
50204 Business and management
Country of publisher
Ukraine
Confidentiality degree
is not subject to a state or trade secret
References:
Organization unit
AMBIS University
EID Scopus
2-s2.0-85132611008
Keywords in English
ESG investment; responsible investment; stock market index; traditional investment
Tags
Changed: 29/3/2023 22:05, Bc. Olga Puldová
Abstract
In the original language
This paper explores the influence of traditional and ESG stock market indices on a country’s net international investment position. To do this, different methods, including ANOVA analysis, multiply regression analysis, correlation analysis, VAR-analysis and R/S-analysis, as well as the Granger causality test, are applied to quarterly data on the net international investment position, traditional and ESG indices from Finland, Sweden, France, Spain and Ukraine over the period 2005–2021. The results of descriptive statistics show that ESG indices are more volatile than traditional, but these differences are statistically insignificant according to ANOVA analysis. Correlation analysis provides direct evidence that ESG indices are highly correlated with their traditional analogues (correlation level varies from 0.88 to 0.96). Regression analysis results show that traditional and ESG stock market indices have no significant impact on the net international investment position. ESG stock market indices and net international investment position data are persistent, and autoregressive models can be applied to these data sets. On average, Hurst exponent is above 0.75 for the case of ESG indices and above 0.85 for the net investment position. This paper provides recommendations to improve the responsible investment framework.