Net investment position and the stock market: The case of traditional and ESG indices

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F02819180%3A_____%2F22%3A%230000104" target="_blank" >RIV/02819180:_____/22:#0000104 - isvavai.cz</a>

Result on the web

<a href="https://www.businessperspectives.org/index.php/journals/investment-management-and-financial-innovations/issue-405/net-investment-position-and-the-stock-market-the-case-of-traditional-and-esg-indices" target="_blank" >https://www.businessperspectives.org/index.php/journals/investment-management-and-financial-innovations/issue-405/net-investment-position-and-the-stock-market-the-case-of-traditional-and-esg-indices</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.21511/imfi.19(2).2022.05" target="_blank" >10.21511/imfi.19(2).2022.05</a>

Result language

angličtina

Original language name

Net investment position and the stock market: The case of traditional and ESG indices

Original language description

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.

Czech name

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Czech description

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Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

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OECD FORD branch

50204 - Business and management

Project

—

Continuities

N - Vyzkumna aktivita podporovana z neverejnych zdroju

Publication year

2022

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Investment Management and Financial Innovations

ISSN

1810-4967

e-ISSN

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Volume of the periodical

2022

Issue of the periodical within the volume

19

Country of publishing house

UA - UKRAINE

Number of pages

16

Pages from-to

51-66

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-85132611008