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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50204 - Business and management

Projekt

—

Návaznosti

N - Vyzkumna aktivita podporovana z neverejnych zdroju

Rok uplatnění

2022

Kód důvěrnosti údajů

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

Název periodika

Investment Management and Financial Innovations

ISSN

1810-4967

e-ISSN

—

Svazek periodika

2022

Číslo periodika v rámci svazku

19

Stát vydavatele periodika

UA - Ukrajina

Počet stran výsledku

16

Strana od-do

51-66

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85132611008