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Title Forecasting the net investment position based on conventional and ESG stock market indices: The case of Ukraine and Austria
Authors Plastun, Oleksii Leonidovych  
Makarenko, Inna Oleksandrivna  
Salabura, D.
Serpeninova, Yuliia Serhiivna  
Situm, M.
ORCID http://orcid.org/0000-0001-8208-7135
http://orcid.org/0000-0001-7326-5374
http://orcid.org/0000-0002-3565-1132
Keywords environmental
social, and governance (ESG) criteria
responsible investment
net investment position
stock market
Type Article
Date of Issue 2022
URI https://essuir.sumdu.edu.ua/handle/123456789/88990
Publisher LLC “Consulting Publishing Company “Business Perspectives”
License Creative Commons Attribution 4.0 International License
Citation Alex Plastun, Inna Makarenko, Daniel Salabura, Yulia Serpeninova and Mario Situm (2022). Forecasting the net investment position based on conventional and ESG stock market indices: The case of Ukraine and Austria. Investment Management and Financial Innovations, 19(3), 60-71. doi:10.21511/imfi.19(3).2022.06
Abstract This paper examines the relationship between traditional and ESG stock market indices and the net international investment position for the case of Austria and Ukraine. For these purposes, the following methods are used: variance analysis, ANOVA analysis, correlation analysis, VAR analysis, R/S analysis, and Granger causality test. According to the results, ESG indices are less volatile than conventional ones. Based on the correlation analysis, it is concluded that there is a significant direct connection between ESG indices and their traditional counterparts (0.98 for Austria and 0.68 for Ukraine). A substantial level of persistence in Austria’s investment position indicates the possibility of using autoregression models for forecasting. The results of the net investment position modelling for the case of Austria showed a statistically significant impact of stock market indices on the net investment position. But for the case of Ukraine, this impact is insignificant. This is indirect evidence in favor of poor performance of the Ukrainian stock market. Further development of Ukrainian stock market is required, because Austrian experience showed that stock market can be used as a transmission mechanism in boosting investment position both within conventional approach and ESG.
Appears in Collections: Наукові видання (ННІ БіЕМ)

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Austria Austria
23537537
Brazil Brazil
1
Bulgaria Bulgaria
137
China China
6229449
Czechia Czechia
1
Germany Germany
2109368601
India India
67102
Italy Italy
23514
Malta Malta
1
Peru Peru
1
Philippines Philippines
1
Poland Poland
280
Singapore Singapore
1
Slovakia Slovakia
1
South Africa South Africa
1
Spain Spain
1
Taiwan Taiwan
2109368601
Turkey Turkey
1
Ukraine Ukraine
552436840
United Kingdom United Kingdom
1
United States United States
-1718327829
Unknown Country Unknown Country
644897591

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