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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. |
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Наукові видання (ННІ БіЕМ) |
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IMFI_2022_03_Plastun.pdf | 498.7 kB | Adobe PDF | -567365462 |
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