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

  • Received January 18, 2022;
    Accepted April 11, 2022;
    Published April 14, 2022
  • Author(s)
  • DOI
  • Article Info
    Volume 19 2022, Issue #2, pp. 51-66
  • Cited by
    7 articles

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This work is licensed under a Creative Commons Attribution 4.0 International License

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.

Alex Plastun gratefully acknowledges financial support from the Ministry of Education and Science of Ukraine (0121U100473).

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    • Figure A1. Bibliometric map of publications’ keywords on the query “Net international investment position” according to Scopus and WoS databases in 2000–2021
    • Figure A2. Bibliometric map of scientists on the query “Net international investment position” searched in the publications’ topics and keywords according to Google Scholar database in 2000–2021
    • Table 1. Static analysis of the net investment position and other queries in academic literature for the period 2000–2021 as of January 25, 2022
    • Table 2. Academic papers on the net investment position of developed European countries and Ukraine
    • Table 3. Analyzed data sources and their periods
    • Table 4. ANOVA analysis of the dynamics of a country’s investment position, ESG index and traditional indices
    • Table 5. Correlation analysis of the countries’ investment position, ESG and traditional indices
    • Table 6. Granger tests for countries’ investment position, ESG and traditional indices
    • Table 7. R/S analysis of countries’ investment positions, ESG and traditional indices
    • Table 8. Regression modeling for the indicator of a country’s investment position
    • Table 9. Checking time series for stationarity using the Dickey-Fuller test
    • Table 10. Selecting the optimal number of lags for time series in France
    • Table 11. Determining the optimal number of lags
    • Table 12. Johansen cointegration test results
    • Table 13. VAR analysis results
    • Table B1. Descriptive statistics of countries’ traditional indices and ESG indices
    • Conceptualization
      Jaroslav Slepecký, Inna Makarenko
    • Project administration
      Jaroslav Slepecký, Inna Makarenko
    • Supervision
      Jaroslav Slepecký
    • Writing – original draft
      Jaroslav Slepecký, Anna Vorontsova, Alex Plastun, Inna Makarenko, Iryna Zhyhlei
    • Writing – review & editing
      Jaroslav Slepecký, Alex Plastun
    • Formal Analysis
      Anna Vorontsova, Alex Plastun
    • Investigation
      Anna Vorontsova
    • Methodology
      Anna Vorontsova
    • Validation
      Alex Plastun, Iryna Zhyhlei
    • Data curation
      Iryna Zhyhlei
    • Resources
      Iryna Zhyhlei
    • Visualization
      Iryna Zhyhlei