文章基本信息

标题：Does an Islamic-SRI portfolio really matter? Empirical application of valuation models in Indonesia
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作者：Abdul Qoyum ; Rizqi Umar Al Hashfi ; Alyta Shabrina Zusryn 等
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2021
卷号：21
期号：2
页码：105-124
DOI：10.1016/j.bir.2020.08.002
出版社：Elsevier B.V.
摘要：This study empirically investigates the comparative performance of four portfolios— Indonesia Shariah Stock Index (ISSI), socially responsible investing (SRI), conventional, and Islamic-SRI portfolios—in Indonesia, of which the last integrates an Islamic portfolio into an SRI portfolio (henceforth, ISRI or the ISRI portfolio), to test whether the ISRI portfolio matters by addressing the two specific issues: first, the degree to which investment performance from the ISRI portfolio is different from the other portfolios; second, whether the ISRI portfolio has better time-varying performance than the other portfolios. Overall, this study provides evidence that the ISRI portfolio outperforms the other three types. Investing in the ISRI portfolio provides more flexibility in term of investment style. Hence, integrating Islamic screening into SRI/environmental, social, and governance screening is a reasonable way to implement Islamic values in “modern” investment. The relevant policies should be adjusted.
关键词：ESG/SRI ; Fama-French ; Islamic-SRI portfolio ; Portfolio performance ; Sharia stock screening