Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/340210 
Year of Publication: 
2021
Citation: 
[Journal:] Borsa İstanbul Review [ISSN:] 2214-8469 [Volume:] 21 [Issue:] 2 [Year:] 2021 [Pages:] 105-124
Publisher: 
Elsevier, Amsterdam
Abstract: 
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.
Subjects: 
ESG/SRI
Fama-French
Islamic-SRI portfolio
Portfolio performance
Sharia stock screening
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
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