Journal of Finance and Islamic Banking
Volume 4, Issue 2, December 2021, 4901
Full Lenght Article
The Performance of the Socially Responsible Investment Index in Indonesia
Under a Creative Commons license
Open Access
Abstract
In Indonesia, several stock indices can be used as a reference in investing in stocks, such as the LQ-45, JII, and SRI-KEHATI stock indexes. The SRI-KEHATI stock index emphasizes its attention to sustainable and responsible investment (SRI), which is a manifestation of socially responsible investing, a perspective in investing where attention to ethics, social, and normative views of investors influences investors' decisions in investing. The purpose of the study was to compare the performance of SRI-KEHATI stock indexes against LQ-45 and JII based on risk-adjusted return using Sharpe, Treynor, and Jensen's Alpha ratios with an observation period from January 2015 to December 2019. The results showed that the overall performance of the SRI-KEHATI stock index managed to outperform the performances of LQ-45 and JII. Based on these results, investors can look at the stocks listed in the SRI-KEHATI stock index because, in addition to getting.
Declarations
Publisher's Note
Universitas Islam Negeri Raden Mas Said Surakarta remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.
References
Borgniet, T. (2019). Socially Responsible Investments : Performance analysis between a SRI and a conventional index FTSE4Good compared to FTSE index. Université catholique de Louvain.
Esterhuyse, L. (2019). Towards corporate transparency: The link between inclusion in a socially responsible investment index and investor relations practices. Bottom Line, 32(4), 290–307. https://doi.org/10.1108/BL-03-2019-0081
Harahap, N., Harmain, H., Siregar, S., & Maharani, N. (2017). Pengaruh Islamic Social Reporting, Umur Perusahaan, dan Kepemilikan Saham Publik Terhadap Profitabilitas (ROA) pada Perusahaan yang terdaftar di Jakarta Islamic Index (JII) tahun 2010-2014. Jurnal Akuntansi dan Keuangan Syariah Volume 1. No. 1 Januari-Jun. KITABAH: Journal of Accounting and Islamic Financing, 5(564), 69–91.
Hassan, M. K., & Lewis, M. K. (2007). Handbook of Islamic banking. In Edward Elgar Publishing Limited. Edward Elgar Publishing, Inc.
Hermawan, D., & Wiagustini, N. (2016). Pengaruh Inflasi, Suku Bunga, Ukuran Reksa Dana, Dan Umur Reksa Dana Terhadap Kinerja Reksa Dana. E-Jurnal Manajemen Universitas Udayana, 5(5), 252342.
Huda, N., & Nasution, M. E. (2007). Investasi Pada Pasar Modal Syariah. Kencana.
Humphrey, J. E., & Lee, D. D. (2011). Australian Socially Responsible Funds: Performance, Risk and Screening Intensity. Journal of Business Ethics, 102(4), 519–535. https://doi.org/10.1007/s10551-011-0836-7
Jogiyanto. (2016). Teori Portofolio dan Analisis Investasi (10th Editi). BPFE-YOGYAKARTA.
Kiymaz, H. (2019). Factors influencing SRI fund performance. Journal of Capital Markets Studies, 3(1), 68–81. https://doi.org/10.1108/jcms-04-2019-0016
Lakaba, A., & Robiyanto, R. (2018). Evaluasi Kinerja Saham Bertanggungjawab Sosial (Studi Pada Saham-Saham Yang Masuk Perhitungan Indeks Sri-Kehati). Jurnal Organisasi Dan Manajemen, 14(2), 95–107. https://doi.org/10.33830/jom.v14i2.155.2018
Martalena, & Malinda, M. (2011). Pengantar Pasar Modal. Andi.
Oseni, U. A., & Ali, S. N. (2019). Fintech in Islamic FinanceTheory and Practice. Routledge.
Pertiwi, D. N., & Meirinaldi. (2016). Analisis Perbedaan Kinerja Portofolio Optimal Indeks Sri Kehati dan LQ45 Periode 2010-2014. Jurnal Ekonomi, 18(3), 311–333.
Puspha Sonia, E. N. D. dan E. S. (2017). Pengaruh Pembiayaan, Kas, dan Ukuran Perusahaan terhadap Islamic Social Reporting (ISR) dengan Profitabilitas sebagai Variabel Intervening. Jurnal Ekonomi, 25(1), 16–31.
Putri, D. T. H., & Worokinasih, S. (2018). Analisis Kinerja Investasi Reksa Dana Syariah Di Indonesia. Jurnal Administrasi Bisnis (JAB)|Vol, 59(1), 134–143.
Rahman, A. B. M. M., Fang, P., & Suborna, Q. (2012). Mutual Fund Performance : An Analysis of Monthly Returns of an Emerging Market. Research Journal of Finance and Accounting, 3(4), 34–47.
Raut, R. K. (2020). Past behaviour, financial literacy and investment decision-making process of individual investors. International Journal of Emerging Markets, 15(6), 1243–1263. https://doi.org/10.1108/IJOEM-07-2018-0379
Robiyanto, R. (2018). Performance Evaluation of Stock Price Indexes in the Indonesia Stock Exchange. International Research Journal of Business Studies, 10(3), 173–182. https://doi.org/10.21632/irjbs.10.3.173-182
Sauer, D. A. (1997). The impact of social-responsibility screens on investment performance: Evidence from the Domini 400 social index and Domini Equity Mutual Fund. Review of Financial Economics, 6(2), 137–149. https://doi.org/10.1016/s1058-3300(97)90002-1
Sharpe, W. F. (1964). Capital Asset Prices: a Theory of Market Equilibrium Under Conditions of Risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
Sparkes, R. (2002). Socially Responsible Investment. John Wiley & Sons, Ltd.
Widiatmojo, S. (2005). Cara Sehat Investasi di Pasar Modal. PT. Elex Media Komputindo.
Widiawati, S., & Raharja, S. (2012). Islamic Social Reporting Perusahaan Perusahaan Yang Terdapat Pada Daftar Efek Syariah. Diponegoro Journal of Accounting, 1(2), 248–262.
Yayasan Keanekaragaman Hayati Indonesia. (2019). SRI-KEHATI INDEX.
Zulkafli, A. H., Ahmad, Z., & Eky Ermal, M. (2017). The performance of socially responsible investments in Indonesia: A study of the Sri Kehati Index (SKI). Gadjah Mada International Journal of Business, 19(1), 59–76. https://doi.org/10.22146/gamaijb.17959
Copyright and permissions
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Bibliographic Information
