Chasing Daily Return of Socially Responsible Portfolio: Evidence from Indonesian Stock Exchange
Macroeconomic Risk and Growth in the Southeast Asian Countries: Insight from Indonesia
ISBN: 978-1-83797-043-8, eISBN: 978-1-83797-042-1
Publication date: 9 November 2023
Abstract
Environmental, social, and governance (ESG) issues have recently received much attention. This research investigates the daily performance of socially responsible investment (SRI). To do that, the authors construct portfolios consisting of the SRI, non-SRI, and matched non-SRI. The portfolios can be compared with the market benchmark based on α adjusted asset pricing models. Due to using high-frequency data, the authors use ARCH/GARCH to deal with time-varying volatility. Moreover, the authors also utilized Fama–MacBeth pooled regression to confront the SRI stocks and the non-SRI counterpart. In sum, the findings of this study confirm the superior performance of the value-weighted (VW) SRI portfolio against the market. On a head-to-head basis, the SRI yields a higher return than the non-SRI. The results are robust in the quarterly analysis. It is essential for investors that put their money in socially responsible (SR) portfolios to either promote sustainable development or chase a return on it.
Keywords
Citation
Zusryn, A.S., Rofi, M. and Al Hashfi, R.U. (2023), "Chasing Daily Return of Socially Responsible Portfolio: Evidence from Indonesian Stock Exchange", Barnett, W.A. and Sergi, B.S. (Ed.) Macroeconomic Risk and Growth in the Southeast Asian Countries: Insight from Indonesia (International Symposia in Economic Theory and Econometrics, Vol. 33A), Emerald Publishing Limited, Leeds, pp. 61-82. https://doi.org/10.1108/S1571-03862023000033A005
Publisher
:Emerald Publishing Limited
Copyright © 2024 Alyta Shabrina Zusryn, Muhammad Rofi and Rizqi Umar Al Hashfi