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Chasing Daily Return of Socially Responsible Portfolio: Evidence from Indonesian Stock Exchange

In: Macroeconomic Risk and Growth in the Southeast Asian Countries: Insight from Indonesia

Author

Listed:
  • Alyta Shabrina Zusryn
  • Muhammad Rofi
  • Rizqi Umar Al Hashfi

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.

Suggested Citation

  • Alyta Shabrina Zusryn & Muhammad Rofi & Rizqi Umar Al Hashfi, 2023. "Chasing Daily Return of Socially Responsible Portfolio: Evidence from Indonesian Stock Exchange," International Symposia in Economic Theory and Econometrics, in: Macroeconomic Risk and Growth in the Southeast Asian Countries: Insight from Indonesia, volume 33, pages 61-82, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:isetez:s1571-03862023000033a005
    DOI: 10.1108/S1571-03862023000033A005
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    More about this item

    Keywords

    Socially responsible portfolio; return performance; matching method; multifactor model; Fama–MacBeth approach; Indonesian Stock Exchange; G12; C22;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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