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Comparison of Stock Performance Based on Ethical Investment: Evidance on JII and SRI-KEHATI Indices

Author

Listed:
  • Azhar, Jeihan Ali

    (Universitas Islam Negeri Sunan Kalijaga Yogyakarta)

  • Wulandari, Resti

    (Universitas Islam Negeri Sunan Kalijaga Yogyakarta)

Abstract

This research aims to analyze and compare the performance of the Islamic stock portfolio represented by the JII index and ethical investment represented by the SRI-KE-HATI index by measuring the Risk Adjustment Return Index through the Sharpe index, Treynor index, and Jensen Indexdifferential return andappraisal ratio. The data analysis of this research consists of five parts, namely descriptive analysis, analysis of stock performance, with three methods, namely Sharpe, Treynor, and Jensen.differential return andappraisal ratioand Multiple Comparison Test. Based on the comparison of the performance of JII and SRI-KEHATI stocks in 2014-2019, it can be concluded that the overall method of Sharpe, Treynor and differential return shows a negative performance value, which means that the performance is not good, whereas when measured using the Jensen method and Appraisal Return shows positive performance value, which means good performance. When compared between the performance of JII and SRI-KEHATI shares, there is a difference between the performance of the JII and SRI-KEHATI Indices during the study period.

Suggested Citation

  • Azhar, Jeihan Ali & Wulandari, Resti, 2020. "Comparison of Stock Performance Based on Ethical Investment: Evidance on JII and SRI-KEHATI Indices," EkBis: Jurnal Ekonomi dan Bisnis, UIN Sunan Kalijaga Yogyakarta, vol. 4(2), pages 423-440, December.
    • Handle: RePEc:ris:ekbisj:1249
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    More about this item

    Keywords

    Jakarta Islamic Index (JII) SRI-KEHATI index; stock performance; Ethical Investment;
    All these keywords.

    JEL classification:

    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • H54 - Public Economics - - National Government Expenditures and Related Policies - - - Infrastructures
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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