After going through the issues of performance of Islamic ESG, Islamic, and ESG portfolios, it certainly has opened up more room for further research related to these issues. In this regard, we highlight several recommendations for future research.
First, this study mainly focuses on the performance of the portfolio with the Fama and French model, known as market-based model, rather than using all of the measurement models of portfolio performance. Further research can extend the analysis by incorporating CAPM (market model), the Sharpe, Jansen, and Treynor Ratio (risk-adjusted based model), and also other models, such as the maqasid al-shari’a model and so on. In addition, future research could also consider developing its own model of screening to obtain new insights into Islamic ESG.
Second, future research could also look into the other determinants of portfolio performance, such as macroeconomic variables and other fundamental factors.
Third, further research could embark upon more samples, not only Indonesia and Malaysia, but also comparison to other ASEAN countries such as Singapore, Thailand, and the Philippines.
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