Dari pengujian statistik, penelitian ini menemukan bahwa tidak terdapat perbedaan return portofolio yang signifikan antara portofolio Islami versus ESG, ESG Islami versus portofolio Islami, dan antara portofolio ESG Islami versus ESG. Selain itu, dari analisis tersebut, penelitian ini juga menemukan bahwa portofolio ESG syariah di Indonesia dan Malaysia memiliki probabilitas gagal bayar yang lebih rendah dibandingkan dengan portofolio syariah dan portofolio ESG. Untuk determinan kinerja, penelitian ini membuktikan secara empiris bahwa secara umum untuk seluruh portofolio yaitu portofolio syariah, portofolio ESG dan portofolio ESG syariah, faktor MRP, SMB dan HML merupakan variabel yang paling kuat mempengaruhi return portofolio.
Studi ini juga mendokumentasikan hasil bahwa portofolio ESG Islami mengungguli Portofolio Islami dan .. xiv. Portofolio ESG di Indonesia dan Malaysia.
Single Consonant
The transliteration of Arabic words used in this thesis is based on the joint decree of the Minister of Religion and the Minister of Education and Culture of the Republic of Indonesia Number:.
Dual Consonants for Shaddah Written in Multiple
Long vowels 1
Sequential Short Vowels in One Word Separated with Apostrophe
The article Alif + Lam
Sunaryati, Pak Dr.Fakhri Husain, who taught me the basics of Islamic finance. Second, a case reported by Human Rights Watch in 2013 further supports the integration of ESG factors into Islamic finance. Moreover, the achievement of maqasid al-shari'a in the field of Islamic finance is still criticized by many experts.
Therefore, the integration of ESG factors in Islamic finance combined with maqasid al-shari'a is very important to develop Islamic finance. Third, statistics indicate that Socially Responsible Investment (SRI) and the Islamic finance industry have undergone a revival over the past three decades. However, to the best of the author's knowledge, there is limited published research on Islamic finance and its relationship to environmental, social and governance (ESG) issues.
The theoretical studies generally discuss the basic points of contact and similarities between ESG, or SRI, and Islamic finance. The differences between ESG screening and Islamic finance should be a topic of discussion in these literature works. Islamic finance needs to move forward from just negative screening to the positive screening process.
The empirical research literature can be classified into two groups: 1) research comparing the performance of ESG and Islamic finance; and 2) research on the integration of dual portfolio reviews and its impact on performance. Research comparing the performance of ESG and Islamic finance continues to raise debate among scholars. Some of the findings have concluded that Islamic finance has better performance (Hayat and Hassan Abdelsalam et al.
Therefore, it is very important for the Islamic financial sector to implement a robust corporate governance policy.
Research Question
Most previous studies on ESG and portfolio performance have focused on developed countries, and relatively less attention has been paid to developing countries, including ASEAN countries (especially Indonesia and Malaysia). Therefore, it is important to now discuss ESG combined with Shariah review issues and its relationship with portfolio performance in Indonesia and Malaysia. Due to the importance of Environmental, Social and Governance (ESG) factors, the maqasid al-sharia of listed sharia companies and also the probability of default, there is an urgent need to investigate and understand the relationship between ESG factors, Islamic review and the performance of portfolio.
This study focuses on analyzing and investigating this relationship with the aim of helping the stakeholders, regulators, shareholders, management and investors to achieve their goals of investing in Islamic ESG firms. Is the default probability (risk) of the Islamic ESG portfolio improved compared to either the Islamic portfolio or the ESG portfolio alone. Does systemic risk, size, book-to-market value, profitability, investment and momentum have a better impact on the Islamic ESG portfolio performance than either the Islamic portfolio or the ESG portfolio.
Research Objectives
Research Contributions
Previous research64 covers discussions on ESG, the Islamic index and maqasid al-shari'a and related portfolio performance and default probability. This study addresses new insights gained by relating ESG to the Islamic index, which will greatly contribute to the development of Islamic financial theory. From an empirical perspective, the study of ESG and Islamic finance is considered the most interesting topic in the Islamic finance discipline.
It is clear that the main objectives are to improve the quality of Islamic finance and its ability to realize the goals of sharia so that it can move forward from the mathematical formalism practiced today. This study focuses on enriching our understanding of ESG factors in practice in the countries of Indonesia and Malaysia. These two countries were chosen because they are among world leaders in the Islamic capital market.
For a deeper understanding, this study also covers additional questions, especially the impact of triple screening on firm and portfolio performance. Finally, from a practical point of view, Shariah verification is arguably the most important aspect of the Islamic capital market, which determines whether a company is Shariah compliant and whether an investor can buy or sell its shares or not. . The ESG index in the West shows promising growth in companies that are aware of environmental and social issues.
This study aims to assist regulators and policymakers in creating a new model of Sharia screening that covers both ESG and maqasid al-Shari'a and considers corporate governance as a key component. 64 This study focuses on the case of Indonesia and Malaysia as both are recognized as key players in the Islamic financial sector.
Structure of the Thesis
The discussion then continues with tests of the different portfolio performances of the Islamic portfolio, the ESG portfolio and the Islamic ESG portfolio in the cases of Indonesia and Malaysia. This study first examined the impacts of Islamic ESG screening on portfolio performance compared to traditional, Islamic and ESG portfolios. Specifically, in the case of Malaysia, the performance of the Islamic ESG is better than the Islamic portfolio and the ESG portfolio.
From the risk perspective of each portfolio, this study found that Islamic ESG carries lower risk compared to the Islamic portfolio. In summary, there are 16 portfolio variants of Islamic ESG that have lower risk compared to the Islamic portfolio, in the case of Indonesia and Malaysia. Therefore, this finding provides empirical evidence that there is no adverse impact of Islamic ESG on portfolio performance.
Extensively explore and examine the impact of Islamic ESG on portfolio default risk. The analysis revealed that the Islamic ESG portfolio in Indonesia and Malaysia has a lower default risk compared to the Islamic portfolio and the ESG portfolio. Furthermore, statistical tests revealed that the PD of Islamic ESG differs significantly from Islamic portfolios for both Indonesia and Malaysia.
This study also interestingly found that Islamic ESG portfolio is less sensitive to systemic risk (MRP), firm size and also B/M value. This finding supports the previous argument that Islamic ESG has a lower sensitivity to risk.
Research Implications
Contribution to Knowledge
All positive signs of correlation indicate that Islamic ESG performs close to the other portfolio. In addition, we can argue from the IRF result that the innovations in Islamic ESG and ESG portfolios are quickly transferred to the Islamic portfolio in the case of Indonesia where the response is very similar. Therefore, the bulk dimensions of Islamic ESG portfolio performance used in this study are expected to be more meaningful and powerful.
Third, another contribution to the literature is a comprehensive empirical analysis of the performance of Islamic ESG portfolios, based on some underlying theories. In contrast, the CAPM model for Islamic, ESG or Islamic ESG portfolio analysis is not entirely relevant as there are other performance determinants such as SMB, HML and Momentum. Contribution to practitioners and regulators Knowledge of the impact of Islamic ESG screening and portfolio performance is of great importance to practitioners and regulators.
First, this study provides a scholarly argument on the visibility of the Islamic ESG model in Islamic finance. Islamic ESG is considered by many Islamic finance professionals as the future trend of Islamic finance. Therefore, it is a very urgent agenda of practitioners and policy makers to introduce a new model for Islamic stock screening, namely the Islamic ESG standard.
Third, this study provides empirical evidence that from the investor's point of view (micro-level), Islamic ESG screening will not affect the return earned by the investor. Fourth, this study revealed that using Islamic ESG screening as the fundamental consideration in portfolio construction produces better investment results for investors.
Limitations of the Study
If we check the screening model of Islamic finance, it is clear that the focus is on mathematical formalism and does not cover any social issues. Thus, by integrating ESG values, which are concerned with the issues of the environment and society, with Islamic screening, an investor can contribute significantly to society. Therefore, this finding will be important for the basic argument for the implementation of Islamic ESG, as part of sustainable finance, by policy makers.
Accordingly, investments by performing Islamic screening and ESG screening will generate higher income compared to using a single screening method (either Islamic or ESG). The approximation used in performance measurement is limited to market measurement namely Fama and French model. This study is limited to determining the relationship between portfolio performance and six variables as stated by Fama and French.
This study is limited in terms of the availability of the sample and the completeness of the data.
Future Research Recommendations
