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Membangun Indeks Saham Syariah Berkelanjutan di Indonesia: Sintesis ISSI dan SRI Kehati
This study aims to build a Sustainable Sharia Stock Index in Indonesia which will be called the Sharia Socially Responsible Investment Index (SSRI) and evaluate its risk and return characteristics compared to SRI Kehati and the Indonesian Sharia Stock Index (ISSI) using Composite Stock Price Index as the benchmark. This research uses a mixed method. The qualitative method is content analysis in implementing the SRI Kehati screening on ISSI constituent from the period of 2016-2021. The quantitative method consists of making a new index price with the Equally Weighted Method and in for comparing risk and return characteristics uses the Absolute Return Measurement Method, Sharpe Ratio, Treynor Ratio, and Jensen's Alpha with CAPM based on data collected from refinitv, eikon, IDX, Yahoo Finance. The results show that in the period of crisis, SSRI outperforms ISSI and SRI Kehati and in general SSRI could compete with ISSI and SRI Kehati. These results indicate that incorporating ESG screening into sharia investment decisions does not have a negative impact on returns and risks, so that it can be used as an option for portfolio diversification. Also, SSRI will help to reduce the financing gap for SDGs and gain a wider investor base..Ada Tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 13512 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Program Studi Ilmu Ekonomi Islam Fakultas Ekonomi dan Bisnis UI 2022 |
|---|---|
| Edisi | - |
| Subjek | Sharia index Sustainability Index |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xii, 87 p. ; diagr. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |