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

Alyta Shabrina Zusryn, Muhammad Rofi and Rizqi Umar Al Hashfi

A chapter in Macroeconomic Risk and Growth in the Southeast Asian Countries: Insight from Indonesia, 2023, vol. 33A, pp 61-82 from Emerald Group Publishing Limited

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.

Keywords: Socially responsible portfolio; return performance; matching method; multifactor model; Fama–MacBeth approach; Indonesian Stock Exchange; G12; C22 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:isetez:s1571-03862023000033a005

DOI: 10.1108/S1571-03862023000033A005

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