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Sharī‘ah and SRI Portfolio Performance in the UK: Effect of Oil Price Decline

Hendranastiti, N.D.; Asutay, M.

Authors

N.D. Hendranastiti



Abstract

In accordance with decline in oil price and portfolio performance, this study attempts to examine the effect of oil price on Sharī‘ah portfolio performance, which Socially Responsible Investment (SRI) portfolio is also constructed as a comparison. This study is different from other empirical studies which use stock index as proxy for stock market returns since this study constructs its own Sharī‘ah and SRI portfolio investment in the UK taking the companies included in FTSE 100 from 2008 up to 2015. This study shows that the decline in oil price has higher impact on Sharī‘ah portfolio compared to SRI portfolio, which is shown by lower value of Sharpe’s ratio and Treynor ratio. On the other hand, Sharī‘ah portfolio has higher beta and Jensen’s alpha compared to SRI portfolio. It provides insight to the regulatory body and scholars to reconsider the Sharī‘ah screening criteria in order for Sharī‘ah portfolio to be able to have better performance and more sustainable in the long run in order to be able to overcome different type of crisis.

Journal Article Type Article
Acceptance Date Nov 20, 2016
Online Publication Date Dec 1, 2016
Publication Date Dec 1, 2016
Deposit Date Apr 6, 2017
Journal Islamic Economic Studies
Print ISSN 1319-1616
Publisher Emerald
Peer Reviewed Peer Reviewed
Volume 24
Issue 2
Pages 77-104
DOI https://doi.org/10.12816/0033335
Public URL https://durham-repository.worktribe.com/output/1360845
Publisher URL http://iesjournal.org/english/journalarticles.html