The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI)
This study examines the performance of the Sri Kehati Index (SKI) against the Jakarta Composite Index (JCI) as the market index, using respective daily index prices from the 1st of January 2009 to the 31st of December 2014. This study uses the risk-adjusted return of Sharpe’s Index, the Adjusted Sha...
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| Format: | Article |
| Language: | English |
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Universitas Gadjah Mada
2017-04-01
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| Series: | Gadjah Mada International Journal of Business |
| Subjects: | |
| Online Access: | https://jurnal.ugm.ac.id/gamaijb/article/view/17959 |
| _version_ | 1828407312126050304 |
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| author | Abdul Hadi Zulkafli Zamri Ahmad Eky Ermal M |
| author_facet | Abdul Hadi Zulkafli Zamri Ahmad Eky Ermal M |
| author_sort | Abdul Hadi Zulkafli |
| collection | DOAJ |
| description | This study examines the performance of the Sri Kehati Index (SKI) against the Jakarta Composite Index (JCI) as the market index, using respective daily index prices from the 1st of January 2009 to the 31st of December 2014. This study uses the risk-adjusted return of Sharpe’s Index, the Adjusted Sharpe’s Index (ASI), Treynor’s Index, Jensen’s Alpha Index, the Adjusted Jensen’s Alpha Index (AJI) and Sortino’s Ratio to examine the performance of the SKI and the JCI. Except for Sharpe’s Index and the Adjusted Sharpe’s Index, the risk-adjusted return performance of the SKI, (Treynor, Jensen’s Alpha, Adjusted Jensen’s Alpha and Sortino) outperforms the JCI as the conventional benchmark. However, Jensen’s Alpha is the only performance measure that is significant and therefore supports that the SKI outperforms the JCI during the overall period from 2009 to 2014. As there is a contradiction between the adjusted returns of Sharpe’s Index/Adjusted Sharpe’s Index and Jensen’s Alpha Index, the hypothesis that the SKI presents a higher risk adjusted performance than the JCI does cannot be accepted. Even though the performance of SKI in this study is slightly lower over the whole period of the study, it is still generating competitive returns. |
| first_indexed | 2024-12-10T11:23:46Z |
| format | Article |
| id | doaj.art-f5ea97ff1b40408f8173c55823faf245 |
| institution | Directory Open Access Journal |
| issn | 1411-1128 2338-7238 |
| language | English |
| last_indexed | 2024-12-10T11:23:46Z |
| publishDate | 2017-04-01 |
| publisher | Universitas Gadjah Mada |
| record_format | Article |
| series | Gadjah Mada International Journal of Business |
| spelling | doaj.art-f5ea97ff1b40408f8173c55823faf2452022-12-22T01:50:50ZengUniversitas Gadjah MadaGadjah Mada International Journal of Business1411-11282338-72382017-04-01191597610.22146/gamaijb.1795916036The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI)Abdul Hadi Zulkafli0Zamri Ahmad1Eky Ermal M2Universiti Sains Malaysia, School of Management, Penang, MalaysiaUniversiti Sains Malaysia, School of Management, Penang, MalaysiaUniversitas Medan AreaThis study examines the performance of the Sri Kehati Index (SKI) against the Jakarta Composite Index (JCI) as the market index, using respective daily index prices from the 1st of January 2009 to the 31st of December 2014. This study uses the risk-adjusted return of Sharpe’s Index, the Adjusted Sharpe’s Index (ASI), Treynor’s Index, Jensen’s Alpha Index, the Adjusted Jensen’s Alpha Index (AJI) and Sortino’s Ratio to examine the performance of the SKI and the JCI. Except for Sharpe’s Index and the Adjusted Sharpe’s Index, the risk-adjusted return performance of the SKI, (Treynor, Jensen’s Alpha, Adjusted Jensen’s Alpha and Sortino) outperforms the JCI as the conventional benchmark. However, Jensen’s Alpha is the only performance measure that is significant and therefore supports that the SKI outperforms the JCI during the overall period from 2009 to 2014. As there is a contradiction between the adjusted returns of Sharpe’s Index/Adjusted Sharpe’s Index and Jensen’s Alpha Index, the hypothesis that the SKI presents a higher risk adjusted performance than the JCI does cannot be accepted. Even though the performance of SKI in this study is slightly lower over the whole period of the study, it is still generating competitive returns.https://jurnal.ugm.ac.id/gamaijb/article/view/17959Socially Responsible Investment |
| spellingShingle | Abdul Hadi Zulkafli Zamri Ahmad Eky Ermal M The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI) Gadjah Mada International Journal of Business Socially Responsible Investment |
| title | The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI) |
| title_full | The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI) |
| title_fullStr | The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI) |
| title_full_unstemmed | The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI) |
| title_short | The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI) |
| title_sort | performance of socially responsible investments in indonesia a study of the sri kehati index ski |
| topic | Socially Responsible Investment |
| url | https://jurnal.ugm.ac.id/gamaijb/article/view/17959 |
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