@phdthesis{digilib39628,
           month = {June},
           title = {THE ENVIRONMENTAL, SOCIAL, AND GOVERNANCE
(ESG) CRITERIA AND ITS IMPACT ON THE PORTFOLIO
PERFORMANCE},
          school = {UNIVERSITAS ISLAM NEGERI SUNAN KALIJAGA},
          author = {NIM. 17300016063 ABDUL QOYUM, SEI, M.Sc.Fin},
            year = {2020},
            note = {Prof. Dr. Hadri Kusuma, MBA},
        keywords = {Islamic Portfolio, Islamic ESG Portfolio, ESG Portfolio,
Fama and French, Merton Model.},
             url = {https://digilib.uin-suka.ac.id/id/eprint/39628/},
        abstract = {Islamic investment and ESG are two alternatives for investors that
can be selected either as substitutive or by combining both markets.
The objectives of this study are: 1) to comprehensively explore and
examine the impact of double screening (Islamic ESG screening) on
portfolio performance; 2) to comprehensively explore and examine
the relationship between ESG and Islamic Screening with default
probability; and 3) to explore the impacts of systemic risk, size, book
to market value, profitability, investment, and momentum on Islamic
ESG, ESG, and Islamic portfolios, and to identify if there is any
difference in character among the three. This study uses a selfcomposed
portfolio from 2011-2018 based on the Fama and French
Six Factor Models. From the portfolio, the arithmetic means of
excess return and Merton Model were then employed. For further
understanding of the characteristics of the Islamic and ESG
portfolios, the six factors that are implemented in the Fama and
French Model were utilized. From the statistical testing, this study
revealed that there is no difference in portfolio return between the
Islamic portfolio and the ESG portfolio, the Islamic ESG portfolio
and the Islamic portfolio, or the Islamic ESG portfolio and the ESG
portfolio. In addition, from the analysis, this study found that the
Islamic ESG portfolio in Indonesia and Malaysia has lower default
probability compared to the Islamic and ESG portfolios. For the
performance determinant, this study empirically evidenced that,
overall, for all portfolios, namely Islamic, ESG, and Islamic ESG
portfolio, MRP, SMB, and HML are the most powerful variables in
terms of impact on portfolio return. The study also observed that the
Islamic ESG portfolio provides better performance compared to the
Islamic and ESG portfolios, both in Indonesia and Malaysia. This
was indicated by the relationship of each variable, namely MRP,
SMB, HML, RMW, CMA, and UMD. These findings suggest that
investors can consider investing in both markets, or even combining
the two markets, in their portfolio. For the policymakers, it provides
reasoning for establishing an Islamic ESG Index consisting of
Islamic ESG firms.}
}