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All Journal ETIKONOMI Economic Journal of Emerging Markets Jurnal Keuangan dan Perbankan MUQTASID Jurnal Promosi Pendidikan Ekonomi PROFIT : Jurnal Administrasi Bisnis Equilibrium Jurnal Mirai Management Jurnal Riset Akuntansi dan Keuangan JEMA: Jurnal Ilmiah Bidang Akuntansi dan Manajemen EKONOMIS : Journal of Economics and Business Jurnal Ekonomi & Keuangan Islam TIJAB (The International Journal of Applied Business) Muqtasid: Jurnal Ekonomi dan Perbankan Syariah EQIEN - JURNAL EKONOMI DAN BISNIS Jurnal Manajemen Strategi dan Aplikasi Bisnis YUME : Journal of Management Almana : Jurnal Manajemen dan Bisnis Jurnal Bisnis dan Akuntansi JURNAL PEMASARAN KOMPETITIF Jurnal Ilmiah Poli Bisnis JENIUS (Jurnal Ilmiah Manajemen Sumber Daya Manusia) Dialektika: Jurnal Ekonomi dan Ilmu Sosial Journal of Enterprise and Development (JED) Jurnal Manajemen Bisnis dan Kewirausahaan Prosiding National Conference for Community Service Project Jurnal Pengabdian kepada Masyarakat Nusantara EKOMABIS: Jurnal Ekonomi Manajemen Bisnis Jurnal Disrupsi Bisnis Asian Management and Business Review Jurnal Minfo Polgan (JMP) Jurnal Pengabdian Masyarakat : Pemberdayaan, Inovasi dan Perubahan JAMBURA: JURNAL ILMIAH MANAJEMEN DAN BISNIS Jurnal Manajemen dan Pemasaran Jasa Media Bina Ilmiah Conference on Management, Business, Innovation, Education and Social Sciences (CoMBInES) Conference on Community Engagement Project (Concept) Madani: Jurnal Pengabdian Masyarakat dan Kewirausahaan Jurnal Manajemen Maranatha
Isnaini Nuzula Agustin
Universitas Internasional Batam
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Journal : Jurnal Keuangan dan Perbankan

 1 
Can Social Responsible Investment and Gold be a Good Diversifier for Indonesia Sharia Investors? Agustin, Isnaini Nuzula
Jurnal Keuangan dan Perbankan Vol 26, No 1 (2022): January 2022
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v26i1.6929

Abstract

The COVID-19 Pandemic persists after the global financial crisis resumption of financial turbulence. This vulnerabilities phenomenon compelled investors to restructure their portfolio by implementing a well-diversification strategy. The Sharia Investment and Environment Social Governance (ESG) Investment are two types of investment that enormously attract investors' interest, partly due to their resilience in times of crisis. This study examines the market integration between Sharia stocks, ESG stocks, and Gold and empirically compares its integration in the period before and during the covid-19 Pandemic. The data used were daily closing prices on two Indonesia Sharia indices, ESG index and Gold price from January 2, 2015, to August 31, 2021. Through Johansen Cointegration, the results ascertain the cointegration among variables, implying limited diversification opportunities among assets in the long run. Vector Error Correction Model found the significant short-term relationship between the Sharia stock index and ESG investment in the pre-pandemic period but turned out to be insignificant during the Pandemic. Further, the finding confirms the Gold's ability as a good diversifier for both assets in the pre-pandemic period. However, during the Pandemic, it suggests that gold can indeed provide diversification gains only for the ESG index. Our results have imperative implications about the asset allocation under portfolio optimization.
Co-Authors Agustino Agustino Aisyah Fitriana Alex Alvin Alvin Amanda Az Zahra Amelia Putri Amelia Putrii Ana Anchao, Wang Andre Steven Andryanto Andryanto Arienda Gitty Ramadani Audrey Saudjhana Candy, Candy Charles Tjan Danielson Devin Devin Dewi Sunarwati Dian Sabrina Syaharni Ellen Ellen Elvi Juriana Erika Gustian Fauzi Fahlevi, Renza Fariono Fariono.ong@gmail.com Febby Lionna Febryna Adinda Syafutri Fiona Lysion Giorgyna, Giorgyna Gita Aulia Hans Yonathan Hendri Wijaya Hendry Charles Hernando Hesniati Hesniati Hesniati, Hesniati Ilianto Tri Sagianto Jasmine, Florentina Jeffry Setiawan Hartono Jeffry Setiawan Hartono Jennifer Jennifer Jenny Jenny Jenny, Jenny Jesty, Jesty Johny Budiman Joy Happy Jones Justyanita, Justyanita Kelvin Kelvin Kenny Marcella Lily Purwianti Lim, Michelle Angel Limanda, Kelfi Yanti Lina Lina Liu, Michelle Selvia Lukito, Ivander lydia then Mahendra, Rizky Adi Marheni, Dewi Khornida Ma’muriyah, Ni’matul Michell Phang Milke Selviah Muhamad Fajar Ronansyah Nevi Ariyu De Utami Nia Rusiana Nopry Nopry Novi Aprillia Novita Chris Ohanna, Nida Pebiana Pebiana Putra Ramadhan Putri, Ayesha Antonia Rehman, Saeeda Robin Robin, Robin Ryan Harsana Jasa Safitri, Destiana Salsabilah Sirait Samuel, Yang Songsen Sembiring, Eginta Imanuel Septiyani, Estin Rose Sherina Yoren Shevia, Shevia Steven Steven Suhendri, Nindi Suprapto, Yandi Suryati Suryati Suryati Suryati Tasya Gebee Hasvia Then, Lydia Tiara Maharani Tina Sulistiawati Tri Suhartati Ur Rahman, Haseeb Vannesa Flesya Venny Angelin Vernando, Lovis Vincent Vincent, Vincent Vivian Vivian William kho Willyana Willyana Winda Lius Yodiputra, Jason Yulfiswandi, Yulfiswandi