Sharī‘Ah and Sri Portfolio Performance in the UK: Effect of Oil Price Decline

28 Pages Posted: 5 Apr 2018

Date Written: December 1, 2016

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.

Keywords: oil price, portfolio, Sharī‘ah, SRI, performance

Suggested Citation

Hendranastiti, Nur Dhani and Asutay, Mehmet, Sharī‘Ah and Sri Portfolio Performance in the UK: Effect of Oil Price Decline (December 1, 2016). Islamic Economic Studies, Vol. 24, No. 2, 2016. Available at SSRN: https://ssrn.com/abstract=3156234

Nur Dhani Hendranastiti (Contact Author)

Durham University ( email )

Old Elvet
Mill Hill Lane
Durham, Durham DH1 3HP
United Kingdom

Mehmet Asutay

Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

Register to save articles to
your library

Register

Paper statistics

Downloads
17
Abstract Views
92
PlumX Metrics