We use cookies to ensure that we give you the best experience on our website. By continuing to browse this repository, you give consent for essential cookies to be used. You can read more about our Privacy and Cookie Policy.

Durham Research Online
You are in:

Sharī‘ah and SRI portfolio performance in the UK : effect of oil price decline.

Hendranastiti, N.D. and Asutay, M. (2016) 'Sharī‘ah and SRI portfolio performance in the UK : effect of oil price decline.', Islamic economic studies., 24 (2). pp. 77-104.


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.

Item Type:Article
Full text:Publisher-imposed embargo
(VoR) Version of Record
File format - PDF
Publisher Web site:
Date accepted:20 November 2016
Date deposited:06 April 2017
Date of first online publication:01 December 2016
Date first made open access:No date available

Save or Share this output

Look up in GoogleScholar