JEFMS Journal

ABSTRACT:

The study aims to conduct a conceptual review of ethical investment research based on Widyawati (2019). Through the conceptual review method, the research obtained 70 relevant articles. The results of the literature analysis conclude that there is a development of ethical investment studies and in general it is divided into four main themes, namely (i) investor behavior studies, (ii) ethical investment development studies, (iii) ethical investment performance studies and (iv) ethics and religious-based investment studies (stock of sin stocks category). The studies of investor behavior focuses on examining the characteristics of ethical investors such as motivation, investment patterns and the basis for making investment decisions. The studies of ethical investment development emphasizes the description of ethical investment in a particular area, the argumentation of ethical investment theory and the role of participants in the ethical investment market, including ethical investment mechanisms, namely screening and shareholder activism. The studies of ethical investment performance focus on the performance by comparing the return on ethical investment with its benchmark (nonethical investment). Meanwhile the studies of ethical and religious-based investment (stock of sin stocks category) focuses on testing implementation of negative screening of sin stocks, testing the performance of sin stocks and testing the relationship between sin stocks with certain themes.

KEYWORDS:

ethical investment studies, investor behavior studies, ethical investment development studies, ethical investment performance studies, sin stocks

REFERENCES:

1) Al-Awadhi, A. M. (2017). Essays on Religious Beliefs and Stock Market Outcomes. A Thesis. School of Economics, Finance and Marketing College of Business RMIT University. https://researchbank.rmit.edu.au/view/rmit:162003.

2) Al-awadhi, A. M., Bash, A., Al-mutairi, A. F. dan Al-awadhi, A. M. (2018). Returns of Islamic Stocks in Saudi Arabia: Segmentation and Risk-Aversion. International Journal of Economics and Financial Issues, 8(2), 238–242.

3) Al-Awadhi, A. M. dan Dempsey, M. (2017). Social Norms and Market Outcomes : The Effects of Religious Beliefs on Stock Markets. Journal of International Financial Markets, Institutions & Money. https://doi.org/10.1016/j.intfin.2017.05.008

4) Albaity, M. dan Ahmad, R. (2011). Return performance and leverage effect in Islamic and socially responsible stock indices evidence from Dow Jones (DJ) and Financial Times Stock Exchange (FTSE). African Journal of Business Management, 5 (16), 6927–6939. https://doi.org/10.5897/AJBM10.1063

5) Angel, J. J. dan Rivoli, P. (1997). Does Ethical Investing Impose A Cost Upon The Firm A Theoritical Perspective. The Journal of Investing, Winter, 57–61. https://doi.org/10.3905/joi.1997.57

6) Barnea, A., Heinkel, R. dan Kraus, A. (2005). Green investors and corporate investment. Structural Change and Economic Dynamics, 16, 332–346. https://doi.org/10.1016/j.strueco.2004.04.002

7) Barnett, M. L. dan Salomon, R. M. (2006). Beyond dichotomy: The curvilinear relationship between social responsibility and financial performance. Strategic Management Journal, 27(11), 1101–1122. https://doi.org/10.1002/smj.557

8) Beal, D. J., Goyen, M. dan Phillips, P. (2005). Why do we invest ethically? Journal of Investing, 14(3), 66–77

9) Bradford, H. (2019). 70% of institutional investors apply ESG to investment decisions – survey. https://www.pionline.com/esg/70-institutional-investors-apply-esg-investment-decisions-survey

10) Cahan, S. F., Chen, C. dan Chen, L. (2017). Social Norms and CSR Performance. Journal of Business Ethics, 145(3), 493–508. https://doi.org/10.1007/s10551-015-2899-3

11) Capelle-Blancard, G. dan Monjon, S. (2014). The Performance of Socially Responsible Funds: Does the Screening Process Matter? European Financial Management, 20(3), 1–43. https://doi.org/10.2139/ssrn.1734764

12) Claassen, D. B. (2010). Sin Stocks Returns & Collectivism versus Individualism (Issue April). Thesis. International Economics and Finance, Tilburg University, Amsterdam.

13) Cortez, M. C., Silva, F. dan Areal, N. (2009). The performance of European socially responsible funds. Journal of Business Ethics, 87(4), 573–588

14) Cowton, C. J. (1994). The Development of Ethical Investment Products. In A. R. Prindl & B. Prodhan (Eds.), Ethical Conflicts in Finance (pp. 213–232). Blackwell Publishers,.

15) Cowton, C. J. (2018). Socially Responsible Investing. In A. Lewis (Ed.), The Cambridge Handbook of Psychology and Economic Behaviour (pp. 285–304). Cambridge University Press. https://doi.org/10.1017/9781316676349.010.

16) Cox, P., Brammer, S. dan Millington, A. (2004). An Empirical Examination of Institutional Investor Preferences for Corporate Social Performance. Journal of Business Ethics, 52: 27–43

17) Derwall, J., Koedijk, K. dan Ter Horst, J. (2011). A tale of values-driven and profit-seeking social investors. Journal of Banking and Finance, 35(8), 2137–2147. https://doi.org/10.1016/j.jbankfin.2011.01.009

18) Dunfee, T. W. (2003). Social Investing : or Backwater ? Journal of Business Ethics, 43(3), 247–252.

19) Dyck, A., Lins, K. V., Roth, L. dan Wagner, H. F. (2019). Do institutional investors drive corporate social responsibility? International evidence. Journal of Financial Economics, 131(3), 693–714. https://doi.org/10.1016/j.jfineco.2018.08.013

20) Easton, S. dan Pinder, S. (2018). Theory and empirical evidence on socially responsible investing and investment performance: Implications for fund trustees and their members. ACFS Commissioned Paper Series. Monash University.

21) Eccles, R. G. dan Klimenko, S. (2019). The investor revolution. Harvard Business Review, 2019(May-June), 106–116.

22) Forte, G. dan Miglietta, F. (2011). A Comparison of Socially Responsible and Islamic Equity Investments. SSRN Electronic Journal, 21(21). https://doi.org/10.2139/ssrn.1819002

23) Friedman, M. (1970). The Social Responsibility of Business Is to Increase Its Profits. The New York Times Magazine, 1-6. https://www.bnicapital.ch/files/friedman.pdf.

24) Gillet, P. dan Salaber-Ayton, J. (2017). The recent development and performance of ethical investments. In Routledge Handbook of Social and Sustainable Finance (pp. 530–546).

25) Golombik, J., Kumar, A. dan Parwada, J. T. (2011). Does Religion Affect Stock Markets and Institutional Investor Behavior? SSRN Electronic Journal, 1-66. https://ssrn.com/abstract=1746564.

26) Grossman, B. R., & Sharpe, W. F. (1986). Financial Implications of South African Divestment. Financial Analyst Journal, 42, 15-29. https://doi.org/10.2469/faj.v42.n4.15

27) GSIA. (2018). 2018 Global Sustainable Investment Review.

28) Guay, T., Doh, J.P. dan Sinclair, G. (2004). Non-Governmental Organizations, Shareholder Activism, and Socially Responsible Investments: Ethical, Strategic, and Governance Implicatons. Journal of Business Ethics. 52(1):125-139

29) Hassan, M. K. dan Girard, E. (2010). Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes. Islamic Economic Studies, 17(2). https://doi.org/10.2139/ssrn.1808853

30) Heinkel, R., Kraus, A. dan Zechner, J. (2001). The Effect of Green Investment on Corporate Behavior. The Journal of Financial and Quantitative Analysis, 36(4), 431–449. https://doi.org/10.2307/2676219

31) Hong, H. dan Kacperczyk, M. (2009). The price of sin: The effects of social norms on markets. Journal of Financial Economics, 93(1), 15–36. https://doi.org/10.1016/j.jfineco.2008.09.001

32) Hood, M., Nofsinger, J. R. dan Varma, A. (2014). Conservation, Discrimination, and Salvation: Investors’ Social Concerns in the Stock Market. Journal of Financial Services Research, 45(1), 5–37. https://doi.org/10.1007/s10693-013-0162-6

33) Hsu, J., Yang, T.-H. dan Sung, P.-S. (2016). SEO firms’ lottery-like characteristics, institutional ownership, and long-run performance. Journal of Business Research SEO, 69, 2160–2166.

34) Humphrey, J. E. dan Lee, D. D. (2011). Australian socially responsible funds – performance, risk and screening intensity. Journal of Business Ethics, 102(4), 519-535.

35) Kim, I. dan Venkatachalam, M. (2011). Are sin stocks paying the price for their accounting sins? Journal of Accounting, Auditing & Finance, 26(2), 415–442. https://doi.org/10.1177/0148558X11401222

36) Koop, M. (2013). Socially Responsible Investment Fund Performance : The Impact of Social Screens and Intensity (Issue August 2013). Thesis. School of Economics and Management, Tilburg University, The Netherlands.

37) Kumar, A. dan Page, J. K. (2014). Deviations from norms and informed trading. Journal of Financial and Quantitative Analysis, 49(4), 1005–1037. https://doi.org/10.1017/S0022109014000519

38) Leventis, S., Hasan, I. dan Dedoulis, E. (2013). The Cost of Sin: The effect of social norms on audit pricing. International Review of Financial Analysis, 29, 152–165. https://doi.org/10.1016/j.irfa.2013.03.006

39) Liston, D. P. dan Soydemir, G. (2010). Faith-based and sin portfolios: An empirical inquiry into norm-neglect vs norm-conforming investor behavior. Managerial Finance, 36(10), 876–885. https://doi.org/10.1108/03074351011070242

40) Louche, C. dan Lydenberg, S. (2006). Socially Responsible Investment: Differences between Europe and United States. In Vlerick Leuven Gent Management School Working Paper Series 2006-22,.

41) Lusyana, D., dan Sherif, M. (2017). Shariah-compliant investments and stock returns: evidence from the Indonesian stock market. Journal of Islamic Accounting and Business Research, 8(2), 143-160. http://dx.doi.org/10.2139/ssrn.1746564.

42) Magnússon, M. B. dan Dyremyhr, T. E. (2011). Ethical Investments (Issue June). Thesis. Department of Finance, Copenhagen Business School.

43) Mazouz, K., Mohamed, A. dan Saadouni, B. (2016). Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index. Journal of Business Ethics, 154(3), 683–699. https://doi.org/10.1007/s10551-016-3389-y

44) Michelson, G., Wailes, N., van der Laan, S. dan Frost, G. (2004). Ethical Investment Processes and Outcomes. Journal of Business Ethics, 52(52), 1–10. https://doi.org/10.1023/B:BUSI.0000033103.12560.be

45) Morrow Sodali (2020). Institutional Investor Survey 2020. Morrow Sodali’s Institutional Investor Survey.

46) Mubarok, A. (2022). Investasi Etis (Ethical Investment) (Konsep, Dasar Pertimbangan dan Pendekatan). Jesya (Jurnal Ekonomi Dan Ekonomi Syariah), 5(1), 766-783. https://doi.org/https://doi.org/10.36778/jesya.v5i1.646

47) Ng, S., dan Zhu, X. (2016). Do Changes in Index Composition Affect the Stock Prices and Trading Volume ? The Case of a Shariah-Compliant Index in Malaysia. Capital Markets Review, 24(2), 14–39.

48) Nilsson, J. (2009). Segmenting socially responsible mutual fund investors. The International Journal of Bank Marketing, 27(1), 5–31. https://doi. org/10.1108/02652320910928218

49) Nofsinger, J. . R., Chair, W. H. S., Sulaeman, J. dan Varma, A. (2016). Institutional Investors and Socially Responsible Investments: It Just Makes (Economic) Sense. 1-62.Working Peper. University of Alaska Fairbanks.

50) Ortas, E. dan Moneva, J. M. (2010). Conditional volatility in sustainable and traditional stock exchange indexes: analysis of the Spanish market. GCG: Revista de Globalización, Competitividad & Gobernabilidad, 4(2), 104–129.

51) Pena, J. dan Cortez, M. C. (2017). Social screening and mutual fund performance: international evidence. 1–67. https://efmaefm.org/0EFMAMEETINGS/EFMAANNUAL MEETINGS/2017-Athens/papers/EFMA2017_0206_fullpaper.pdf

52) Rafik, A. dan Lantara, I. W. . N. (2016). An empirical study on index changes on the Indonesia Stock Exchange. Afro-Asian J. Finance and Accounting, 6(2), 87–116. https://doi.org/10.1504/AAJFA.2016.077322

53) Rahmasuciana, D. Y., Alwan, A., Utama, A. S. dan Rofi’i, M. (2016). Dampak Screening Terhadap Harga dan Volume Perdagangan Saham Syariah di Indonesia. Gadjah Mada International Conference on Islamic Business Research, May.

54) Reich, M. C., Wolff, R., Zaring, O., Zetterberg, L., dan Åhman, M. (2001). Ethical Investments-Towards a Sound Theory and Screening Methodology (B 1425, Issue October). Swedish Environmental Research Institute.

55) Renneboog, L., ter Horst, J., dan Zhang, C. (2007a). Socially Responsible Investments: Methodology, Risk Exposure and Performance. In ECGI W0rking Peper Series in Finance (175/2007; 2007-013, Issue 175). https://doi.org/10.2139/ssrn.985267

56) Renneboog, L., ter Horst, J. dan Zhang, C. (2007b). The Price of Ethics: Evidence from Socially Responsible Mutual Funds. In TILEC Discussion Paper (Vol. 012).

57) Revelli, C., dan Viviani, J.-L. (2013). The Link Between SRI and Financial Performance: Effects and Moderators. Management International, 17(2), 105–122. https://doi.org/10.7202/1015403ar

58) Rockness, J. dan Williams, P. F. (1988). A descriptive study of social responsibility mutual funds. Accounting, Organizations and Society, 13(4), 397–411. https://doi.org/10.1016/0361-3682(88)90013-X

59) Rosen, B. N., Sandler, D. M. dan Shani, D. (1991). Social issues and socially responsible investment behavior: A preliminary empirical investigation. Journal of Consumer Affairs, 25(2), 221–234. https://doi.org/10.1111/j.1745‐6606.1991.tb00003.x

60) Salaber, J. (2013). Religion and returns in Europe. European Journal of Political Economy, 32, 149–160. https://doi.org/10.1016/j.ejpoleco.2013.07.002

61) Sandberg, J., Juravle, C., Hedesström, T. M. dan Hamilton, I. . (2009). The heterogeneity of socially responsible investment. Journal of Business Ethics, 87(4), 519–533. https://doi.org/10.1007/s10551-008-9956-0

62) Schueth, S. (2003). Socially responsible investing in the United States. Journal of Business Ethics, 43(3), 189–194. https://doi.org/10.1023/A:102298182

63) Sparkes, R. (2001). Ethical investment: whose ethics, which investment? Business Ethics: A European Review, 10(3), 194–205. https://doi.org/10.1111/1467-8608.00233

64) Trinks, P. J. dan Scholtens, B. (2017). The Opportunity Cost of Negative Screening in Socially Responsible Investing. Journal of Business Ethics, 140(2), 193–208. https://doi.org/10.1007/s10551-015-2684-3

65) Utami, Y. dan Mubarok, A. (2016). Kandungan Informasi Ekonomi Saham dalam Indek Saham Syariah Indonesia (ISSI). Prosiding SNaPP2016 Sosial, Ekonomi, Dan Humaniora, 1, 293–300.

66) Van Stekelenburg, A., Georgakopoulos, G., Sotiropoulou, V., Vasileiou, K. Z. dan Vlachos, I. (2015). The Relation between Sustainability Performance and Stock Market Returns: An Empirical Analysis of the Dow Jones Sustainability Index Europe. International Journal of Economics and Finance, 7(7), 74–88. https://doi.org/10.5539/ijef.v7n7p74

67) Vanwalleghem, D. (2013). The real effects of socially responsible investing: Disagreement on the doing well while doing good hypothesis and the cost of capital. 1-36. https://faculty.wharton.upenn.edu/wp-content/uploads/2014/10/ Vanwalleghem_The-real-effects-of-socially-responsible-investing_1.pdf

68) Viviers, S. dan Eccles, N. S. (2012). 35 years of socially responsible investing (SRI) research—General trends over time. South African Journal of Business Management, 43(4), 1–16.

69) von Wallis, M. dan Klein, C. (2015). Ethical requirement and financial interest: a literature review on socially responsible investing. Business Research, 8(1), 61–98. https://doi.org/10.1007/s40685-014-0015-7

70) Widyawati, L. (2019). A systematic literature review of socially responsible investment and environmental social governance metrics. Bus Strat Env., 1–19.