Socially responsible investing and Islamic funds: New perspectives for portfolio allocation

The purpose of this paper is to investigate the performance of ethical and conventional investments. It examines also whether socially responsible and Islamic investments offer an additional opportunity for domestic investors to diversify their portfolios. Empirical results show that ethical investment ethical investment has inferior performance compared with their unscreened benchmarks. Moreover, using cointegration analysis, empirical results show the absence of long-run relationship between Islamic and conventional indices which offer new potential for portfolio diversification in local markets. However, there exist a long-run relationship between SR indices and their conventional counterparts. In the other hand, cointegration tests show that Islamic and socially responsible indices have long-run relationship only for FTSE indices.Scopu