Socially Responsible Investing (SRI) dan Kinerja Saham

The aim of this research is to test empirically the difference of stock performance based on return and risk value of firms which doing Social Responsibility Investment (SRI) through calculation of SRI-KEHATI index, Jakarta Islamic Index (JII), and Composite Stock Price Index (IHSG). Observation period of this research was conducted for 7 years, from 2010 until 2016. Hypothesis testing was tested by analytical technique, independent sample t-test which using 5% as significance level. The results that obtained from the difference testing of return show that there is no difference between IHSG return with JII return, IHSG return with SRI-KEHATI Index return, and JII return with SRI-KEHATI Index return. The results that obtained from the difference testing of risk are there are differences of JCI risk and SRI-KEHATI Index risk, and there is no difference between JII risk and SRI-KEHATI Index risk.