How to cite this paper
Tan, T & Kalyebara, B. (2021). Can investors benefit from corporate social responsibility and portfolio model during the Covid19 pandemic?.Accounting, 7(5), 1033-1048.
Refrences
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Brammer, S., Brooks, C., & Pavelin, S. (2006) Corporate Social Performance and stock returns: UK Evidence from disaggregate Measures. Financial Management, 35(3), 97-116.
Brinson, G. P., Singer, B. D., & Beebower, G. L. (1991). Determinants of portfolio performance II: An update. Financial Analysts Journal, 47(3), 40-48.
Calvo, C., Ivorra, C. & Liern, V. (2015) Finding socially responsible portfolios close to conventional ones. International Review of Financial Analysis, 40, 52-63
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DeMinguel, V., Garlappi, L., Nogales, F. J. & Uppal, R. (2009) A generalized Approach to Portfolio Optimization: Improving performance by constraining portfolio norms. Management Science, 55(5), 798-812
Edwin, J. E. & Martin J. G. (1977) Risk reduction and portfolio size: an analytical solution. The Journal of Business, 50(4), 415-437
El Ghoul, S., & Karoui, A. (2017). Does corporate social responsibility affect mutual fund performance and flows?. Journal of Banking & Finance, 77, 53-63.
Express Newspapers, (2020). Coronavirus travel: Latest list of countries on lockdown.
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Godfrey, P. C., Merrill, C. B. & Hansen, J. M. (2009). The relationship between Corporate Social responsibility and shareholder value: An Empirical test of the risk management Hypothesis. Strategic Management Journal, 30(4) 425-445.
Hasan, M., Naeem, M.A., Arif, M., Hussain Shahzad, S.J. & Mohd Nor, S. (2020a), Geopolitical risk and tourism stocks of emerging economies. Sustainability, 12(21), 1-21, 9261.
Hasan, M., Naeem, M.A., Arif, M., Shahzad, S.J.H. & Nor, S.M. (2020b), Role of economic policy uncertainty in the connectedness of cross-country stock market volatilities. Mathematics, 8(11), 1-17, 1904.
Jassal, T. & Dhiman, B. (2016). Analysis of stock market calendar anomalies in hospitality industry. International Journal of Applied Business and Economic Research, 14(4), 2533-2553.
Kok, C. (2019) A volatile 2018. Available from: https://www.thestar.com.my/business/ business-news/2019/01/01/a-volatile-2018
Maia, A., Ferreira, E., Oliveira, M.C., Menezes, L.F., Andrade-Campos, A. (2017). Numerical optimization strategies for springback compensation in sheet metal forming. Woodhead publisher. DOI: https://doi.org/10.1016/B978-0-85709-481-0.00003-3
Markowitz, H. (1952) Portfolio selection. The Journal of Finance 7(1) 77-91
Nakai, M., Yamaguchi, K., Takeuchi, K. (2016) Can SRI Funds better resist global financial crisis? Evidence from Japan. International Review of Financial Analysis, 48, 12-20
Nor, S. M. & Islam, S. M. N. (2017) Further examination of the 1/N portfolio rule: a comparison against Sharpe-optimal portfolios under varying constraints. Economic Annals-ХХI, 166(7-8), 56-60
Nor, S. M. & Islam, S. M. N. (2016) Beating the market: Can evolutionary-based portfolio optimisation outperform the Talmudic diversification strategy? International Journal of Monetary Economics and Finance 9(1), 90-99.
Nor, S. M. & Wickremasinghe, G. (2014). The profitability of MACD and RSI trading rules in the Australian stock market. Investment Management and Financial Innovations, 11(4), 194-199.
Nor, S. M. & Wickremasinghe, G. (2017). Market efficiency and technical analysis during different market phases: further evidence from Malaysia. Investment Management and Financial Innovations, 14(2), 359-366.
Nor, S. M. & Zawawi, N. H. M. (2018). Optimal portfolios vis-à-vis corporate governance ratings: Some UK evidence. Economic Annals-ХХI. 170, 57-63
Nor, S. M. & Zawawi, N. H. M. (2019). Does technical analysis work in the Russian market? Insights from MICEX (MOEX Russia) Index component stocks. Economic Annals-XXI, 178(7-8), 114-122.
Nor, S. M. & Zawawi, N. H. M. (2020). A neural network approach for fundamental investment analysis: A case of Athens stock exchange. Economic Annals-XXI, 182(3-4), 56-63.
Nwakanma, P. C. (2014). Talmud and Markowitz Diversification Strategies: Evidence from Nigerian Stock Market. Accounting and Finance Research 3(2), 145-152
Oikonomou, I., Platanakis, E., & Sutcliffe, C. (2018). Socially responsible investment portfolios: Does the optimization process matter?. The British Accounting Review, 50(4), 379-401.
Rehman, R. U., Abidin, M. Z. U., Ali, R., Nor, S. M., Naseem, M. A., Hasan, M., & Ahmad, M. I. (2021) The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies. Sustainability, 13(2), 676. https://doi.org/10.3390/su13020676
Ren, L. & Ren, P. (2017). Testing the market efficiency by mean absolute deviation. Benchmarking, 24(7), 2049-2062.
Shahzad, S.J.H., Nor, S.M., Mensi, W. & Kumar, R.R. (2017). Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches. Physica A: Statistical Mechanics and its Applications, 471, 351–363.
Simaan, Y. (1997) Estimation risk in portfolio selection: The Mean Variance Model versus the Mean Absolute Deviation Model. Management Science, 43(10), 1437-1446
Tan, T. J. & Kalyebara, B. (2019) Customized CSR Ratings and Optimal Sharpe Portfolios in the Bursa Malaysia. International Journal of Recent Technology and Engineering, 8(3) 2640-2644
Tang, K. Ho. D. (2020). Movement Control as An Effective Measure Against COVID-19 Spread in Malaysia: An Overview. DOI: 10.1007/s10389-020-01316-w
The Economic at large, n.d .Arithmetic, Harmonic, and Geometric Means with R. Retrieved from http://economistatlarge.com/r-guide/arithmetic-harmonic-geometric-means-r [20th June 2018]
Alexander, G. J. & Buchholz, R. A. (1978) Corporate Social Responsibility and Stock market performance. The Academy of Management Journal, 21(3), 479-486
Brammer, S., Brooks, C., & Pavelin, S. (2006) Corporate Social Performance and stock returns: UK Evidence from disaggregate Measures. Financial Management, 35(3), 97-116.
Brinson, G. P., Singer, B. D., & Beebower, G. L. (1991). Determinants of portfolio performance II: An update. Financial Analysts Journal, 47(3), 40-48.
Calvo, C., Ivorra, C. & Liern, V. (2015) Finding socially responsible portfolios close to conventional ones. International Review of Financial Analysis, 40, 52-63
Charlie, Y. n.d. Excel Solver: Which solving method should I choose? Retrieved from https://engineerexcel.com/excel-solver-solving-method-choose/#:~:text=GRG%20Nonlinear,-GRG%20stands%20for&text=In%20its%20most%20basic%20form,the%20partial%20derivatives%20equal%20zero. [19th February 2021]
DeMinguel, V., Garlappi, L. & Uppal, R. (2009) Optimal versus Naïve Diversification: How inefficient is the 1/N portfolio strategy. The review of Financial Studies, 22(5)1915-1953.
DeMinguel, V., Garlappi, L., Nogales, F. J. & Uppal, R. (2009) A generalized Approach to Portfolio Optimization: Improving performance by constraining portfolio norms. Management Science, 55(5), 798-812
Edwin, J. E. & Martin J. G. (1977) Risk reduction and portfolio size: an analytical solution. The Journal of Business, 50(4), 415-437
El Ghoul, S., & Karoui, A. (2017). Does corporate social responsibility affect mutual fund performance and flows?. Journal of Banking & Finance, 77, 53-63.
Express Newspapers, (2020). Coronavirus travel: Latest list of countries on lockdown.
Retrieved from https://www.express.co.uk/news/world/1262677/Coronavirus-travel-full-list-countries-on-lockdown [29th December 2020]
Filipiak, I. & Filipiak, P. (2018). Efficient market hypothesis and polish electricity market, 15th International Conference on the European Energy Market, Lodz, Poland, 27 June - 29 June.
Frankfurther, G. M., Philips, H. E. & Seagle, J. P. (1976) Performance of the Sharpe Portfolio Selection Model: A Comparison. The Journal of Financial and Quantitative Analysis, 11(2), 195
Godfrey, P. C., Merrill, C. B. & Hansen, J. M. (2009). The relationship between Corporate Social responsibility and shareholder value: An Empirical test of the risk management Hypothesis. Strategic Management Journal, 30(4) 425-445.
Hasan, M., Naeem, M.A., Arif, M., Hussain Shahzad, S.J. & Mohd Nor, S. (2020a), Geopolitical risk and tourism stocks of emerging economies. Sustainability, 12(21), 1-21, 9261.
Hasan, M., Naeem, M.A., Arif, M., Shahzad, S.J.H. & Nor, S.M. (2020b), Role of economic policy uncertainty in the connectedness of cross-country stock market volatilities. Mathematics, 8(11), 1-17, 1904.
Jassal, T. & Dhiman, B. (2016). Analysis of stock market calendar anomalies in hospitality industry. International Journal of Applied Business and Economic Research, 14(4), 2533-2553.
Kok, C. (2019) A volatile 2018. Available from: https://www.thestar.com.my/business/ business-news/2019/01/01/a-volatile-2018
Maia, A., Ferreira, E., Oliveira, M.C., Menezes, L.F., Andrade-Campos, A. (2017). Numerical optimization strategies for springback compensation in sheet metal forming. Woodhead publisher. DOI: https://doi.org/10.1016/B978-0-85709-481-0.00003-3
Markowitz, H. (1952) Portfolio selection. The Journal of Finance 7(1) 77-91
Nakai, M., Yamaguchi, K., Takeuchi, K. (2016) Can SRI Funds better resist global financial crisis? Evidence from Japan. International Review of Financial Analysis, 48, 12-20
Nor, S. M. & Islam, S. M. N. (2017) Further examination of the 1/N portfolio rule: a comparison against Sharpe-optimal portfolios under varying constraints. Economic Annals-ХХI, 166(7-8), 56-60
Nor, S. M. & Islam, S. M. N. (2016) Beating the market: Can evolutionary-based portfolio optimisation outperform the Talmudic diversification strategy? International Journal of Monetary Economics and Finance 9(1), 90-99.
Nor, S. M. & Wickremasinghe, G. (2014). The profitability of MACD and RSI trading rules in the Australian stock market. Investment Management and Financial Innovations, 11(4), 194-199.
Nor, S. M. & Wickremasinghe, G. (2017). Market efficiency and technical analysis during different market phases: further evidence from Malaysia. Investment Management and Financial Innovations, 14(2), 359-366.
Nor, S. M. & Zawawi, N. H. M. (2018). Optimal portfolios vis-à-vis corporate governance ratings: Some UK evidence. Economic Annals-ХХI. 170, 57-63
Nor, S. M. & Zawawi, N. H. M. (2019). Does technical analysis work in the Russian market? Insights from MICEX (MOEX Russia) Index component stocks. Economic Annals-XXI, 178(7-8), 114-122.
Nor, S. M. & Zawawi, N. H. M. (2020). A neural network approach for fundamental investment analysis: A case of Athens stock exchange. Economic Annals-XXI, 182(3-4), 56-63.
Nwakanma, P. C. (2014). Talmud and Markowitz Diversification Strategies: Evidence from Nigerian Stock Market. Accounting and Finance Research 3(2), 145-152
Oikonomou, I., Platanakis, E., & Sutcliffe, C. (2018). Socially responsible investment portfolios: Does the optimization process matter?. The British Accounting Review, 50(4), 379-401.
Rehman, R. U., Abidin, M. Z. U., Ali, R., Nor, S. M., Naseem, M. A., Hasan, M., & Ahmad, M. I. (2021) The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies. Sustainability, 13(2), 676. https://doi.org/10.3390/su13020676
Ren, L. & Ren, P. (2017). Testing the market efficiency by mean absolute deviation. Benchmarking, 24(7), 2049-2062.
Shahzad, S.J.H., Nor, S.M., Mensi, W. & Kumar, R.R. (2017). Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches. Physica A: Statistical Mechanics and its Applications, 471, 351–363.
Simaan, Y. (1997) Estimation risk in portfolio selection: The Mean Variance Model versus the Mean Absolute Deviation Model. Management Science, 43(10), 1437-1446
Tan, T. J. & Kalyebara, B. (2019) Customized CSR Ratings and Optimal Sharpe Portfolios in the Bursa Malaysia. International Journal of Recent Technology and Engineering, 8(3) 2640-2644
Tang, K. Ho. D. (2020). Movement Control as An Effective Measure Against COVID-19 Spread in Malaysia: An Overview. DOI: 10.1007/s10389-020-01316-w
The Economic at large, n.d .Arithmetic, Harmonic, and Geometric Means with R. Retrieved from http://economistatlarge.com/r-guide/arithmetic-harmonic-geometric-means-r [20th June 2018]