TY - JOUR
T1 - Tail risk connectedness among GCC banks episodes from the Global Financial Crisis to COVID-19 pandemic
AU - AlMaghaireh, Aktham Issa
AU - Abdoh, Hussein
N1 - Publisher Copyright:
© 2024 Board of Trustees of the University of Illinois
PY - 2024/8
Y1 - 2024/8
N2 - This paper aims to analyze the impact of the COVID-19 pandemic on market-based systemic risk and the connectedness of commercial banks in Gulf Cooperation Council countries. The results suggest that systemic risk has increased significantly after the pandemic by employing two very well-known systemic risk measures, the Delta conditional value-at-risk (ΔCoVaR) and the marginal expected shortfall (MES), but heterogeneously across GCC nations. Using the Granger-Causality network method, the results reveal a remarkable rise in the percentage and number of significant connectedness between banks for Kuwait and KSA during the pandemic. Oman and Qatar experienced an unnoticeable increase in bank return connectedness. Furthermore, the study identifies the bank characteristics that provide shelter from the systemic shocks of the pandemic. The study findings indicate that income diversification is the most crucial variable for enhancing bank stability amid the pandemic. Our findings provide policy-related implications for understanding and mitigating risk shock transmission and the containment of systemic financial risk, in addition to multiple future lines of research.
AB - This paper aims to analyze the impact of the COVID-19 pandemic on market-based systemic risk and the connectedness of commercial banks in Gulf Cooperation Council countries. The results suggest that systemic risk has increased significantly after the pandemic by employing two very well-known systemic risk measures, the Delta conditional value-at-risk (ΔCoVaR) and the marginal expected shortfall (MES), but heterogeneously across GCC nations. Using the Granger-Causality network method, the results reveal a remarkable rise in the percentage and number of significant connectedness between banks for Kuwait and KSA during the pandemic. Oman and Qatar experienced an unnoticeable increase in bank return connectedness. Furthermore, the study identifies the bank characteristics that provide shelter from the systemic shocks of the pandemic. The study findings indicate that income diversification is the most crucial variable for enhancing bank stability amid the pandemic. Our findings provide policy-related implications for understanding and mitigating risk shock transmission and the containment of systemic financial risk, in addition to multiple future lines of research.
KW - COVID-19 pandemic
KW - Financial stability
KW - GCC countries
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U2 - 10.1016/j.qref.2024.101869
DO - 10.1016/j.qref.2024.101869
M3 - Article
AN - SCOPUS:85195021744
SN - 1062-9769
VL - 96
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
M1 - 101869
ER -