THE SYSTEMIC RISK IN THE GULF COOPERATION COUNCIL COUNTRIES' EQUITY MARKETS AND BANKING SECTORS: A DYNAMIC COVAR APPROACH

Aktham Maghyereh; Nader Virk; Basel Awartani; Mohammad Al Shboul

doi:10.21098/bemp.v25i3.1870

THE SYSTEMIC RISK IN THE GULF COOPERATION COUNCIL COUNTRIES' EQUITY MARKETS AND BANKING SECTORS: A DYNAMIC COVAR APPROACH

Aktham Maghyereh
, Nader Virk
, Basel Awartani
, Mohammad Al Shboul

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

This paper examines the systemic risk and its spillover between banking sectors of the Gulf Cooperation Council (GCC) region using the conditional value-at-risk framework. We construct country-specific banking indices using 11 large banks in the region that are systemically important (SIB). We report evidence of systemic risk spillovers from SIBs to the broad-based GCC market indices. The incremental tail spillovers are statistically significant for other domestic banks' tail risk and inflate the systemic risk of cross-country GCC banks.

Original language	English
Pages (from-to)	439-470
Number of pages	32
Journal	Buletin Ekonomi Moneter dan Perbankan/Monetary and banking economics bulletin
Volume	25
Issue number	3
DOIs	https://doi.org/10.21098/bemp.v25i3.1870
Publication status	Published - 2022
Externally published	Yes

Keywords

Banking sector
CoVaR
GCC countries
Systemic risk

ASJC Scopus subject areas

Finance

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10.21098/bemp.v25i3.1870

Cite this

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title = "THE SYSTEMIC RISK IN THE GULF COOPERATION COUNCIL COUNTRIES' EQUITY MARKETS AND BANKING SECTORS: A DYNAMIC COVAR APPROACH",

abstract = "This paper examines the systemic risk and its spillover between banking sectors of the Gulf Cooperation Council (GCC) region using the conditional value-at-risk framework. We construct country-specific banking indices using 11 large banks in the region that are systemically important (SIB). We report evidence of systemic risk spillovers from SIBs to the broad-based GCC market indices. The incremental tail spillovers are statistically significant for other domestic banks' tail risk and inflate the systemic risk of cross-country GCC banks.",

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year = "2022",

doi = "10.21098/bemp.v25i3.1870",

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AU - Virk, Nader

AU - Awartani, Basel

AU - Al Shboul, Mohammad

PY - 2022

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AB - This paper examines the systemic risk and its spillover between banking sectors of the Gulf Cooperation Council (GCC) region using the conditional value-at-risk framework. We construct country-specific banking indices using 11 large banks in the region that are systemically important (SIB). We report evidence of systemic risk spillovers from SIBs to the broad-based GCC market indices. The incremental tail spillovers are statistically significant for other domestic banks' tail risk and inflate the systemic risk of cross-country GCC banks.

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KW - CoVaR

KW - GCC countries

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JO - Buletin Ekonomi Moneter dan Perbankan/Monetary and banking economics bulletin

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THE SYSTEMIC RISK IN THE GULF COOPERATION COUNCIL COUNTRIES' EQUITY MARKETS AND BANKING SECTORS: A DYNAMIC COVAR APPROACH

Abstract

Keywords

ASJC Scopus subject areas

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