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 journalArticlepeer-review

2 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 languageEnglish
Pages (from-to)439-470
Number of pages32
JournalBuletin Ekonomi Moneter dan Perbankan
Volume25
Issue number3
Early online date30 Nov 2022
DOIs
Publication statusPublished - 1 Jan 2023
Externally publishedYes

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