@article{af87869478b944daaa2bde9fd7fe9087,
title = "The Systemic Risk In The Gulf Cooperation Council Countries{\textquoteright} 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.",
keywords = "Banking sector, CoVaR, GCC countries, Systemic risk",
author = "Aktham Maghyereh and Nader Virk and Basel Awartani and {Al Shboul}, Mohammad",
note = "Funding Information: The authors thank the editor and anonymous referees for reviewing our manuscript, and particularly providing valuable comments and suggestions that have helped improve the quality of this paper. The first author would like to acknowledge the financial support provided by United Arab Emirates University (Grand Number 31B135-UPAR -3-2020). Publisher Copyright: {\textcopyright} 2022 The authors.",
year = "2023",
month = jan,
day = "1",
doi = "10.21098/bemp.v25i3.1870",
language = "English",
volume = "25",
pages = "439--470",
journal = "Bulletin of Monetary Economics and Banking",
issn = "1410-8046",
publisher = "Bank Indonesia Institute",
number = "3",
}