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
Volume	25
Issue number	3
Early online date	30 Nov 2022
DOIs	https://doi.org/10.21098/bemp.v25i3.1870
Publication status	Published - 1 Jan 2023
Externally published	Yes

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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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author = "Aktham Maghyereh and Nader Virk and Basel Awartani and {Al Shboul}, Mohammad",

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AU - Awartani, Basel

AU - Al Shboul, Mohammad

N1 - 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: © 2022 The authors.

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N2 - 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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The Systemic Risk In The Gulf Cooperation Council Countries’ Equity Markets And Banking Sectors: A Dynamic Covar Approach

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