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

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 8 Decent Work and Economic Growth
SDG 10 Reduced Inequalities

Access to Document

10.21098/bemp.v25i3.1870Licence: Unspecified

Cite this

@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 = "Buletin Ekonomi Moneter dan Perbankan",

issn = "1410-8046",

publisher = "Bank Indonesia Institute",

number = "3",

}

TY - JOUR

T1 - The Systemic Risk In The Gulf Cooperation Council Countries’ Equity Markets And Banking Sectors

T2 - A Dynamic Covar Approach

AU - Maghyereh, Aktham

AU - Virk, Nader

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.

PY - 2023/1/1

Y1 - 2023/1/1

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.

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.

KW - Banking sector

KW - CoVaR

KW - GCC countries

KW - Systemic risk

UR - https://www.scopus.com/pages/publications/85147011464

U2 - 10.21098/bemp.v25i3.1870

DO - 10.21098/bemp.v25i3.1870

M3 - Article

AN - SCOPUS:85147011464

SN - 1410-8046

VL - 25

SP - 439

EP - 470

JO - Buletin Ekonomi Moneter dan Perbankan

JF - Buletin Ekonomi Moneter dan Perbankan

IS - 3

ER -

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

Abstract

UN SDGs

Access to Document

Other files and links

Fingerprint

Cite this