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

Author

Listed:
  • Aktham Maghyereh

    (United Arab Emitters University)

  • Nader Virk

    (Swansea University, Swansea, UK)

  • Basel Awartani

    (King Fahd University of Petroleum and Minerals, Dhahran, Saudi Arabia)

  • Mohammad Al Shboul

    (University of Sharjah, UAE)

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.

Suggested Citation

  • Aktham Maghyereh & Nader Virk & Basel Awartani & Mohammad Al Shboul, 2022. "The Systemic Risk In The Gulf Cooperation Council Countries’ Equity Markets And Banking Sectors: A Dynamic Covar Approach," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(3), pages 439-470, November.
    • Handle: RePEc:idn:journl:v:25:y:2022:i:3f:p:439-470
    DOI: https://doi.org/10.21098/bemp.v25i3.1870
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    Cited by:

    1. Maghyereh, Aktham & Abdoh, Hussein, 2024. "Tail risk connectedness among GCC banks episodes from the Global Financial Crisis to COVID-19 pandemic," The Quarterly Review of Economics and Finance, Elsevier, vol. 96(C).

    More about this item

    Keywords

    Systemic risk; CoVaR; GCC countries; Banking sector;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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