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

Authors

Aktham Maghyereh, United Arab Emitters University, UEAFollow
Nader Virk, Swansea University, Swansea, UKFollow
Basel Awartani, King Fahd University of Petroleum and Minerals, Saudi ArabiaFollow
Mohammad Al Shboul, University of Sharjah, UAEFollow

Document Type

Article

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

Recommended Citation

Maghyereh, Aktham; Virk, Nader; Awartani, Basel; and Al Shboul, Mohammad (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: Vol. 25: No. 3, Article 6.
DOI: https://doi.org/10.21098/bemp.v25i3.1870
Available at: https://bulletin.bmeb-bi.org/bmeb/vol25/iss3/6

First Page

439

Last Page

470

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

UEA

Affiliation

United Arab Emitters University