THE SYSTEMIC RISK IN THE GULF COOPERATION COUNCIL COUNTRIES’ EQUITY MARKETS AND BANKING SECTORS: A DYNAMIC COVAR APPROACH

Aktham Maghyereh, Nader Virk (), Basel Awartani () and Mohammad Al-Shboul
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Nader Virk: Swansea University, Swansea, UK
Basel Awartani: King Fahd University of Petroleum and Minerals, Dhahran, Saudi Arabia

Bulletin of Monetary Economics and Banking, 2022, vol. 25, issue 3, 439-470

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: Systemic risk; CoVaR; GCC countries; Banking sector (search for similar items in EconPapers)
JEL-codes: C22 G21 N25 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:25:y:2022:i:3f:p:439-470

DOI: 10.21098/bemp.v25i3.1870

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