EconPapers    
Economics at your fingertips  
 

Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems

Pejman Abedifar (), Paolo Giudici () and Shatha Hashem ()
Additional contact information
Pejman Abedifar: School of Management, University of St Andrews
Shatha Hashem: University of Pavia

No 134, DEM Working Papers Series from University of Pavia, Department of Economics and Management

Abstract: This paper investigates how banking system stability is affected when we combine Islamic and conventional finance under the same roof. We compare systemic resilience of three types of banks in 6 GCC countries with dual banking systems: fully-fledged Islamic banks (IB), purely conventional banks (CB) and conventional banks with Islamic windows (CBw). We employ market-based systemic risk measures such as MES, SRISK and DeltaCoVaR to identify which sector is more vulnerable to a systemic event, and use graphical network models to determine the banking sector that can more easily spread a systemic shock to the whole system. Using a sample of 2,608 observations on 79 publicly traded banks operating over the 2005-2014 period, we find that CBw is the least resilient sector to a systemic event and is more interconnected with other banks during crisis times.

Keywords: graphical network models; Islamic banking; partial correlations; systemic risk measures (search for similar items in EconPapers)
JEL-codes: G21 C58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn and nep-rmg
Date: 2017-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://economia.unipv.it/docs/dipeco/quad/ps/RePEc/pav/demwpp/DEMWP0134.pdf (application/pdf)

Related works:
Journal Article: Heterogeneous market structure and systemic risk: Evidence from dual banking systems (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pav:demwpp:demwp0134

Access Statistics for this paper

More papers in DEM Working Papers Series from University of Pavia, Department of Economics and Management Contact information at EDIRC.
Bibliographic data for series maintained by Alice Albonico ().

 
Page updated 2019-02-08
Handle: RePEc:pav:demwpp:demwp0134