海湾合作委员会国家股票市场和银行业的系统性风险:动态COVAR方法

Q2 Economics, Econometrics and Finance
A. Maghyereh, N. Virk, B. Awartani, Mohammad Al Shboul
{"title":"海湾合作委员会国家股票市场和银行业的系统性风险:动态COVAR方法","authors":"A. Maghyereh, N. Virk, B. Awartani, Mohammad Al Shboul","doi":"10.21098/bmeb.v25i3.1870","DOIUrl":null,"url":null,"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 spilloversfrom 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.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":" ","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2022-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"THE SYSTEMIC RISK IN THE GULF COOPERATION COUNCIL COUNTRIES’ EQUITY MARKETS AND BANKING SECTORS: A DYNAMIC COVAR APPROACH\",\"authors\":\"A. Maghyereh, N. Virk, B. Awartani, Mohammad Al Shboul\",\"doi\":\"10.21098/bmeb.v25i3.1870\",\"DOIUrl\":null,\"url\":null,\"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 spilloversfrom 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.\",\"PeriodicalId\":36737,\"journal\":{\"name\":\"Buletin Ekonomi Moneter dan Perbankan\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-11-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Buletin Ekonomi Moneter dan Perbankan\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21098/bmeb.v25i3.1870\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Buletin Ekonomi Moneter dan Perbankan","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21098/bmeb.v25i3.1870","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 0

摘要

本文使用条件风险价值框架研究了海湾合作委员会(GCC)地区银行业的系统性风险及其溢出。我们使用该地区11家具有系统重要性(SIB)的大型银行构建了国别银行指数。我们报告了系统性风险从系统重要性银行溢出到基础广泛的海湾合作委员会市场指数的证据。增量尾部溢出对其他国内银行的尾部风险具有统计学意义,并夸大了跨国GCC银行的系统性风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
THE SYSTEMIC RISK IN THE GULF COOPERATION COUNCIL COUNTRIES’ EQUITY MARKETS AND BANKING SECTORS: A DYNAMIC COVAR APPROACH
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 spilloversfrom 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.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Buletin Ekonomi Moneter dan Perbankan
Buletin Ekonomi Moneter dan Perbankan Economics, Econometrics and Finance-Finance
CiteScore
2.20
自引率
0.00%
发文量
1
审稿时长
5 weeks
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信