Motivated by a recognition of the increased vulnerability of the banking sector to the COVID-19 pandemic, we examine market-based systemic risk and connectedness in the banking sector of Gulf Cooperation Council member countries, which include Bahrain, Kuwait, the Kingdom of Saudi Arabia (KSA),...

In this paper, we exploit multifractal detrended cross-correlation analysis (MF-DCCA) to investigate the impact of the COVID-19 pandemic on the cross-correlations between oil and the US equity market (as represented by the S&P 500 index). First, we examine the detrended moving average...

Analyzing comovements and connectedness is critical for providing significant implications for crypto-portfolio risk management. However, most existing research focuses on the lower-order moment nexus (i.e. the return and volatility interactions). For the first time, this study investigates the...