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Systemic Risk in Gulf Cooperation Council Countries’ Equity Markets and Banking Sectors : A Dynamic Conditional Value-at-Risk Approach

Maghyereh, Aktham Issa; Virk, Nader; Awartani, Basel - 2021

We employ dynamic conditional Value at Risk (CoVaR) technique of Adrian and Brunnermeir (2016) in examining the systemic risk and its spillovers for the Gulf Cooperation Council (GCC) countries during the period of January 2004 to June 2020. To do so, we identify 11 large banks in the region...

Persistent link: https://www.econbiz.de/10013322196

Dynamic transmissions between the U.S. and equity markets in the MENA countries : new evidence from pre- and post-global financial crisis

Maghyereh, Aktham I.; Awartani, Basel; Hilu, Khalil Al - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 123-138

Persistent link: https://www.econbiz.de/10011574365

The directional volatility connectedness between crude oil and equity markets : new evidence from implied volatility indexes

Maghyereh, Aktham I.; Awartani, Basel; Bouri, Elie - In: Energy economics 57 (2016), pp. 78-93

Persistent link: https://www.econbiz.de/10011698288

Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010

Bouri, Elie; Awartani, Basel; Maghyereh, Aktham I. - In: Energy economics 56 (2016), pp. 205-214

Persistent link: https://www.econbiz.de/10011664230

Institutions and corporate capital structure in the MENA region

Belkhir, Mohamed; Maghyereh, Aktham I.; Awartani, Basel - In: Emerging markets review 26 (2016), pp. 99-129

Persistent link: https://www.econbiz.de/10011670889

Time-varying transmission between oil and equities in the MENA region : new evidence from DCC-MIDAS analyses

Awartani, Basel; Javed, Farrukh; Maghyereh, Aktham I.; … - In: Review of development finance 8 (2018) 2, pp. 116-126

In this paper we use the DCC-MIDAS (Dynamic Conditional Correlation-Mixed Data Sampling) model to infer the association between oil and equities in five MENA countries between February 2006 and April 2017. The model indicates that higher oil returns tends to reduce the long-term risk of the...

Persistent link: https://www.econbiz.de/10011979991