This paper investigates the role that ownership structure and diversification of income plays in the financial stability of banks from the GCC region. We find evidence that suggests that higher concentration of ownership in any type of shareholding is associated with higher insolvency risk....

Shariah-compliant equity investors have the freedom to choose an investment style provided their selection of equities follows approved Shariah screening guidelines. This study proposes the Markov Regime Driven Style allocation (MRDS) strategy for portfolio construction, a forward-looking...

Traditionally, passive portfolios are structured using an easy to implement market capitalization method albeit highly skewed towards large cap stocks. The introduction of smart beta strategies has allowed passive investors to structure equity portfolios using alternative strategies such as...

Financial markets are interconnected and fragile making them vulnerable to systemic contagion, and measuring this risk is crucial for regulatory responsiveness. This study introduces a new set of measures for systemic risk using a copula‐based (CB) estimation method with a focus on U.S. Bank...

This paper evaluates the perceived stability‐enhancing role of the net stable funding ratio (NSFR) requirement under Basel III and its impact on the balance sheets of banks. Using data from 647 banks located in 47 countries from 2003 to 2013, we find that the NSFR would have played a financial...

Financial regulations are developed to curb financial and economic fragility costs without undermining the economic contributions of banks to economic development. To understand the impact financial regulations have on reducing the financial fragility of banks we use the probability-of-default...

The systematic failure of the global equity markets during the recent financial crisis made investors re-evaluate their portfolio constituents. It is argued that equities that comply with the Islamic investment principles perform better than conventional equities during the declining phase of...

Credit derivatives enable banks to transfer selected credit risks to third parties. An empirical model is developed for the motivation for bank participation in credit derivative markets and, conditional on participation, the factors that determine the volume of business transacted....

Purpose – This paper seeks to review and extend previous research on the performance of Islamic mutual funds (IMFs) by evaluating the relative performance of IMFs and conventional funds during the global economic crisis in the context of the Saudi Arabian capital market....