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Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach
Author(s) -
AlYahyaee Khamis Hamed,
Shahzad Syed Jawad Hussain,
Mensi Walid,
Yoon SeongMin
Publication year - 2021
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.1942
Subject(s) - copula (linguistics) , stock (firearms) , systemic risk , sukuk , tail dependence , economics , value at risk , stock exchange , econometrics , business , risk management , islam , islamic finance , financial crisis , geography , statistics , mathematics , multivariate statistics , finance , archaeology , macroeconomics
This study examines the dependence structure and systemic risk concerning Sukuk, Sharia, and the Gulf Cooperation Council (GCC) stock markets. We first use copula functions to investigate the dependence structure between these markets, and subsequently, apply the conditional value‐at‐risk (CoVaR) and delta CoVaR ( ∆ CoVaR ) to assess the systemic risk. Results show evidence of time‐varying symmetric tail dependence between Islamic stock markets and GCC stock markets, except for Saudi Arabia in which an average tail dependence is observed. Sukuk has symmetric tail dependence with Bahrain, Oman, and Abu Dhabi; average dependence with Qatar and Saudi Arabia; and asymmetric tail dependence with Dubai and Kuwait. Importantly, no evidence of systemic risk for Islamic (DJIM and Sukuk) and Gulf stock markets was found.