Tail Dependence and Risk Spillover from the US to GCC Banking Sectors

Mathematics

Faisal Alqahtani¹  Nahla Samargandi²  Nader Trabelsi³  SyedJawad Hussain Shahzad⁴ 

[1] College of Business Administration, Taibah University, Saudi Authority for Data and Artificial Intelligence, Riyadh 344, Saudi Arabia;Department of Economics, Faculty of Economics and Administration, King Abdulaziz University, Jeddah 80200, Saudi Arabia;Department of Finance and Investment, Imam Muhammad bin Saud Islamic University (IMSIU), Riyadh 11432, Saudi Arabia;Finance, Control and Law Department, Montpellier Business School, 34080 Montpellier, France;

关键词: banking sector;    tail dependence;    risk spillover;    conditional diversification;    GCC;   

DOI  :  10.3390/math8112055

来源: DOAJ

【 摘 要 】

This study investigates the structure of the tail dependence between the United States (US) and Gulf Cooperation Council (GCC) banking sectors for the period February 2010 to July 2017. Conditional value at risk and conditional diversification benefits are calculated. The GCC banking sectors show lower tail dependence with the US banking sector. This is confirmed by the fact that GCC banking sectors receive higher downside risk spillover from the US banking system during downside market movements compared to upside risk spillover effects. Interestingly, an equally weighted portfolio of US and GCC banking stocks can provide relatively higher diversification benefits. These findings have implications for portfolio diversification, asset allocation and hedging strategies.

【 授权许可】

Unknown