Abstract
The dynamics of return and volatility spillover indices were investigated to reveal the strength and direction of transmission that occurred during a financial crisis. The focus of this study was especially placed on the 2007 US subprime mortgage crisis, the global financial crisis, the European sovereign debt crisis, and the dramatic collapse of oil prices since 2014. The paper uses the Diebold and Yilmaz (Economic Journal 119(534): 158–171, 2009, International Journal of Forecasting 28(1): 57–66, 2012) spillover index behavior. Assuming one structural break, return and volatility linkages for Islamic banks in the GCC were stronger than for conventional banks. When multiple breaks were allowed, the spillover index was found to be highly sensitive to various economic events. Overall, the findings of this study provide new insights into the behavior of the Islamic and conventional banks stock returns and volatility spillovers, which may improve investment decisions and the trading strategies portfolio of investors.
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Notes
United States Government Accountability Office; Report to Congressional Committees (January 2013).
European Commission, Economic Crisis in Europe: Causes, Consequences, and Responses (2009).
The Islamic Financial Services Board (IFSB) is an international regulatory organization that promotes the stability and performance of Islamic financial institutions with the rest of the financial system.
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Appendices
Appendix A: Conventional and Islamic banks in GCC countries
Conventional banks | Islamic banks | ||
|---|---|---|---|
Saudi Arabia | |||
Arab National Bank | ANB.SE | Al Rajhi Banking and Investment Corp SJSC | Rajhi.SE |
Riyad Bank SJSC | RBS.SE | Bank Aljazira JSC | ALJAZIRA.SE |
Samba Financial Group SJSC | SFG.SE | Bank Albilad SJSC | Albilad.SE |
Saudi British Bank SJSC | SBB.SE | ||
UAE | |||
Abu Dhabi Commercial Bank PJSC | ADCB.AD | Abu Dhabi Islamic Bank PJSC | ADIB.AD |
Emirates NBD Bank PJSC | ENBD.DU | Dubai Islamic Bank PJSC | DISB.DU |
First Gulf Bank PJSC | FGB.AD | Sharjah Islamic Bank PJSC | SIB.AD |
National Bank of Abu Dhabi PJSC | NBAD.AD | ||
Qatar | |||
Commercial Bank of Qatar QSC | COMB.QA | Qatar International Islamic Bank QSC | QIIB.QA |
Doha Bank QSC | DOBK.QA | Qatar Islamic Bank SAQ | QISB.QA |
Qatar National Bank SAQ | QNBK.QA | ||
Kuwait | |||
Burgan Bank SAKP | BURG.KW | Ahli United Bank KSCP | BKME.KW |
Commercial Bank of Kuwait KSC | CBKK.KW | Kuwait Finance House KSCP | KFIN.KW |
National Bank of Kuwait SAK | NBKK.KW | Kuwait International Bank KSC | KIBK.KW |
Bahrain | |||
BBK BSC | BBKB.BH | Bahrain Islamic Bank BSC | BISB.BH |
National Bank of Bahrain BSC | NATB.BH | Ithmaar Bank BSC | ITHMR.BH |
Appendix B: Spillovers volatilities
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Benlagha, N., Mseddi, S. Return and volatility spillovers in the presence of structural breaks: evidence from GCC Islamic and conventional banks. J Asset Manag 20, 72–90 (2019). https://doi.org/10.1057/s41260-018-00107-z
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DOI: https://doi.org/10.1057/s41260-018-00107-z