Journal article
Tail dependence risk exposure and diversification potential of Islamic and conventional banks
Applied economics, v 51(44), pp 4856-4869
20 Sep 2019
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper undertakes a rolling window comparative analysis of risks for portfolios consisting of GCC Islamic and conventional bank indices. We draw our empirical results by employing canonical, drawable and regular vine copula models, as well as by implementing a portfolio optimization method with a conditional Value-at-Risk constraint. We find evidence of higher riskiness in the group of Islamic banks relative to the group of conventional banks across each of the financial rolling window scenarios under consideration. Specifically, a greater negative (nonlinear) tail asymmetric dependence is observed in the pairs of Islamic banks' relationships. The results also show that the optimal portfolio model supports a clear preference towards the group of conventional banks in regard to risk minimization and diversification benefits.
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Details
- Title
- Tail dependence risk exposure and diversification potential of Islamic and conventional banks
- Creators
- Jose Arreola Hernandez - Rennes School of BusinessKhamis Hamed Al-Yahyaee - Sultan Qaboos UniversityShawkat Hammoudeh - Drexel UniversityWalid Mensi - Sultan Qaboos University
- Publication Details
- Applied economics, v 51(44), pp 4856-4869
- Publisher
- Routledge
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000466665500001
- Scopus ID
- 2-s2.0-85064516274
- Other Identifier
- 991019167996804721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics