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• W4213344274 abstract "Using the multivariate quantile autoregression technique, we examine how equity returns of Islamic and conventional banks are affected by shocks to major financial indices such as the DJUSI index, the MSCI World Index, the VIX index and the United States 10-years Treasury bond interest rate. We compare the stability of the two banking systems to financial risk spillovers at the global and regional levels based on data from 16 countries for the period after the 2008 crisis. The empirical findings suggest that Islamic banks’ equities have weaker codependency with major equity markets than conventional banks at the global level while Islamic banks’ codependency with the 10-years US Treasury bond rate tends to be stronger than conventional banks indicating the sensitivity of Islamic banks to global interest rates. The empirical results also reveal that there does not seem to be any significant difference between stock price reactions of Islamic and conventional banks both at the regional and global levels in response to shocks to major financial indices. Regarding regional comparison of Islamic banks only, we find that Islamic bank performance does not vary much across heterogeneous geographic regions." @default.
• W4213344274 created "2022-02-24" @default.
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• W4213344274 date "2022-02-14" @default.
• W4213344274 modified "2023-10-10" @default.
• W4213344274 title "How do the global equity and bond markets affect Islamic and conventional banks? A comparative cross-country analysis using multivariate regression quantiles" @default.
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• W4213344274 doi "https://doi.org/10.1007/s40822-022-00198-5" @default.
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