Tail dependence risk exposure and diversification potential of Islamic and conventional banks
作者: HernandezAl-YahyaeeHammoudehMensi
作者单位: 1Department of Accounting and Finance , Rennes School of Business , Rennes , France
2Department of Economics and Finance , College of Economics and Political Science, Sultan Qaboos University , Muscat , Oman
3LeBow College of Business , Drexel University , Philadelphia , PA , USA
刊名: Applied Economics, 2019, Vol.51 (44), pp.4856-4869
来源数据库: Taylor & Francis Journal
DOI: 10.1080/00036846.2019.1602716
关键词: Islamic and conventional banksVine copulasConditional Value-at-RiskNonlinear dependence riskPortfolio diversification
原始语种摘要: ABSTRACT(#br)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...
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关键词翻译
关键词翻译
  • banks 管束
  • dependence 从属
  • conventional 常规
  • canonical 标准的
  • empirical 经验的
  • optimal 最佳的
  • copula 基鳃骨
  • portfolio 公事包
  • preference 优选
  • financial 财政的