The Systemic Risk In The Gulf Cooperation Council Countries’ Equity Markets…

This paper examines the systemic risk and its spillover between banking sectors of the Gulf Cooperation Council (GCC) region using the conditional value-at-risk framework. We construct country-specific banking indices using 11 large banks in the region that are systemically important (SIB). We report evidence of systemic risk spillovers from SIBs to the broad-based GCC market indices. The incre…