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Multilayer informat...
Multilayer information spillover networks between oil shocks and banking sectors: Evidence from oil-rich countries
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- Elsayed, Ahmed H. (författare)
- United Arab Emirates Univ, U Arab Emirates
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- Naifar, Nader (författare)
- Imam Mohammad Ibn Saud Islamic Univ IMSIU, Saudi Arabia; Univ Sfax, Tunisia
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- Uddin, Gazi Salah (författare)
- Linköpings universitet,Nationalekonomi,Filosofiska fakulteten
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- Wang, Gang-Jin (författare)
- Hunan Univ, Peoples R China
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(creator_code:org_t)
- ELSEVIER SCIENCE INC, 2023
- 2023
- Engelska.
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Ingår i: International Review of Financial Analysis. - : ELSEVIER SCIENCE INC. - 1057-5219 .- 1873-8079. ; 87
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- There is no doubt that oil price shocks significantly affect oil-producing countries macroeconomic fundamentals and financial stability, mainly in crisis times. The recent oil price shocks, coupled with the COVID-19 pandemic, motivated us to investigate the connectedness and risk transmission among oil shocks and banking sectors in the Gulf Cooperation Council (GCC) economies from June 30, 2006, to September 9, 2021. Thus, we construct multilayer information spillover networks between oil price shocks and GCC banking sectors. The empirical results show that the Bahrain banking sector depicts the highest connectedness and risk transmission with oil price shocks on the extreme risk spillover layer. In addition, Kuwait and the United Arab Emirates are highly connected to oil demand shocks. Furthermore, we find a substantial increase in extreme risk spillover and volatility spillover layers during the COVID-19 period. The results of this paper have some important implica-tions for regional portfolio risk management, alleviating systemic risk, and developing hedging and investment strategies.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Oil shocks; Banking sectors; Multilayer spillover networks; COVID-19; GCC
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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