Assessing systemic risk of Islamic banks during the COVID-19 pandemic crisis

被引：0
|
作者：
Fatnassi, Ibrahim [1 ,2 ]
Hammami, Yacine [3 ,4 ]
机构：
[1] Univ Tunis, Lab 2A, ISG, GEF, Tunis, Tunisia
[2] Univ Jeddah, Coll Business, Dept Accounting, Jeddah, Saudi Arabia
[3] Univ Manouba, ISCAE, RIM, RAF,UR13ES56, Manouba, Tunisia
[4] Al Baha Univ, Coll Business Adm, Dept Accounting, Al Baha, Saudi Arabia
来源：
APPLIED ECONOMICS LETTERS | 2024年 / 31卷 / 11期
关键词：
Systemic risk; Islamic banks; COVID-19; marginal expected shortfall; measure;
D O I：
10.1080/13504851.2023.2169239
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We examine the systemic risk (SR) of listed Islamic banks (IB) around the world for the 2005-2020 period. Our research hypothesis states that if IB are resilient to economic crises, we expect a stable pattern of SR for IB across pre- and during international crises. Our empirical results do not confirm this hypothesis. We find evidence that the SR of IB has increased sharply during the subprime and COVID-19 crises. Furthermore, we identify the presence of systematically important Islamic banks (SIIB). These results are robust to different measures of SR and do not depend on a specific region. These findings suggest that the Islamic banking system is vulnerable to downside risk and to the failure of SIIB.
引用
收藏
页码：1037 / 1044
页数：8
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