Bank-specific factors, market conditions and the riskiness of Islamic and conventional banks: evidence from recent quantile approaches

Resul Aydemir*, Huzeyfe Zahit Atan, Bulent Guloglu

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1 Atıf (Scopus)

Özet

Purpose: The purpose of this paper is to investigate how bank-specific factors affect the riskiness of conventional and Islamic banks in response to shocks in major financial indices as market conditions change. Design/methodology/approach: The authors use a multivariate quantile model using daily equity returns data to analyze financial risk spillovers in the values at risk that may occur between major financial indices and the equity prices of conventional and Islamic banks worldwide. Then, using both quantile and quantile-on-quantile models, the authors examine the effects of bank-specific variables such as leverage ratio, bank size, return on equity and capital adequacy ratio on the initial impact of shocks in major global financial indices on bank equity price returns at different quantiles of shocks and bank-specific variables. Findings: The findings reveal that major financial indices can predict bank stock returns. Moreover, the authors find that the effect of bank-specific factors on the riskiness of banks is heterogeneous in that it depends on the bank type (Islamic vs conventional), the level of banking variable (high vs low) and, more importantly, market conditions. Originality/value: To the best of the authors’ knowledge, this is the first study that compares the dual banking system with stock market performance while considering bank-specific variables as market conditions change. The results of this study reveal that the effect of bank-specific variables on bank performance varies according to different quantiles of shocks and bank-specific variables. Islamic banks may echo or differ from conventional banks depending on the specific factor under investigation.

Orijinal dilİngilizce
Sayfa (başlangıç-bitiş)16-44
Sayfa sayısı29
DergiInternational Journal of Islamic and Middle Eastern Finance and Management
Hacim17
Basın numarası1
DOI'lar
Yayın durumuYayınlandı - 16 Oca 2024

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Publisher Copyright:
© 2023, Emerald Publishing Limited.

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