Authors: Mohamed Amin Chakroun; Mohamed Imen Gallali
Addresses: Department of Finance, College of Science and Arts Al-Namas, University of Bisha, Box 551, Bisha 61922, Saudi Arabia ' ESCT, RIM RAF UR13ES56, Manouba University, Campus Universitaire Manouba, 2010, Tunisia
Abstract: This study aims to identify the risk factors amplifying the contagion risk between the Islamic to conventional banks. Using the copula approach and the panel VAR model, findings justify the presence of a dependent relationship between the two types of banks, where the sense of causality of this phenomenon is unidirectional derived from conventional to Islamic banks. Hence, our results indicate that the market risk, the credit risk and the size of the financial institution represent the major factors triggering the contagion risk between both types of banks. To this extent, Islamic banks should consider more restricted standards to be able to ensure their independence and to handle their contagion risk.
Keywords: Islamic finance; contagion; systemic risk; copula; marginal expected shortfall; MES; panel VAR; GJR-DCC-GARCH.
International Journal of Banking, Accounting and Finance, 2021 Vol.12 No.3, pp.201 - 239
Accepted: 28 Nov 2019
Published online: 23 Apr 2021 *