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.

中文翻译：

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银行特定因素、市场状况以及伊斯兰和传统银行的风险：来自最近分位数方法的证据

目的

本文的目的是研究银行特定因素如何影响传统银行和伊斯兰银行在应对市场条件变化时主要金融指数冲击时的风险。

设计/方法论/途径

作者使用多元分位数模型，利用每日股票回报数据来分析主要金融指数与全球传统银行和伊斯兰银行股票价格之间可能出现的风险价值的金融风险溢出效应。然后，作者使用分位数和分位数叠加模型，研究了杠杆率、银行规模、股本回报率和资本充足率等银行特定变量对全球主要金融指数冲击的初始影响的影响。银行股票价格在不同分位数的冲击和银行特定变量下的回报。

发现

研究结果表明，主要金融指数可以预测银行股票的回报。此外，作者发现，银行特定因素对银行风险的影响是异质的，因为它取决于银行类型（伊斯兰银行与传统银行）、银行变量水平（高与低），更重要的是，取决于市场状况。

原创性/价值

据作者所知，这是第一项将双重银行体系与股票市场表现进行比较的研究，同时考虑了市场条件变化时银行特定的变量。本研究的结果表明，银行特定变量对银行绩效的影响根据冲击和银行特定变量的不同分位数而变化。根据调查的具体因素，伊斯兰银行可能与传统银行相同或不同。