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- Title
Systemic risk spillover between the stock market and banking deposits: Evidence from a sustainability perspective in the South Asian countries.
- Authors
Liu, Linshan; Rafique, Amir; Abbas, Naseem; Umer Quddoos, Muhammad; Ahmad, Muhammad Munir; Siddiqi, Arslan Ahmad
- Abstract
This research explores the link between stock markets and banking deposits in South Asian (Pakistan, India, Sri Lanka, Nepal) countries. This study empirically examines the systemic risk potential of financial institutions in South Asia using current systemic risk statistics. Yearly data on stock prices and banking deposits from January 2000 to December 2020 were analyzed using a two-stage process. In the first phase, we measure VaR (value at risk), and in the second step, we measure the DCC GARCH model for our empirical analysis. The study findings reveal systemic risk spillover between the stock markets of South Asian countries and the relevant country's banking system deposits. The policymakers can use our study findings to create a more sustainable financial sector.
- Subjects
SOUTH Asia; DEPOSIT banking; BANK deposits; SYSTEMIC risk (Finance); BANKING industry; FINANCIAL markets; SUSTAINABILITY
- Publication
PLoS ONE, 2024, Vol 19, Issue 7, p1
- ISSN
1932-6203
- Publication type
Article
- DOI
10.1371/journal.pone.0288310