How do the global equity and bond markets affect Islamic and conventional banks? A comparative cross-country analysis using multivariate regression quantiles

Using the multivariate quantile autoregression technique, we examine how equity returns of Islamic and conventional banks are affected by shocks to major financial indices such as DJUSI index, MSCI World Index, VIX index United States 10-years Treasury bond interest rate. We compare stability two banking systems risk spillovers at global regional levels based on data from 16 countries for period after 2008 crisis. The empirical findings suggest that banks’ equities have weaker codependency with markets than level while US rate tends be stronger indicating sensitivity rates. results also reveal there does not seem any significant difference between stock price reactions both in response indices. Regarding comparison only, find bank performance vary much across heterogeneous geographic regions.