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题名Does the conventional money market overnight rate influence the investment rate of Islamic deposits? Evidence from Malaysia
作者
发表日期2023-04-14
发表期刊International Journal of Islamic and Middle Eastern Finance and Management
ISSN/eISSN1753-8394
卷号16期号:3页码:647-668
摘要

Purpose: The paper aims to examine whether the daily conventional money market overnight rate influences the monthly investment rate of Islamic deposits in Malaysia. The traditional approach, which averages the high-frequency data to match the low-frequency data, results in information loss for the high-frequency data. Design/methodology/approach: The paper uses the mixed data sampling (MIDAS) model to study the relationship between Islamic banking and conventional banking. The Malaysian data are used for the analysis as Malaysia has one of the most developed Islamic financial industries in the world, and it is well-known for its dual banking system. Findings: The evidence shows that the conventional overnight rate has a positive effect on the Islamic deposit rate. The results are consistent for Islamic deposit rates with different maturities. The positive aggregate effect holds when the lag length of the daily conventional overnight rate goes up to 90 days. Additional evidence shows that the daily conventional overnight rate has a similar effect on the conventional deposit rate. Originality/value: This paper documents that the relationship between Islamic banking and conventional banking is not monotonous. When high-frequency data is averaged with low-frequency data, the non-linear relationship will be masked. It highlights the importance of using high-frequency data to get a detailed picture.

关键词Banking Islamic deposit rate Malaysia MIDAS model Overnight interest rate
DOI10.1108/IMEFM-03-2021-0107
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收录类别SSCI
语种英语English
WOS研究方向Business & Economics
WOS类目Business, Finance ; Management
WOS记录号WOS:000878731600001
Scopus入藏号2-s2.0-85141416803
引用统计
被引频次:2[WOS]   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/10559
专题工商管理学院
通讯作者Li, Jingya
作者单位
1.Department of Finance and Economics,Faculty of Business and Management,BNU-HKBU United International College,Zhuhai,China
2.Department of Finance and Business Economics,Faculty of Business Administration,University of Macau,SAR,Macao
3.Department of Finance,School of Business,Monash University Malaysia,Bandar Sunway,Malaysia
第一作者单位北师香港浸会大学
通讯作者单位北师香港浸会大学
推荐引用方式
GB/T 7714
Li, Jingya,Liu, Ming Hua,Shrestha, Keshab. Does the conventional money market overnight rate influence the investment rate of Islamic deposits? Evidence from Malaysia[J]. International Journal of Islamic and Middle Eastern Finance and Management, 2023, 16(3): 647-668.
APA Li, Jingya, Liu, Ming Hua, & Shrestha, Keshab. (2023). Does the conventional money market overnight rate influence the investment rate of Islamic deposits? Evidence from Malaysia. International Journal of Islamic and Middle Eastern Finance and Management, 16(3), 647-668.
MLA Li, Jingya,et al."Does the conventional money market overnight rate influence the investment rate of Islamic deposits? Evidence from Malaysia". International Journal of Islamic and Middle Eastern Finance and Management 16.3(2023): 647-668.
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