Does the conventional money market overnight rate influence the investment rate of Islamic deposits? Evidence from Malaysia

Jingya Li, Ming-Hua Liu, Keshab Shrestha
{"title":"Does the conventional money market overnight rate influence the investment rate of Islamic deposits? Evidence from Malaysia","authors":"Jingya Li, Ming-Hua Liu, Keshab Shrestha","doi":"10.1108/imefm-03-2021-0107","DOIUrl":null,"url":null,"abstract":"\nPurpose\nThe 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.\n\n\nDesign/methodology/approach\nThe 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.\n\n\nFindings\nThe 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.\n\n\nOriginality/value\nThis 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.\n","PeriodicalId":47091,"journal":{"name":"International Journal of Islamic and Middle Eastern Finance and Management","volume":" ","pages":""},"PeriodicalIF":2.8000,"publicationDate":"2022-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Islamic and Middle Eastern Finance and Management","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1108/imefm-03-2021-0107","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

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.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
传统的货币市场隔夜利率会影响伊斯兰存款的投资率吗?来自马来西亚的证据
本文旨在检验每日常规货币市场隔夜利率是否影响马来西亚伊斯兰存款的月投资率。传统的方法是对高频数据进行平均来匹配低频数据,导致高频数据的信息丢失。设计/方法/方法本文使用混合数据抽样(MIDAS)模型来研究伊斯兰银行与传统银行之间的关系。马来西亚的数据被用于分析,因为马来西亚拥有世界上最发达的伊斯兰金融业之一,并且以其双重银行体系而闻名。研究结果表明,传统的隔夜利率对伊斯兰存款利率有正向影响。对于不同期限的伊斯兰存款利率,结果是一致的。当每日常规隔夜拆借利率的滞后长度达到90天时,正聚合效应仍然存在。其他证据表明,每日常规隔夜利率对常规存款利率也有类似的影响。原创性/价值本文证明了伊斯兰银行与传统银行之间的关系并不单调。当高频数据与低频数据平均时,非线性关系将被掩盖。它强调了使用高频数据获得详细图像的重要性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
5.40
自引率
10.00%
发文量
45
期刊介绍: The International Journal of Islamic and Middle Eastern Finance and Management (IMEFM) publishes quality and in-depth analysis on current issues within Islamic and Middle Eastern finance and management. The journal welcomes strong evidence-based empirical studies and results-focused case studies that share research in product development and clarify best practices. The title is also keen to consider work from emerging authors. IMEFM has just also accepted into Clarivate''s SSCI in 2018, and its IF will be available in summer 2019, with citations dating from 2016. The coverage includes but is not limited to: -Islamic finance: Fundamentals, trends and opportunities in Islamic Finance, Islamic banking and financial markets, Risk management, Corporate finance, Investment strategy, Islamic social finance, Financial planning, Housing finance, Legal and regulatory issues, -Islamic management: Corporate governance, Customer relationship management and service quality, Business ethics and corporate social responsibility, Management styles and strategies in Shariah environments, Labour and welfare economics, Political economy. The journal is the only title aiming to give an interdisciplinary and holistic view on Islamic finance and business management practices in order to inform these two intertwined communities.
期刊最新文献
Economic growth and sustainable development: evidence from OIC countries Economical rights versus God’s rights: criticising of the implementation Shariah economic in Indonesia Does diversity in top management and boards affect ESG performance? Evidence from Islamic and conventional banks in the MENA region The new legalities of Islamic contractual interpretation: institutional frameworks and the displacement of intention Exploring the stock market development and sustainable development nexus: insights from emerging market economies
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1