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.

中文翻译：

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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

目的

该论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每月投资率。传统的方法是对高频数据进行平均以匹配低频数据，导致高频数据的信息丢失。

设计/方法/途径

本文使用混合数据抽样 (MIDAS) 模型来研究伊斯兰银行业务与传统银行业务之间的关系。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，并且以其双重银行系统而闻名。

发现

证据表明，常规隔夜利率对伊斯兰存款利率有积极影响。对于不同期限的伊斯兰存款利率，结果是一致的。当每日常规隔夜利率的滞后长度达到 90 天时，正的总效应就会成立。其他证据表明，每日常规隔夜利率对常规存款利率具有类似的影响。

原创性/价值

本文记录了伊斯兰银行业与传统银行业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取详细信息的重要性。