HUBUNGAN KADAR OVERNIGHT MONEY ANTARA BANK KONVENSIONAL DENGAN BANK ISLAM: BUKTI EMPIRIKAL DI MALAYSIA

Zulkefly Abdul Karim(1*), Norain Mod Asri(2), M. Farid Wajdi(3), Antoni Antoni(4)

(1) Fakulti Ekonomi dan Perniagaan Universiti Kebangsaan Malaysia
(2) Fakulti Ekonomi dan Perniagaan Universiti Kebangsaan Malaysia
(3) Fakultas Ekonomi Universitas Muhammadiyah Surakarta
(4) Fakultas Ekonomi Universitas Bung Hatta, Padang
(*) Corresponding Author

Abstract

The objective of this study is to examine the relationship between overnight money of Islamic bank
and conventional bank based on daily data begins from 12th October 1998 until 10th June 2005.
This study is important to determine whether overnight money of conventional bank or overnight money
of Islamic bank, become the leader or follower in the interbank money market. The econometrics tests
such as unit root test, VAR model and Granger causality test have been applied. Result shows that
both variables are stationary at level form or I(0). This implies that we don’t need to further analysis
with cointegration test. In this case, we appllied the traditional model of VAR and Granger causality
test. Empirical findings indicates that the existence of bi-directional causality between overnight money
of Islamic bank and conventional bank.

Keywords

Overnight money, Islamic bank, unit root, Granger, autoregressive

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DOI: 10.23917/benefit.v10i2.1232

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