「Waseda Organizational and Financial Economics Seminar : An Alternative Market Liquidity Indicator and its applications on the portfolio allocation 」＊日本語でのご報告
| 日時 | 2025年6月9日（月）13:10～14:50 |
|---|---|
| 開催方法 | ①対面 ＊11号館504教室にお越しください。 ②Zoom＊お申込み完了の自動返信メールにて、参加用URLをお知らせいたします。 |
| 対象 | 学生・教職員・一般 |
| 講演者 | Jin Huixing 氏 （東京都立大学 経済経営学部 助教） |
| 要旨 | This study introduces CDAR-ILLIQ, a novel indicator that captures liquidity commonality across stocks through residual illiquidity co-movement. Although CDAR is originally rooted in econometric modeling, our paper is empirical in nature and focuses on its practical application in volatility forecasting. We apply CDARILLIQ to U.S. equity data and evaluate its performance in HAR and SHAR frameworks to forecast 1-day and 5-day realized volatility. The results show that models incorporating CDAR-ILLIQ significantly outperform those using traditional liquidity measures, especially during periods of market turbulence. Forecast accuracy improves notably in bearish regimes, indicating that CDAR captures systemic liquidity risks overlooked by conventional indicators. Robustness is confirmed through Mincer-Zarnowitz regressions, Model Confidence Set procedures, and comparisons with macro-liquidity alternatives. Our findings demonstrate that CDAR-ILLIQ offers a practical and scalable improvement to existing volatility modeling approaches. This research provides actionable insights for market risk monitoring, asset allocation, and financial supervision. The study does not develop new econometric theory but shows how an existing liquidity framework can be applied effectively in a realworld forecasting context. Overall, CDAR-ILLIQ enriches the toolbox available to practitioners concerned with risk forecasting under liquidity stress conditions. |
| 世話人 | 宮島 英昭 （早稲田大学商学学術院 教授） |
| 参加申し込み方法 | 参加はこちらからお申込みください。※6月5日（木）17:00締切 |
| その他 | 早稲田大学商学部・産業経営研究所・谷川寧彦分科会 |
