{"id":4926,"date":"2025-05-23T15:21:48","date_gmt":"2025-05-23T06:21:48","guid":{"rendered":"https:\/\/www.waseda.jp\/fcom\/riba\/?p=4926"},"modified":"2025-05-23T15:26:25","modified_gmt":"2025-05-23T06:26:25","slug":"2025%e5%b9%b4%ef%bc%96%e6%9c%88%ef%bc%99%e6%97%a5%e6%9c%88-%e3%81%ab%e7%94%a3%e7%a0%94%e8%ac%9b%e6%bc%94%e4%bc%9a%e3%80%8cwaseda-organizational-and-financial-economics-seminar-an-alternative-marke","status":"publish","type":"post","link":"https:\/\/www.waseda.jp\/fcom\/riba\/news\/4926","title":{"rendered":"2025\u5e746\u67089\u65e5(\u6708) \u306b\u7523\u7814\u8b1b\u6f14\u4f1a\u300cWaseda Organizational and Financial Economics Seminar : An Alternative Market Liquidity Indicator and its applications on the portfolio allocation \u300d\u304c\u958b\u50ac\u3055\u308c\u307e\u3059\u3002"},"content":{"rendered":"

\u300cWaseda Organizational and Financial Economics Seminar : An Alternative Market Liquidity Indicator and its applications on the portfolio allocation \u300d\uff0a\u65e5\u672c\u8a9e\u3067\u306e\u3054\u5831\u544a<\/h3>\n
\n\n\n\n\n\n\n\n\n\n
\u65e5\u6642<\/th>\n2025\u5e746\u67089\u65e5\uff08\u6708\uff0913:10\uff5e14:50<\/td>\n<\/tr>\n
\u958b\u50ac\u65b9\u6cd5<\/th>\n\u2460\u5bfe\u9762 \uff0a11\u53f7\u9928504\u6559\u5ba4\u306b\u304a\u8d8a\u3057\u304f\u3060\u3055\u3044\u3002
\n\u2461Zoom\uff0a\u304a\u7533\u8fbc\u307f\u5b8c\u4e86\u306e\u81ea\u52d5\u8fd4\u4fe1\u30e1\u30fc\u30eb\u306b\u3066\u3001\u53c2\u52a0\u7528URL\u3092\u304a\u77e5\u3089\u305b\u3044\u305f\u3057\u307e\u3059\u3002<\/td>\n<\/tr>\n
\u5bfe\u8c61<\/th>\n\u5b66\u751f\u30fb\u6559\u8077\u54e1\u30fb\u4e00\u822c<\/td>\n<\/tr>\n
\u8b1b\u6f14\u8005<\/th>\nJin Huixing\u00a0\u6c0f
\n\uff08\u6771\u4eac\u90fd\u7acb\u5927\u5b66\u3000\u7d4c\u6e08\u7d4c\u55b6\u5b66\u90e8\u3000\u52a9\u6559\uff09<\/td>\n<\/tr>\n
\u8981\u65e8<\/th>\nThis 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.<\/td>\n<\/tr>\n
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\u53c2\u52a0\u7533\u3057\u8fbc\u307f\u65b9\u6cd5<\/th>\n\u53c2\u52a0\u306f\u3053\u3061\u3089<\/a>\u304b\u3089\u304a\u7533\u8fbc\u307f\u304f\u3060\u3055\u3044\u3002\u203b6\u67085\u65e5\uff08\u6728\uff0917:00\u7de0\u5207<\/td>\n<\/tr>\n
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