بررسی عملکرد مدیریت سرمایه گذاری در وزارت تعاون، کار و رفاه اجتماعی: شواهدی جدید از هلدینگ¬های تابعه

Roudari, Soheil and Ahmadian- Yazdi, Farzaneh and Namazizadeh, Ehsan and Chenarani, Hasan (2025): بررسی عملکرد مدیریت سرمایه گذاری در وزارت تعاون، کار و رفاه اجتماعی: شواهدی جدید از هلدینگ¬های تابعه.

Abstract

This study investigates static and dynamic risk spillovers among selected assets associated with holdings affiliated with the Ministry of Cooperatives, Labor, and Social Welfare in Iran, employing the Time‑Varying Parameter Vector Autoregression (TVP‑VAR) model proposed by Antonakakis et al. (2020) during the period April 15, 2020 to April 22, 2025 . In addition, the framework of Broadstock et al. (2022) is applied to evaluate portfolio risk management efficiency, determine optimal asset weights, and compute portfolio hedge ratios based on three innovative strategies: Minimum Variance Portfolio (MVP), Minimum Correlation Portfolio (MCP), and Minimum Connectedness Portfolio (MCoP). The results reveal that Vasandogh acts as the principal transmitter and Shasta as the main receiver of volatility within the network. The analysis of cumulative portfolio returns further shows that, compared to the other two approaches, the MVP strategy delivers superior performance in optimizing cumulative returns, particularly under conditions of market instability. However, the negative dynamic cumulative returns observed in the other two strategies indicate ineffective risk management within the investment policies of the Ministry. Moreover, results related to hedge ratios demonstrate that hedging efficiency is significant only in portfolios where Shasta is included as a long‑term asset, whereas other portfolio combinations lack meaningful hedging effectiveness. Accordingly, it can be concluded that a revision of the institutional functions of the Ministry’s affiliated holdings in the financial market is essential to enhance the resilience of financial portfolios and to consider divesting loss‑making holdings as a fundamental policy priority.

• Item Type: MPRA Paper
• English Title: Assessment of Investment Management Performance in the Ministry of Cooperatives, Labor, and Social Welfare: New Evidence from Affiliated Holdings
• Language: Persian
• Keywords: Risk spillover, optimal weighting, hedging effectiveness, portfolio management, Ministry of Cooperatives, Labor, and Social Welfare
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

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