بررسی ساز و کار انتقال ریسک آنی در سبد سرمایه¬گذاری با استفاده از رویکرد R2 Connectedness: شواهدی از شرکت سرمایه¬گذاری صندوق بازنشستگی کشور

Roudari, Soheil and Ahmadi, Ali Mohammad and Omidi, Vahid (2023): بررسی ساز و کار انتقال ریسک آنی در سبد سرمایه¬گذاری با استفاده از رویکرد R2 Connectedness: شواهدی از شرکت سرمایه¬گذاری صندوق بازنشستگی کشور. Published in: Iranian Journal of Economic Research , Vol. 29, No. 98 (7 April 2024): pp. 123-161.

Abstract

One of the most important concerns of the national pension fund is managing the investment portfolio. Therefore, in the present study, the long-term investment portfolio, the largest subset of it (the fund), has been examined using the R2 Connectedness approach, introduced by Naeim et al. (2023), over the period of 26/06/1392 to 31/06/1402 (22/09/2023 to 17/09/2013). Given that political, economic, and social events have immediate effects on stock returns, this study focuses on the immediacy of the impact of the stocks present in the national pension fund. The results indicate that in terms of net impact and susceptibility, Kechad, Foolad, Kogel, and Sheranoul (Group 1) have been predominantly influential and have transferred risk to the network. Conversely, Shapass, Pasa, Shakbir, and Webshahr (Group 2) have shown the highest susceptibility to the network. In the event of an external shock, risk is transferred from Group 1 stocks to the network and has the most significant effect on Group 2 stocks. In the network analysis and in bearish market conditions, a threshold of -4% reveals a high correlation between the stocks in the portfolio. Therefore, portfolio adjustment is necessary under bearish market conditions. Furthermore, in the bullish market, with a threshold of +4%, there is no correlation between the stocks, indicating no need for adjustments in the current portfolio. Additionally, if there is an intention to sell stocks, it is advisable to focus on the risk-receiving group, namely Pasargad Oil, Amir Kabir Petrochemicals, Iran Yasa Tire, and Behshahr Industrial Group, as the risks of Gol Gohar, Chadormalu, Mobarakeh Steel, and Iranol Oil are absorbed by these companies.

• Item Type: MPRA Paper
• English Title: Examining the mechanism of Contemporaneous risk transmission in the investment portfolio using the R2 Connectedness approach: Evidence from the National Pension Fund Investment Company
• Language: Persian
• Keywords: Portfolio Management, R2 Connectedness Model, National Pension Fund Investment, Network Analysis
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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