Transmission Mechanisms of Contemporaneous Risk in Investment Portfolios: An R2 Connectedness Approach With Evidence From the Iranian National Pension Fund Investment Company

One of the primary concerns of the Iranian National Pension Fund is managing its investment portfolio. In this respect, the present study aimed to examine the long-term investment portfolio, the largest subset of which is V-sandoq. The analysis used the R2 connectedness approach proposed by Naeem et al. (2023) over the period from September 17, 2013, to September 22, 2023. The study focused on the immediate influence and susceptibility to influence of the stocks within the National Pension Fund. The results showed that, in terms of net influence and susceptibility, the stocks of Group 1 (i.e., Kechad, Foulad, Kegol, and Sheranol) were the most influential, transferring risk to the network. Conversely, the stocks of Group 2 (i.e., Shepas, Pasa, Shekabir, and Vebshahr) were the most influenced by the network. Therefore, risk is transferred from Group 1 stocks to the network, impacting Group 2 stocks the most. In network analysis, during a bear market with a threshold of -4%, there is a high degree of connectivity among the stocks in the portfolio. This suggests that portfolio adjustments are necessary under bear market conditions. Conversely, in a bull market with a threshold of +4%, there is no connectivity between the stocks, indicating that no portfolio adjustments are needed under such conditions.