Hoang, T i M
A icle
Minimum a iance po olio in ASEAN-6 s ock ma ke s
di e si ica ion: A Vie namese pe spec i e
Cogen Business & Managemen
P o ided in Coope a ion wi h:
Taylo & F ancis G oup
Sugges ed Ci a ion: Hoang, T i M (2022) : Minimum a iance po olio in ASEAN-6 s ock ma ke s
di e si ica ion: A Vie namese pe spec i e, Cogen Business & Managemen , ISSN 2331-1975, Taylo
& F ancis, Abingdon, Vol. 9, Iss. 1, pp. 1-23,
h ps://doi.o g/10.1080/23311975.2022.2062909
This Ve sion is a ailable a :
h ps://hdl.handle.ne /10419/288704
S anda d-Nu zungsbedingungen:
Die Dokumen e au EconS o dü en zu eigenen wissenscha lichen
Zwecken und zum P i a geb auch gespeiche und kopie we den.
Sie dü en die Dokumen e nich ü ö en liche ode komme zielle
Zwecke e iel äl igen, ö en lich auss ellen, ö en lich zugänglich
machen, e eiben ode ande wei ig nu zen.
So e n die Ve asse die Dokumen e un e Open-Con en -Lizenzen
(insbesonde e CC-Lizenzen) zu Ve ügung ges ell haben soll en,
gel en abweichend on diesen Nu zungsbedingungen die in de do
genann en Lizenz gewäh en Nu zungs ech e.
Te ms o use:
Documen s in EconS o may be sa ed and copied o you pe sonal
and schola ly pu poses.
You a e no o copy documen s o public o comme cial pu poses, o
exhibi he documen s publicly, o make hem publicly a ailable on he
in e ne , o o dis ibu e o o he wise use he documen s in public.
I he documen s ha e been made a ailable unde an Open Con en
Licence (especially C ea i e Commons Licences), you may exe cise
u he usage igh s as speci ied in he indica ed licence.
h ps://c ea i ecommons.o g/licenses/by/4.0/
Full Te ms & Condi ions o access and use can be ound a
h ps://www. and online.com/ac ion/jou nalIn o ma ion?jou nalCode=oabm20
Cogen Business & Managemen
ISSN: (P in ) (Online) Jou nal homepage: www. and online.com/jou nals/oabm20
Minimum a iance po olio in ASEAN-6 s ock
ma ke s di e si ica ion: A Vie namese pe spec i e
T i M Hoang
To ci e his a icle: T i M Hoang (2022) Minimum a iance po olio in ASEAN-6 s ock ma ke s
di e si ica ion: A Vie namese pe spec i e, Cogen Business & Managemen , 9:1, 2062909, DOI:
10.1080/23311975.2022.2062909
To link o his a icle: h ps://doi.o g/10.1080/23311975.2022.2062909
© 2022 The Au ho (s). This open access
a icle is dis ibu ed unde a C ea i e
Commons A ibu ion (CC-BY) 4.0 license.
Published online: 19 Ap 2022.
Submi you a icle o his jou nal
A icle iews: 1303
View ela ed a icles
View C ossma k da a
BANKING & FINANCE | RESEARCH ARTICLE
Minimum a iance po olio in ASEAN-6 s ock
ma ke s di e si ica ion: A Vie namese
pe spec i e
T i M Hoang
1,2
*
Abs ac : Using daily and mon hly MSCI index e u ns o Associa ion o Sou heas
Asian Na ions (ASEAN) ma ke s o he pe iod 2007 and 2021, his s udy aims o
examine i he e a e any ad an ages o di e si ica ion in ASEAN ma ke s o
Vie namese in es o s and i hose pe ks ha e al e ed be ween p e and pos 2008
inancial c isis (pe iod 1) and p e and du ing he Co id-19 pandemic (pe iod 2).
Co ela ions a e e alua ed p e and pos c ises using bo h an 86-mon h co ela ion
window o he whole pe iod and a 12-mon h olling co ela ion window. To assess
he bene i s o di e si ica ion, se e al po olios a e buil employing he Ma kowi z
Po olio Op imize using a minimum- a iance (MV) e e ence. Co ela ions be ween
ASEAN eme ging ma ke s ha e isen be ween be o e and a e c ises. Di e si ica ion
ad an ages a e a ailable o Vie namese in es o s, al hough bene i s ha e declined
du ing c ises, and hey seem o be s onge in eme ging ma ke s han in Singapo e
(a de eloped ma ke ). As a esul , his pape sugges s ha Vie namese in es o s
should look o he al e na i e app oaches han he MV po olio me hod o minimize
in es men isks du ing c ises. Vie namese in es o s also need o p epa e di e en
in es men s a egies o each pe iod as he pe ks o ASEAN di e si ica ion in
pe iods 1 and 2 a e no he same.
ABOUT THE AUTHOR
T i M. Hoang is a Ph.D. s uden a he Uni e si y
o Economics Ho Chi Minh Ci y (UEH) in Vie nam,
wo king unde he guidance o P o . Su Dinh
Thanh. His hesis examines he di e si ica ion o
asse e u ns in po olio managemen o
in es o s om eme ging ma ke s. This a icle is
based on a sec ion o his doc o al hesis.
Beha io al inance and ma ke s, as well as
empi ical asse p icing, a e among his esea ch
in e es s.
PUBLIC INTEREST STATEMENT
As he membe s o ASEAN (Associa ion o
Sou heas Asian Na ions) g ow mo e legally and
economically in e connec ed, Vie namese in es-
o s may di e si y hei in es men s o e seas.
Mo e signi ican ly, he oppo uni y o make in e -
na ional gains and minimize in es men isks
become a ac i e o Vie namese in es o s when
e ec s o c ises such as he 2008 inancial c isis
and he ongoing Co id-19 pandemic enhance he
di icul ies o in es o s’ po olio di e si ica ion.
This s udy esponds o he ques ion o whe he
he ASEAN di e si ied po olios help Vie namese
in es o s each hei goals using a isk-based
app oach. A signi ican conclusion is ha di e si-
ica ion bene i s a e a ainable o Vie namese
in es o s, al hough a a educed le el du ing
c ises, and seem o be g ea e in eme ging
coun ies. Addi ionally, Vie namese in es o s
should de elop dis inc in es men s a egies o
each ime, since he bene i s o ASEAN di e si i-
ca ion a y acco ding o he pe iod.
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 1 o 23
Recei ed: 06 June 2021
Accep ed: 31 Ma ch 2022
*Co esponding au ho : T i M Hoang,
School o Finance, Uni e si y o
Economics Ho Chi Minh Ci y (UEH),
59C Nguyen Dinh Chieu S ee ,
Dis ic 3, Ho Chi Minh Ci y, Vie nam
E-mail: [email p o ec ed].
edu. n;[email p o ec ed];
[email p o ec ed]; ;
Re iewing edi o :
Da id McMillan, Uni e si y o S i ling,
S i ling Uni ed Kingdom
Addi ional in o ma ion is a ailable a
he end o he a icle
© 2022 The Au ho (s). This open access a icle is dis ibu ed unde a C ea i e Commons
A ibu ion (CC-BY) 4.0 license.
Subjec s: S a is ics; S a is ics o Business, Finance & Economics; Finance; In es men &
Secu i ies
Keywo ds: ASEAN Equi y Ma ke s; Asse Co ela ions; In e na ional Di e si ica ion;
Po olio Di e si ica ion Bene i s
JEL Classi ica ions: G11; G15; C14.
1. In oduc ion
O e he las wo decades, he ansac ion ees o in e na ional acquisi ions ha e signi ican ly
declined due o he ise o he in e ne . The in e ne ’s p e alence has also aided in he emo al o
o he obs acles o o eign in es men , such as he ci cula ion o and a ailabili y o in o ma ion, as
well as he gene al con enience o execu ing ades. Tha , along wi h he mo emen o accoun ing
p inciples o a mo e s anda dized uni e sal no m, has made i easie o in es o s o di e si y
globally (Le y & Le y, 2014).
Acco ding o Demi ci e al. (2021), di e si ying globally has his o ically been and con inues o be
a use ul app oach o lowe ing isk in an in es men po olio. Di e si ica ion is he p ocess h ough
which an in es o a emp s o lessen coun y-speci ic isks by in es ing in se e al di e en na ions.
A ade has adi ionally been able o achie e a highe isk-adjus ed e u n by dis ibu ing his o
he asse s ac oss o he s ock ma ke s ha ha e low co ela ions o he domes ic ma ke and ha e
di e se mac oeconomic ea u es han i he o she had jus pu money in hei home coun y
(Be mejo e al., 2020).
Acco ding o Hun e and Coggin (1990), he e a e no ad an ages o di e si ying globally i
co ela ions a e pe ec o equal o 1, and i co ela ions a e ze o, po olio isk is dec eased in
p opo ion o each o e seas asse in oduced o he po olio. I co ela ions we e less han ze o,
he po olio isk would be educed e en u he o each addi ional o eign asse . P e ious
esea ch inds ha he wo ldwide di e si ica ion o s ocks p oduces signi ican bene i s.
Acco ding o Solnik (1974), a globally di e si ied po olio is jus hal as isky as a di e se
U.S. in es men po olio, and Ge man and Swiss in es o s would bene i much mo e om o eign
di e si ica ion Du ing he 1980s and 1990s, Odie and Solnik (1993) disco e ha US equi ies ha e
an a e age co ela ion o oughly 0.50 wi h 16 o he ma ke s; an ideal in e na ional in es men
po olio wi h he same isk gene a es be e annual e u ns o 19.0 pe cen compa ed o 13.3 pe -
cen o he US po olio.
Since he global economy has g own mo e in e na ional, he bulk o published e idence has shown
ha he co ela ions o se e al global inancial ma ke s ha e isen signi ican ly du ing he las wen y
yea s. This implies ha p ominen equi y ma ke s, such as hose in he Uni ed S a es, Ge many, and
he Uni ed Kingdom, luc ua e wi h highe co a iance. As a esul , a ise in he op Ame ican s ock
ma ke s o e a pa icula pe iod would almos ce ainly esul in an equally subs an ial inc ease in he
majo exchanges in Ge many and he Uni ed Kingdom (Bodie e al., 2018).
Because a compa a i ely low co ela ion is among he majo mo i a ions o ebalance globally
and has la gely been among he p incipal ac o s, i global s ock ma ke co ela ions a e imp o ing
and ha e achie ed high le els, he issue is whe he he ad an ages o global di e si ica ion ha e
declined in ecen yea s and whe he he educ ion has indeed been subs an ial (Mukhe ji & Jeong,
2020). The s udy on he subjec yields con adic o y esul s, wi h some s a ing ha ad an ages
may s ill be ob ained by global di e si ica ion and o he s sugges ing he con a y.
The con adic o y esul s o some o he exis ing s udies se e as he ini ial impe us o addi-
ional in es iga ion on he subjec . Fu he mo e, he g ea bulk o pas esea ch has been unde -
aken om he s andpoin o an in es o in ad anced coun ies o majo eme ging na ions, wi h
ha dly any s udies unde aken om he pe spec i e o small eme ging na ions wi h on ie
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 2 o 23
domes ic s ock ma ke s. To add o he la e iewpoin , his esea ch will look a whe he he e a e
any in e na ional di e si ica ion gains a ailable o Vie namese in es o s ha use a isk-based
app oach.
The pu pose o his s udy is o in es iga e i he Vie namese s ock ma ke ’s e u n co ela ions
ha e isen e sus o he s ock ma ke s and i he e a e any achie able bene i s o Vie namese
in es o s om o eign di e si ica ion. I also examines he bene i s o in e na ional di e si ica ion
and how hey ha e e ol ed o e pe iods.
To assess whe he Vie namese in es o s gain om in e na ional di e si ica ion, a Vie nam-only
po olio will be e alua ed agains po olios wi h a ied alloca ions o ASEAN-6 ma ke s, by using
minimum a iance po olios, based on a mode n po olio amewo k and he capi al asse p icing
model. The Sha pe a io, So ino a io, alue a isk (VaR), and Jensen’s alpha will be explo ed o
di e en ia e be ween he po olios and de e mine whe he he po olio dis ibu ion is p e e able
om he o he . All indica o s a e a ec ed by po olio ola ili y, which is impac ed by he po olio
a iance and he co ela ion be ween he asse s (Sche e , 2010). Hence, minimizing po olio
a iance imp o es hese measu emen s and di e si ica ion bene i s.
To see how he inancial c isis in 2007/2008 and he Co id-19 pandemic has impac ed in e na-
ional di e si ica ion bene i s o Vie namese in es o s, he e is a compa ison o he bene i s om
be o e and a e he 2008 global inancial c isis and he ongoing Co id-19 ou b eak. This is
accomplished by employing wo pe iods, he i s o which is he pe iod p eceding he inancial
c isis un il he e i al o Vie namese ma ke s, and he second o which is an equally long ime
ollowing he eco e y o global ma ke s ollowing he inancial c isis un il he p esen Co id-19
epidemic. Pe iod 1 begins in Janua y 2007 and ends in Feb ua y 2014, whe eas Pe iod 2 begins in
Ma ch 2014 and ends in Ap il 2021.
Wi h in e na ional s ock ma ke s becoming mo e a ailable, Vie namese in es o s mus unde -
s and i di e si ying in o ASEAN-6 ma ke s is aluable in e ms o isk mi iga ion and e u n. As
ASEAN ma ke s a e ne ecipien s and ansmi e s o ola ili y spillo e s om o he egions in he
2008 inancial c isis (Kang e al., 2019), a p io i y o in es o s is o minimum- a iance di e si y
hei po olio o o he ma ke s. Compa ing di e si ica ion gains be ween wo pe iods helps be e
comp ehend how he global inancial c isis and Co id-19 pandemic a ec s ASEAN-6 ma ke s and
hei co a iance.
2. O e iew o he esea ch con ex
2.1. ASEAN Exchanges
ASEAN Exchanges is a pa ne ship o exchanges om Malaysia, Vie nam (2 exchanges), Indonesia,
he Philippines, Thailand, and Singapo e o encou age ASEAN inancial ma ke de elopmen by
deli e ing mo e ASEAN in es men op ions o mo e ma ke pa icipan s. The ASEAN Exchanges
pa ne ship es ablished he ASEAN T ading Link on 18 Sep embe 2012, as a channel o secu i ies
b oke s o p o ide in es o s wi h as e access o linked exchanges. The i s wo ma ke s o join
he connec ion on he inaugu a ion day we e Bu sa Malaysia and Singapo e Exchange, while The
S ock Ma ke o Thailand joined on 15 Oc obe 2012, es ablishing a i ual ma ke o o e 2,200
lis ed businesses wi h a o al ma ke alue o US$1.4 illion (ASEAN Exchanges, 2012).
2.2. The Co id-19 pandemic
Since he Wo ld Heal h O ganiza ion (WHO) decla ed he new co ona i us (COVID-19) a wo ldwide
pandemic on 11 Ma ch 2020, he i us has a ec ed 23.3 million indi iduals and killed 741,000
ac oss 210 na ions. In Sou heas Asia, 17 ASEAN membe na ions con i med a leas 869,515
cases and 21,076 a ali ies in Oc obe , albei his igu e is ce ainly much highe due o he as
numbe o undocumen ed o misdiagnosed cases, pa icula ly in unde de eloped na ions wi h
shaky heal hca e sys ems. Indonesia has he g ea es mo ali y a e as a p opo ion o i s
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 3 o 23

popula ion (4.56) as o Augus 2020, whe eas Singapo e has he lowes mo ali y a e in he a ea
(0.05; Djalan e e al., 2020).
3. Li e a u e e iew
3.1. Theo e ical pe spec i es
The i s o mal s udy o he isk- e u n ela ionship o he mode n po olio heo y (MPT) by
H. Ma kowi z (1952) conside s he ela ionship be ween belie s and po olio choices, acco ding
o he “expec ed e u n- a iance o e u ns”. Empi ical esul s con i m he s ong ela ionship
be ween isk and e u ns and he impo ance o di e si ica ion in in es men . Roy (1952) examines
he isk- e u n ela ionship by explo ing he e ec s o uppe -bound minimiza ion o a chance o
a eluc an e en when he a ailable in o ma ion o a p obabili y dis ibu ion is es ic ed o he
i s and second momen s. This is he commencemen o he po olio heo y. H. M. Ma kowi z
(1959, p. 22) de ines an e icien po olio as a po olio whose a e age e u ns canno inc ease
wi hou incu ing g ea e s anda d de ia ions. Since hen, based on di e si ica ion, academics ha e
pu e o o de ise se e al selec ion ules (Alexande & Bap is a, 2002; Cumo a & Naw ocki, 2014;
El on e al., 1976; Hol hausen, 1981; H. M. Ma kowi z, 1959) and asse p icing heo ies such as
capi al asse p icing model (CAPM) p oposed by Sha pe (1964) and Ross (1976).
The goal o MPT is o build a po olio wi h he bes po en ial e u n gi en he deg ee o isk,
a po olio known as he op imal po olio in he heo y. To do his, he model ocuses on h ee
componen s: Capi al alloca ion be ween he po olio and he isk- ee asse , capi al alloca ion
ac oss asse classes, and selec ion o asse s. The ideal alloca ion o ob ain he op imal po olio is
hus de ined by he in es o ’s isk a e sion and he isk- e u n ade-o . When de eloping he
op imal po olio, picking asse s is based on he co a iance be ween he asse s a he han he
indi idual a ibu es o he asse s. This indica es ha e en i one asse ’s isk and e u n p o ile is
op imal, a s ong co ela ion o ano he asse in he po olio may p e en i om being included in
he op imal po olio (Bodie e al., 2018).
Ano he key po olio aspec is he co ela ion, which is de i ed om he co a iance be ween he
co esponding asse s. The co a iance be ween wo asse s is he expec ed alue o he p oduc o
wo a iances o hei espec i e e u ns (Blume & F iend, 1974). The co a iance ma ix is he
in ended me hod o measu e he co a iance be ween asse s. Howe e , his ma ix does no
explain he ma ix diagonal. The solu ion is o scale he co a iance by he p oduc o s anda d
de ia ions o espec i e asse e u ns, o he asse co ela ions, o de e mine he coe icien
co ela ions. The esul ing co ela ion coe icien ma ix in which each alue uns om −1 o +1.
The co ela ion be ween asse s is he p ima y d i e o he size o he gain om di e si ica ion (H.
Ma kowi z, 1952). I all indi idual asse s had a pe ec posi i e co ela ion, he bene i om
di e si ica ion would be negligible, because he po olio’s s anda d de ia ion would be equi alen
o he weigh ed a e age s anda d de ia ion o he asse s. As a esul , any less- han-pe ec
co ela ion be ween isky asse s would esul in a di e si ica ion bene i , and he lowe he
co ela ion, he g ea e he di e si ica ion ad an age. Gi en he amoun o isk and he ac ha
co ela ion would be less han pe ec , his implies ha a combina ion o asse s will indeed su pass
he asse s on hei own (C onq is & Siegel, 2014).
When a combina ion o secu i ies is se up, he es ablished po olio isk- e u n p ope ies a e
a unc ion o he unde lying po olio holdings’ ea u es and he co ela ion be ween he asse s.
In es o s gene a e an in es men oppo uni y se o mul iple po olio con igu a ions by al e ing
he p opo ion o he unde lying asse s (Bodna e al., 2018). This is composed o a ious pai ings
o isky asse s ha esul in a gi en po olio isk- e u n p o ile.
A isk-a e se in es o will choose he po olio wi h he lowes isk o e e y a e o e u n. This
educ ion in isk o each le el o e u n esul s in he o ma ion o a minimum- a iance on ie ,
which is a compila ion o all minimum- a iance (minimum-s anda d de ia ion) po olios (Kemp &
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 4 o 23
Memmel, 2006). A minimum- a iance po olio wi h he maximum e u ns pe uni o isk occu s a
a posi ion along his minimum- a iance on ie cu e. The le mos posi ion along he minimum-
a iance on ie is a po olio wi h he lowes a iance when ma ched o all po en ial po olios o
isky asse s. This is e e ed o as a global minimum- a iance po olio (Golosnoy e al., 2021). The
Ma kowi z e icien on ie is he sec ion o he minimum- a iance cu e ha si s abo e and o he
igh o he global minimum a iance po olio and comp ises po olios ha a ional and isk-
a e se in es o s would pick (Dos San os & B andi, 2017). The slope o he e icien on ie
ep esen s he change in uni s o e u n pe uni o isk. The amoun o isk inc eases, he ise in
e u n begins o decline. The slope begins o le el o . This does no imply ha we may a ain e e -
inc easing p o i s as we ake on mo e isk; a he , he con a y is ue. As po olio isk is aised,
in es o s’ po en ial p o i s decline. H. Ma kowi z (1952) deno e elemen s o MPT, including he
expec ed a e o e u n o a po olio ðEð pÞ), he co ela ion coe icien ðρi;j), he co a iance
(Co i;jð ÞÞ, and he po olio ola ili y ðσpÞas ollows:
Eð pÞ ¼ ∑
n
i¼1
Eð iÞ�Wi(1)
ρi;j¼Co i;jð Þ
σiσj¼
E X μi
ð Þ Yμj
� �h i
σiσj
(2)
Co i;jð Þ ¼ σiσjρi;j(3)
σp¼ i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i i
∑
n
i¼1
∑
n
j¼1
wiwjCo i; j
 �
s(4)
Whe e: Wi is he weigh o asse i in he po olio, and σi is he s anda d de ia ion o asse i’s
e u ns.
T eyno (1965), Sha pe (1964), and Lin ne (1956) publish schola ly publica ions ha es ablish
and de elop he CAPM. The model depic s he link be ween an asse ’s isk and i s an icipa ed
e u n. Because in es o s ha e easonable belie s, in es o s who aim o achie e he s a egy wi h
he highes Sha pe a io, isk-adjus ed e u n, will inish up wi h a p o ile ha comp ises ce ain
asse s as he ma ke po olio. This winds up in his si ua ion because he ma ke po olio has he
highes a ainable Sha pe a io. The CAPM is de ined as ollows:
ERi¼ þβiERm
 � (5)
Whe e: ERi is he asse expec ed e u n. is deno ed as he isk- ee a e o e u n. ERm is he
ma ke expec ed e u n. βi is he be a alue o he asse , measu ed by he co a iance be ween Ri
and Rm o e he a iance o Rm. βiERm
 �is he ma ke isk p emium. The CAPM o mula
demons a es how mo e isk equa es o a g ea e expec ed e u n. The isk- ee a e is equen ly
ep esen ed as a 10-yea go e nmen bond. The be a o an asse indica es how ola ile i is in
compa ison o he ma ke o e all. I an asse has a be a alue o 1, i signi ies ha i has he same
isk as he ma ke , o ha he asse isk is equi alen o he ma ke isk. A be a numbe g ea e
han one indica es ha he asse is mo e ola ile in na u e (Be k & Dema zo, 2020).
3.2. In e na ional s ock ma ke co-mo emen s
Goe zmann e al. (2005) examine equi y ma ke co ela ions o e he las 150 yea s and ind
equi y e u n co ela ions a e no consis en . They o m a 5-yea olling window and equally
weigh ed po olios o de e mine he s ock ma ke co ela ions. A clea pa e n indica es ha
mean equi y ma ke co ela ions luc ua e widely o e ime, g ow d ama ically a e he Second
Wo ld Wa , and pick in 2000. Quinn and Vo h (2008) use non-o e lapping ou -yea in e als o
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 5 o 23
e alua e co ela ions be ween 120 de eloped na ion pai ings. They disco e a simila pa e n o
subs an ially changing ye ising connec ions as Goe zmann e al. (2005).
Acco ding o Ami a e al. (2011), ola ili y has no causal associa ion wi h co ela ions, bu he
ma ke di ec ion is he mos impo an ac o o equi ies ma ke co ela ions. They also con i m an
asymme ic causal ela ionship be ween e u ns and co ela ions. Because s ock ma ke s ha e
adi ionally had many mo e posi i e e u n pe iods han nega i e e u n pe iods, he asymme ic
causal link be ween e u ns and co ela ions may be one explana ion o why co ela ions ac oss
global equi y ma ke s ha e isen o e ime.
You and Daigle (2010) disco e ha co ela ions a e s onge in down ma ke s han in bull
ma ke s, while Longin and Solnik (1995) conclude ha co ela ions a e s onge du ing u bulen
imes. Mollah e al. (2016) analyse how co ela ions esponded o he 2008 inancial c isis and he
Eu ozone c isis in 2009. Con agion, de ined as a ise in condi ional co ela ion be o e he c isis o
h oughou he c isis, has been p o en o become a key explana o y elemen as o why c ises
sp ead o a global scale, which illus a es why co ela ions g ow in bea ish and uns able ma ke s.
Resea ch wo k on ASEAN ma ke in eg a ion, such as A shanapalli e al. (1995), conduc s
a como emen analysis on he Asian ma ke and disco e s ha he Asian ma ke is less
in e connec ed a he ime. Simila ly, Roca e al. (1998) s udy he long- unco ela ions o he
i e ASEAN ma ke s using mul i a ia e coin eg a ion and ind no indica ion o in eg a ion
ac oss coun ies. Azman-Saini e al. (2002), on he o he hand, s udy he linkage among
ASEAN s ock ma ke s and ind ha he ASEAN ma ke s a e s ongly in eg a ed. Click and
Plumme (2005) in es iga es whe he he ASEAN-5 ma ke s a e in e connec ed o agmen ed
by employing he ime se ies me hodology o coin eg a ion o de i e long- un ela ionships.
Acco ding o he empi ical indings, he ASEAN-5 equi y ma ke s a e coin eg a ed and hence
no sepa a ed by na ional bo de s. Ne e heless, apa om Indonesia, hese ma ke s ha e
conside able sho - un in e connec ions. Acco ding o Abd e al. (2008) and Oh e al. (2011),
he ASEAN s ock ma ke s a e becoming mo e in eg a ed, pa icula ly in he a e ma h o he
1997 inancial c isis. Fu he mo e, Mandigma (2014)employs he G ange causali y es and
Vec o E o Co ec ion (VEC) o demons a e ha he bond ma ke s o he ASEAN 5 + 1 na ions
a e co ela ed.
Thanh and Lan (2016) use EGARCH and VAR o examine he como emen s o ASEAN-6 and
majo ma ke s like Hong Kong, he Uni ed S a es, and Japan and show ha a posi i e shock causes
less ola ili y han a nega i e shock. Acco ding o Jiang e al. (2017), Vie nam has he leas
in e connec edness wi h o he ASEAN exchange membe s, and he impac o c ea ing ASEAN
ading links on como emen is limi ed o less han 2 yea s.
3.3. Di e si ica ion Bene i s Ac oss Coun ies: The Pe spec i es o De eloped-Coun y
In es o s
Le y and Sa na (1970) use he Ma kowi z MPT amewo k o assess he ad an ages o wo ldwide
di e si ica ion o an Ame ican in es o by examining he a e age a es o e u n, co ela ions, and
s anda d de ia ions o he majo s ock exchanges in 28 di e en na ions. They disco e ha he
Ame ican ma ke is one o he bes pe o me s and has ela i ely low ola ili y h oughou he
s udied pe iod, 1951–1967, and ha an Ame ican in es o may p o i om di e si ica ion. Be ween
1959 and 1973, Lessa d (1976) esea ch he bene i s o di e si ica ion o an Ame ican in es o .
Lessa d demons a es ha al hough in es o s in many economies would su e e u ns o mo e
han 3 pe cen i hey solely in es ed locally, an Ame ican in es o would only o ei a e u n o
0.31 pe cen i hey did no di e si y globally. McDowell (2017) in es iga es how he impac s o
alloca ion weigh limi s and ideal po olios, bo h as implemen ed in he MPT amewo k, a ec he
po en ial ad an ages o o eign di e si ica ion o an Ame ican in es o . F om 1988 o 2014, he
compa able MSCI is u ilized o all o he lis ed na ions, o which 21 a e ad anced and 13 a e
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 6 o 23
eme ging ma ke s. He demons a es ha he globally di e si ied po olio ou pe o ms he domes-
ic-only po olio du ing ce ain cycles be ween 1988 and 2014, bu no all.
3.4. Di e si ica ion bene i s ac oss coun ies: he pe spec i es o de eloping-coun y
in es o s
Se e al s udies ha e ound ha he ad an ages o in e na ional di e si ica ions shi o e ime
and among na ions. Bekae and Ha ey (1995) demons a e ime- a ying capi al ma ke
con e gence in many eme ging economies. D iessen and Lae en (2007) p o e, using mon hly
e u ns om 1985 o 2002 in 23 ad anced and 29 eme ging ma ke s, ha in es o s in
de eloping economies, which ha e high coun y isk, de i e la ge global di e si ica ion bene i s
han in es o s in de eloped economies, and di e si ica ion ad an ages ha e lowe ed as coun-
y isk has enhanced.
Howe e , small-coun y and ins i u ional in es o s a e equen ly limi ed by hei go e nmen s
o in es men s mos ly in asse s aded in hei na i e coun y (Black, 1974; Inde s , 2021; S ulz,
1981). A ew go e nmen s ha e elaxed a subs an ial numbe o in es men limi s in ecen yea s,
p omo ing asse ade on a global scale (In e na ional Mone a y Fund, 2020). E en hough he e
a e no o mal limi s, in es o s usually spend a conside able po ion o hei unds in domes ic
s ocks. This popula “home bias” in inancial asse s is well known in he li e a u e (F ench &
Po e ba, 1991; Ri & Yagil, 2021).
ASEAN esea ch a icles such as S iboonchi a e al. (2014) calcula e he alue a isk and he
p edic ed de ici employing Mon e Ca lo simula ion wi h a copula-based GJR-GARCH model and
alida e he c ea ed po olio be ween he Indonesian, Philippine, and Thai s ock ma ke s may
po en ially p e en isk in a majo way. Acco ding o Jiang e al. (2017), di e si ied po olios in
ASEAN equi y ma ke s a e no ideal owing o subs an ial long- e m como emen . Acco ding o
Kang e al. (2019), he e is a posi i e equico ela ion be ween he ASEAN-5 and Global s ock
indexes, which is pa icula ly p ominen du ing he inancial collapse. Pa icula ly, du ing he
2007–2009 inancial c isis and he 2010–2012 Eu opean deb c isis, ASEAN ma ke s we e ne
ecipien s and ansmi e s o ola ili y spillo e s. As pe Duong and Huynh (2020), di e si ica ion
ac oss hese pai ings o ASEAN-6 s ock ma ke s is s ill app op ia e o o eign in es o s; howe e , i
may cause con agion conce ns.
3.5. Hypo hesis de elopmen
The empi ical ac ha high-ma ke -be a equi ies a e no compensa ed wi h p opo iona ely
g ea e e u ns has long been a sou ce o c i icism o he CAPM, as s a ed by (Fama & F ench,
1992). Howe e , Haugen and Bake (1991) disco e ed ha in es ing in a s ock po olio designed
o subjec in es o s o he leas amoun o isk (as e alua ed by a iance) will bea he Wilshi e
5000 index o e ime (as assessed by la ge Sha pe a io). Cla ke e al. (2006) showed ha he
minimum a iance po olio (MVP) ou pe o med a capi aliza ion-weigh ed benchma k in e ms o
bo h e u ns and ac ual isks in US ma ke s. F ank and Raman (2008) and Poullaouec (2008) ind
essen ially consis en ou comes o global s ock ma ke s. Mo eo e , Ang e al. (2006) ha e es ab-
lished a low- isk, high- e u n empi ical anomaly associa ed wi h idiosync a ic ola ili y. Bake e al.
(2011) show ha low- ola ili y and low be a po olios p o ide an excep ional mix o s ong
a e age e u ns and minimal d awdowns om 1968 o 2008. This esul con adic s he unda-
men al assump ion ha a g ea e expec ed e u n compensa es o isk. Bedna ek and Pa el
(2018) con i m he ou pe o mance o MVP agains he ma ke po olio and he co ela ions
be ween low be a and low- isk anomalies. Though he e is conside able e idence o he MVP’s
ma ke pe o mance, he e is a limi ed heo e ical explana ion, pa icula ly o on ie ma ke s
wi h signi ican ola ili y. The MVP’s pe o mance canno be explained by po olio heo y, which
s a es ha in es o s should main ain a po olio wi h he highes Sha pe a io possible (MSP). Using
he MVP me hod, his s udy sheds ligh on he ad an ages o Vie namese in es o s di e si ying
in o ASEAN ma ke s.
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 7 o 23
Also, he R-squa e alues a e less han 0.5, which implies ha coun y ma ke mo emen s a e
ha d o p edic . Howe e , he independen a iables a e s a is ically signi ican ha implies
signi ican coe icien s s ill indica e he mean change in he dependen a iable when he inde-
penden a iable is adjus ed by one uni .
6.1.2 12-Mon h olling e u n co ela ions
Table 3 displays olling 12-mon h co ela ions, indica ing ha hese co ela ions a e calcula ed
o e olling 12-mon h pe iods. Fo e e y na ion, he mean o he 12-mon h olling co ela ion is
de e mined, and he minimum (Min) and maximum (Max) 12-mon h olling co ela ions o each
mon h a e also displayed. Fu he mo e, an a e age (A g) o all olling 12-mon h mean-, min-, and
max-co ela ions is calcula ed.
Table 3 shows ha he a e age 12-mon h olling co ela ions imp o e o Thailand, Indonesia, and
Malaysia e sus Vie nam bu all o he Philippines and Singapo e be ween pe iods 1 and 2. The
a e age olling 12-mon h co ela ion ises om 0.2754 o 0.2882. Pe iod 1 co ela ions ha e a wide
gap be ween he leas and g ea es co ela ion han Pe iod 2 co ela ions. Figu e 1 and Figu e 2 a e
-0.2
0
0.2
0.4
0.6
0.8
1
Vie nam-ASEAN (excluding Singapo e) a e age
co ela ion
01/2007-02/2014
03/2014-04/2021
Figu e 1. The a e age o olling
12-mon h e u n co ela ions
be ween Vie nam and ASEAN
ma ke s (excluding Singapo e).
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
Vie nam-Singapo e co ela ion
01/2007-02/2014 03/2014-04/2021
Figu e 2. The olling 12-mon h
e u n co ela ions be ween
Vie nam and Singapo e.
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 14 o 23

p o ided o show he co ela ions mo emen s luc ua e h ough ime. Because Singapo e is
a de eloped ma ke and o he ASEAN ma ke s a e eme ging, a sepa a e g aph is needed.
To summa ize, when examining he s a is ics om pe iod 1 o pe iod 2, igu e 1 and igu e 2, he
co ela ions can be obse ed o luc ua e h ough ime. This implies ha co ela ions a e no always
he same. In espec o any end in co ela ions, i can be shown ha co ela ions ha e g own
be ween he di e en pe iods, and co ela ions ha e no been consis en ly s onge in pe iod 2 han
in pe iod 1 o any o he analysed e u ns o na ion indices. The esul s demons a e he same
phenomenon, wi h signi ican p- alues o all ma ke s in pe iod 1 and pe iod 2 (see, Table 2). This
sugges s ha co ela ions a e no cons an and ha e shown a p opensi y o mo e upwa d. Pas
s udies indica e ha s ock ma ke co ela ions ha e g own om he s andpoin o an Ame ican and
o he de eloped-coun y in es o s, signi ying ha he indings a e consis en wi h p e ious s udies.
6.2 Findings o he hypo hesis 2
Table 4 depic s a Vie namese-only po olio wi h a 100 pe cen weigh in he Vie namese ma ke ,
as well as a po olio wi h he s anda d de ia ion minimized wi hou sho -selling using he
Ma kowi z po olio op imize . Table 4 shows he na ions and ela ed weigh s in he minimal
a iance po olio. The main me ics o bo h he Vie namese-only and minimal a iance po olios
a e shown in Table 5.
Table 4. Coun ies and hei weigh s in he minimum a iance po olio
31/01/2007-30/04/
2021
Pe iod 1: 31/01/2007-
28/02/2014
Pe iod 2: 31/03/2014-
30/04/2021
Coun y Minimum Va iance
Po olio
Minimum Va iance
Po olio
Minimum Va iance
Po olio
Vie nam 18.9936% 18.2727%
Thailand 4.1893%
Indonesia 100.0000%
Philippines 3.9174% 1.9522%
Malaysia 70.0341% 62.9313%
Singapo e 7.0549% 12.6545%
Table 5. Key measu es o he Vie nam-only and he minimum a iance po olios
31/01/2007-30/04/2021 Pe iod 1: 31/01/2007-
28/02/2014
Pe iod 2: 31/03/2014-30/
04/2021
Measu es Vie nam-
only
po olio
Minimum
Va iance
Po olio
Vie nam-
only
po olio
Minimum
Va iance
Po olio
Vie nam-
only
po olio
Minimum
Va iance
Po olio
Excess e u n
(ER)
−0.2306% −0.1964% −0.5144% −0.5093% 0.0518% −0.0506%
S anda d
de ia ion (σ)
4.6857% 4.7745% 5.6947% 2.5236% 3.6815% 1.8503%
Sha pe −0.0492 −0.0411 −0.0903 −0.2018 0.0141 −0.0274
So ino −0.0777 −0.0630 −0.1506 −0.3053 0.0206 −0.0419
5% VaR −2.5157% −2.4936% −2.5157% −1.6047% −2.5351% −1.6447%
The lowes
equi ed a e
o e u n
−0.0567% −0.1469% −0.0146%
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 15 o 23
Du ing pe iod 1, he lowes a iance po olio bea he Vie namese-only po olio, as shown in
Table 4. The e u n on he minimum a iance po olio was −0.1964 pe cen , whe eas he e u n on
he Vie namese-only po olio is −0.2306 pe cen . The s anda d de ia ion o he lowes a iance
po olio, on he o he hand, is almos wo imes smalle han ha o he Vie namese-only
po olio.
The minimum a iance po olio consis s o ou na ions, wi h 93 pe cen o he po olio
weigh ed in on ie and eme ging ma ke s and 7 pe cen in a de eloped ma ke (Singapo e).
Table 5 shows ha he minimum a iance po olio has subs an ially lowe Sha pe- and So ino
a ios han he Vie namese-only po olio.
As shown in Table 5, he ER o he Vie namese-only po olio su passes he minimal a iance
po olio by wo imes du ing pe iod 2. The minimal a iance po olio, on he o he hand, has
a conside ably smalle s anda d de ia ion and a lowe 5 pe cen VaR numbe , ye he Vie namese-
only po olio has a highe Sha pe a io and So ino a io han he minimum a iance po olio.
The conclusion o hypo hesis 2 is ha Vie namese in es o s do no bene i om he MVP
app oach i hey use he same MVP alloca ion o he pe iod om 31 Janua y 2007, o
30 Ap il 2021. Howe e , he asse alloca ion in pe iod 1 allows Vie namese in es o s o p o i
om he MVP app oach because he minimum a iance po olio p o ides a highe e u n a
a conside ably lowe isk (measu ed by he po olio s anda d de ia ion) han he Vie namese-
only po olio in pe iod 1. In e ms o minimising isks, Vie namese in es o s gain om he MVP
me hod in pe iod 2 when po olio indica o s a e conside ed. Speci ically, he Vie namese-only
po olio ou pe o ms he minimum a iance po olio in e ms o e u n, bu wi h a la ge s anda d
de ia ion. I s Sha pe and So ino a ios u n posi i e, sugges ing a signi ican inc ease in ER and
p o iding ele an isk indica o s.
6.3. Findings o he hypo hesis 3
Table 6 shows he ma ke s ha p oduced Jensen’s alpha agains he Vie namese ma ke (ma ke
e u n- isk- ee a e) du ing pe iods 1 and 2. Jensen’s alpha will be u ilized o assess and analyze
Table 6. Annual Jensen’s Alpha
Pe iod 1: 01/
2007- 02/2014
S d. De . CORR P- alue Be a ER Jensen’s Alpha
Vie nam 5.6947% 1.0000 −0.5144%
Thailand 5.1650% 0.1940 0.0500 0.3440 −0.4732% −6.7413%
Indonesia 5.4770% 0.2040 0.0290 0.3620 −0.3977% −6.7249%
Philippines 4.6042% 0.3750 0.0000 0.8050 −0.4491% −6.6765%
Malaysia 2.6325% 0.2090 0.0010 0.9530 −0.5051% −6.6581%
Singapo e 3.9530% 0.3950 0.0000 0.7540 −0.5706% −6.6920%
Pe iod 2: 03/2014-
04/2021
Vie nam 3.6815% 1.0000 0.0518%
Thailand 3.1628% 0.2980 0.0000 0.5110 −0.0178% −0.0112%
Indonesia 4.0754% 0.2430 0.0020 0.4140 0.0039% −0.0080%
Philippines 3.7110% 0.3110 0.0000 0.5910 −0.0344% −0.0128%
Malaysia 2.0866% 0.2950 0.0000 0.9720 −0.0858% −0.0094%
Singapo e 2.7047% 0.2940 0.0000 0.5740 −0.0365% −0.0132%
This able p o ides igu es o Jensen’s alpha and alpha cons uc ion ac o s a e p o ided in his able: he s anda d de ia ion (S d. De .) o MSCI index e u ns,
mean e u n co ela ions (CORR) be ween MSCI Vie nam and o he MSCI coun y indexes, P- alue, and be as gene a ed om eg ession indings in Table 2, and
excess e u ns (ER). Thailand, Indonesia, Malaysia, he Philippines, and Singapo e a e among he MSCI coun y indexes ha ha e been in es iga ed.
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 16 o 23
he pe o mance o each ma ke unde in es iga ion. As seen in Table 6, all ma ke s ea ned
nega i e Jensen’s alpha e sus he Vie namese ma ke in pe iod 1. In pe iod 1, he Thai ma ke ,
which has he lowes co ela ions o he Vie namese ma ke , is signi ican a he 10% le el, bu in
pe iod 2, all esul s a e signi ican a he 5% le el. E en hough he ma ke s wi h signi icance le els
a e excluded, he e we e much mo e ma ke s in pe iod 1 ha gene a ed signi ican ly mo e
nega i e Jensen’s alpha han in pe iod 2. As a esul , he conclusion o hypo hesis 3 is ha he
di e si ica ion bene i s in pe iods 1 and 2 a e no he same and ha he di e si ica ion gains o
Vie namese in es o s ha e declined be ween he wo pe iods.
7. Conclusion
This a icle examines he ad an ages o employing he MVP app oach o Vie namese in es o s
om Janua y 2007 o Ap il 2021. Speci ically, i examines i he co ela ions be ween he
Vie namese and ASEAN ma ke s a e e ol ing and whe he any no iceable pa e ns exis in he
co ela ions. Second, he s udy examines he bene i s o MVP di e si ica ion o Vie namese
in es o s. Finally, his esea ch examines whe he he ad an ages o di e si ica ion a e consis en
o e he i s and second pe iods. Compa ing di e si ica ion bene i s o e ime enables a clea e
unde s anding o how he global inancial c isis and he Co id-19 pandemic ha e impac ed he
ASEAN-6 ma ke s and hei co a iance.
The ollowing esea ch indings can be d awn om he empi ical in es iga ion. Fi s , he
Vie namese s ock ma ke e u n co ela ions ha e inc eased almos unanimously agains he
majo i y o in es iga ed ma ke s when looking a he co ela ions o e he en i e pe iod
excep o he cases o he Philippine and Singapo ean ma ke s. The olling 12-mon h co e-
la ions demons a e ha co ela ions change ma kedly, bu hose co ela ions we e usually
highe in pe iod 2. Fu he mo e, he co ela ions be ween he Vie namese ma ke and de el-
oping ma ke s a e consis en ly la ge han hose be ween he Vie namese ma ke and
Singapo e. Second, Vie namese in es o s do no bene i om he MVP app oach o he
whole pe iod. Howe e , di e si ica ion a ou s a Vie namese in es o in pe iod 1 since i
allows o a minimum a iance wi h highe e u ns by di e si ying in o ASEAN s ock ma ke s.
In e ms o minimizing isks based on he po olio s anda d de ia ion, pe iod 2 di e si ica ion
ad an ages a e subs an ial o Vie namese in es o s when po olio indica o s a e e iewed.
Finally, di e si ica ion ad an ages in pe iods 1 and 2 a e no iden ical, and Vie namese
in es o s’ di e si ica ion gains ha e dec eased be ween he wo pe iods. Fo a Vie namese
in es o , Thailand, Indonesia, and Malaysia (also known as eme ging ma ke s) a e s onge
p o ide s o di e si ica ion ad an ages in pe iod 1 han he Philippines (also an eme ging
ma ke ) and Singapo e (a de eloped ma ke ). Du ing pe iod 2, all ma ke s demons a e
ela i ely compa able di e si ica ion gains.
The indings o his a icle ha e signi ican implica ions o Vie namese in es o s seeking o
di e si y hei po olios using he MVP me hod in ASEAN s ock ma ke s. In addi ion o he
conclusions, his s udy makes he ollowing ecommenda ions. Fi s , a Vie namese in es o
may ha e achie ed a lowe a iance and highe isk-adjus ed e u n du ing pe iod 2, bu i
would ha e needed a conside ably mo e concen a ed po olio and hence much mo e isk-
aking han du ing pe iod 1. Second, i he indings o his s udy a e any indica o , i has
become mo e di icul o a Vie namese in es o o eap he bene i s o o eign di e si ica ion.
Fu he mo e, he Co id-19 pandemic has caused a signi ican d op in pe o mance ac oss all
ma ke s, limi ing he di e si ica ion bene i om ASEAN di e si ica ion o Vie namese in es-
o s. Finally, eme ging economies, wi h hei lowe a e age co ela ion o he Vie namese
ma ke , a e expec ed o bene i Vie namese in es o s. I co ela ions con inue o g ow, he
ad an ages o in e na ional di e si ica ion may be diminished o he poin ha hey a e no
longe wo hwhile. Inc eased ma ke in e connec edness may cause home bias, o an in es-
o ’s endency o hold an excessi ely la ge pe cen age o asse s in hei home ma ke .
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 17 o 23
Funding
The au ho ecei ed no di ec unding o his esea ch.
Au ho de ails
T i M Hoang
1,2
E-mail: [email p o ec ed]
ORCID ID: h p://o cid.o g/0000-0001-8311-3972
1
School o Finance, Uni e si y o Economics Ho Chi Minh
Ci y (UEH), Ho Chi Minh Ci y, Vie nam.
2
Facul y o Finance and Comme ce, HUTECH Uni e si y,
Ho Chi Minh Ci y, Vie nam.
Disclosu e s a emen
No po en ial con lic o in e es was epo ed by he
au ho .
Co ec ion
This a icle has been co ec ed wi h mino changes. These
changes do no impac he academic con en o he a icle.
Ci a ion in o ma ion
Ci e his a icle as: Minimum a iance po olio in ASEAN-6
s ock ma ke s di e si ica ion: A Vie namese pe spec i e,
T i M Hoang, Cogen Business & Managemen (2022), 9:
2062909.
Re e ences
Abd, S., Majid, M., Kameel Mydin Mee a, A., & Azmi
Oma , M. (2008). In e dependence o ASEAN-5 s ock
ma ke s om he US and Japan. Global Economic
Re iew, 37(2), 201–225. h ps://doi.o g/10.1080/
12265080802021201
Alexande , G. J., & Bap is a, A. M. (2002). Economic
implica ions o using a mean-VaR model o po olio
selec ion: A compa ison wi h mean- a iance
analysis. Jou nal o Economic Dynamics & Con ol, 26
(7), 1159–1193. h ps://doi.o g/10.1016/S0165-
1889(01)00041-0
Ami a, K., Taamou i, A., & Tsa ack, G. (2011). Wha d i es
in e na ional equi y co ela ions? Vola ili y o ma ke
di ec ion? Jou nal o In e na ional Money and
Finance, 30(6), 1234–1263. h ps://doi.o g/10.1016/j.
jimon in.2011.06.009
Ang, A., Hod ick, R., Xing, Y., & Zhang, X. (2006). The
c oss-sec ion o ola ili y and expec ed e u ns. The
Jou nal o Finance, 61(1), 259–299. h ps://doi.o g/10.
1111/j.1540-6261.2006.00836.x
A jmand, F., & Sha iei, F. (2018). P edic ion o he no mal
boiling poin s and en halpy o apo iza ions o alco-
hols and phenols using opological indices. Jou nal o
S uc u al Chemis y, 59(3), 748–754. h ps://doi.o g/
10.1134/S0022476618030393
A shanapalli, B., Doukas, J., & Lang, L. H. P. (1995). P e
and pos -Oc obe 1987 s ock ma ke linkages
be ween U.S. and Asian ma ke s. Paci ic-Basin
Finance Jou nal, 3(1), 57–73. h ps://doi.o g/10.1016/
0927-538X(94)00025-3
ASEAN Exchanges. (2012). ASEAN Exchanges un eils
key miles ones in he de elopmen o he Asean
Asse Class h p://aseanexchanges.o g/Media
Cen e.aspx
Azman-Saini, W. N. W., Azali, M., Habibullah, M. S., &
Ma hews, K. G. (2002). Financial in eg a ion and he
ASEAN-5 equi y ma ke s. Applied Economics, 34(18),
2283–2288. h ps://doi.o g/10.1080/
00036840210139364
Bake , M., B adley, B., & Wu gle , J. (2011). Benchma ks as
limi s o a bi age: unde s anding he low- ola ili y
anomaly. Financial Analys s Jou nal, 67(1), 40–54.
h ps://doi.o g/10.2469/ aj. 67.n1.4
Bedna ek, Z., & Pa el, P. (2018). Unde s anding he ou -
pe o mance o he minimum a iance po olio.
Finance Resea ch Le e s, 24(01), 175–178. h ps://
doi.o g/10.1016/j. l.2017.09.005
Bekae , G., & Ha ey, C. R. (1995). Time-Va ying wo ld
ma ke in eg a ion [h ps://doi.o g/10.1111/
j.1540-6261.1995. b04790.x]. The Jou nal o Finance,
50(2), 403–444. h ps://doi.o g/10.1111/j.1540-6261.
1995. b04790.x
Be k, J., & Dema zo, P. M. (2020). Co po a e inance (5 h
ed.). Pea son.
Be mejo, V. J., Campa, J. M., Campos, R. G., &
Zak iya, M. (2020). Do o eign s ocks subs i u e o
in e na ional di e si ica ion? [h ps://doi.o g/
10.1111/eu m.12275]. Eu opean Financial
Managemen , 26(5), 1191–1223. h ps://doi.o g/10.
1111/eu m.12275
Black, F. (1974). In e na ional capi al ma ke equilib ium
wi h in es men ba ie s. Jou nal o Financial
Economics, 1(4), 337–352. h ps://doi.o g/10.1016/
0304-405X(74)90013-0
Blume, M. E., & F iend, I. (1974). Risk, in es men s a egy
and he long- un a es o e u n. The Re iew o
Economics and S a is ics, 56(3), 259–269. h ps://doi.
o g/10.2307/1923963
Bodie, Z., Kane, A., & Ma cus, A. (2018). In es men s (11
ed.). McG aw-Hill Educa ion.
Bodna , T., Pa olya, N., & Schmid, W. (2018). Es ima ion o
he global minimum a iance po olio in high
dimensions. Eu opean Jou nal o Ope a ional
Resea ch, 266(1), 371–390. h ps://doi.o g/10.1016/j.
ejo .2017.09.028
Chak a a i, L., & Roy. (1967). Handbook o me hods o
applied s a is ics, olume I (pp. 392–394). John Wiley
and Sons.
Cla ke, R. G., de Sil a, H., & Tho ley, S. (2006). Minimum-
a iance po olios in he U.S. equi y ma ke . The
Jou nal o Po olio Managemen , 33(1), 10. h ps://
doi.o g/10.3905/jpm.2006.661366
Click, R. W., & Plumme , M. G. (2005). S ock ma ke in e-
g a ion in ASEAN a e he Asian inancial c isis.
Jou nal o Asian Economics, 16(1), 5–28. h ps://doi.
o g/10.1016/j.asieco.2004.11.018
C onq is , H., & Siegel, S. (2014). The gene ics o
in es men biases. Jou nal o Financial Economics,
113(2), 215–234. h ps://doi.o g/10.1016/j.j ineco.
2014.04.004
Cumo a, D., & Naw ocki, D. (2014). Po olio op imiza ion
in an upside po en ial and downside isk amewo k.
Jou nal o Economics and Business, 71(01), 68–89.
h ps://doi.o g/10.1016/j.jeconbus.2013.08.001
De Capi ani, L. (2014). In e al es ima ion o he So ino
a io and he omega a io. Communica ions in S a is ics
- Simula ion and Compu a ion, 43(6), 1385–1429.
h ps://doi.o g/10.1080/03610918.2012.722808
Demi ci, I., Fe ei a, M., Ma os, P., & Sialm, C. (2021). How
global is you mu ual und?In e na ional
Di e si ica ion om Mul ina ionals The Re iew o
Financial S udies, hhab103. h ps://doi.o g/10.1093/
s/hhab103
Djalan e, R., Nu hidayah, L., Van Minh, H., Phuong, N. T. N.,
Mahend adha a, Y., T ias, A., Lassa, J., & Mille , M. A.
(2020). COVID-19 and ASEAN esponses:
Compa a i e policy analysis. P og ess in Disas e
Science, 8(01), 100129. h ps://doi.o g/10.1016/j.pdi
sas.2020.100129
Dos San os, S. F., & B andi, H. S. (2017). Selec ing po o-
lios o composi e indexes: Applica ion o mode n
po olio heo y o compe i i eness. Clean
Technologies and En i onmen al Policy, 19(10),
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 18 o 23
2443–2453. h ps://doi.o g/10.1007/s10098-017-
1441-y
D iessen, J., & Lae en, L. (2007). In e na ional po olio
di e si ica ion bene i s: C oss-coun y e idence om
a local pe spec i e. Jou nal o Banking & Finance, 31
(6), 1693–1712. h ps://doi.o g/10.1016/j.jbank in.
2006.11.006
Duong, D., & Huynh, T. L. D. (2020). Tail dependence in
eme ging ASEAN-6 equi y ma ke s: Empi ical e i-
dence om quan i a i e app oaches. Financial
Inno a ion, 6(1), 4. h ps://doi.o g/10.1186/s40854-
019-0168-7
El on, E. J., G ube , M. J., Padbe g, M. W., Ma czyńska-
Wolańska, H., & Bocheńska, E. (1976). Simple c i e ia
o op imal po olio selec ion. Polski ygodnik leka ski
(Wa saw, Poland: 1960), 31(5), 1341–1357. h ps://
doi.o g/10.2307/2326368
Fama, E. F., & F ench, K. R. (1992). The c oss-sec ion o
expec ed s ock e u ns. The Jou nal o Finance, 47(2),
427–465. h ps://doi.o g/10.1111/j.1540-6261.1992.
b04398.x
F ank, N., & Raman, A. (2008). Fa om he madding
c owd* – ola ili y e icien indices. MSCI Ba a
Resea ch.
F ench, K. R., & Po e ba, J. M. (1991). In es o di e si ica-
ion and in e na ional equi y ma ke s. The Ame ican
Economic Re iew, 81(2), 222–226. h p://www.js o .
o g/s able/2006858
Goe zmann, W., Li, L., & Rouwenho s , K. G. (2005). Long-
Te m global ma ke co ela ions. The Jou nal o
Business, 78(1), 1–38. h ps://doi.o g/10.1086/426518
Golosnoy, V., G ibisch, B., & Sei e , M. I. (2021). Sample
and ealized minimum a iance po olios:
Es ima ion, s a is ical in e ence, and es s. WIREs
Compu a ional S a is ics. 01, e1556 h ps://doi.o g/
10.1002/wics.1556
Go e men . (2011). Resolu ion No. 11/NQ-CP da ed
Feb ua y 24 h, 2011 by he Go e nmen on key solu ions
o con olling in la ion, s abilizing mac o-economy, and
ensu ing social wel a e h p://www.mpi.go . n/en/
Pages/ inbai.aspx?idTin=23767&idcm=121
Haugen, R. A., & Bake , N. L. (1991). The e icien ma ke
ine iciency o capi aliza ion–weigh ed s ock po o-
lios. The Jou nal o Po olio Managemen , 17(3), 35.
h ps://doi.o g/10.3905/jpm.1991.409335
Hol hausen, R. W. (1981). E idence on he e ec o bond
co enan s and managemen compensa ion con-
ac s on he choice o accoun ing echniques: The
case o he dep ecia ion swi ch-back. Jou nal o
Accoun ing and Economics, 3(1), 73–109. h ps://doi.
o g/10.1016/0165-4101(81)90035-5
Hong, H., & S ein, J. C. (1999). A uni ied heo y o unde -
eac ion, momen um ading, and o e eac ion in
asse ma ke s [h ps://doi.o g/10.1111/
0022-1082.00184]. The Jou nal o Finance, 54(6),
2143–2184. h ps://doi.o g/10.1111/0022-1082.00184
Hun e , J. E., & Coggin, T. D. (1990). An analysis o he
di e si ica ion bene i om in e na ional equi y
in es men . The Jou nal o Po olio Managemen , 17
(1), 33. h ps://doi.o g/10.3905/jpm.1990.409307
Inde s , G. (2021). Ins i u ional in es o s: Time o ge
in ol ed in de elopmen and blended inance. The
Wo ld Bank G oup. h ps://blogs.wo ldbank.o g/ppps/
ins i u ional-in es o s- ime-ge -in ol ed-
de elopmen -and-blended- inance
In e na ional Mone a y Fund. (2020). Annual epo on
exchange a angemen s and exchange es ic ions
2019. In e na ional Mone a y Fund
Jiang, Y., Nie, H., & Monginsidi, J. Y. (2017). Co-
mo emen o ASEAN s ock ma ke s: New e idence
om wa ele and VMD-based copula es s.
Economic Modelling, 64(C), 384–398. h ps://doi.o g/
10.1016/j.econmod.2017.04.012
Kang, S. H., Uddin, G. S., T os e , V., & Yoon, S.-M. (2019).
Di ec ional spillo e e ec s be ween ASEAN and
wo ld s ock ma ke s. Jou nal o Mul ina ional
Financial Managemen , 52-53(01), 100592. h ps://
doi.o g/10.1016/j.mul in.2019.100592
Kemp , A., & Memmel, C. (2006). Es ima ing he global
minimum a iance po olio. Schmalenbach Business
Re iew, 58(4), 332–348. h ps://doi.o g/10.1007/
BF03396737
Lessa d, D. R. (1976). Wo ld, coun y, and indus y ela-
ionships in equi y e u ns: Implica ions o isk
educ ion h ough in e na ional di e si ica ion.
Financial Analys s Jou nal, 32(1), 32–38. h ps://doi.
o g/10.2469/ aj. 32.n1.32
Le y, H., & Le y, M. (2014). The home bias is he e o s ay.
Jou nal o Banking & Finance, 47(01), 29–40. h ps://
doi.o g/10.1016/j.jbank in.2014.06.020
Le y, H., & Sa na , M. (1970). In e na ional di e si ica ion o
in es men po olios. The Ame ican Economic Re iew,
60(4), 668–675. h p://www.js o .o g/s able/1818410
Lin ne , J. (1956). Dis ibu ion o incomes o co po a ions
among di idends, e ained ea nings, and axes. The
Ame ican Economic Re iew, 46(2), 97–113. h p://
www.js o .o g/s able/1910664
Longin, F., & Solnik, B. (1995). Is he co ela ion in in e -
na ional equi y e u ns cons an : 1960-1990? Jou nal
o In e na ional Money and Finance, 14(1), 3–26.
h ps://doi.o g/10.1016/0261-5606(94)00001-H
Mandigma, M. B. S. (2014). S ock ma ke linkages among he
ASEAN 5+3 coun ies and US: Fu he e idence.
Managemen and Adminis a i e Sciences Re iew, 3(1),
53–68. h ps://d o i.o g/1 0.1.1.1032.7422& ep=
ep1& ype=pd
Ma kowi z, H. (1952). Po olio selec ion. The Jou nal o
Finance, 7(1), 77–91. h ps://doi.o g/10.1111/j.1540-
6261.1952. b01525.x
Ma kowi z, Ha y. (1959). Po olio Selec ion: E icien
Di e si ica ion o In es men s. Yale Uni e si y P ess.
www.js o .o g/s able/j.c 1bh4c8h
McDowell, S. (2017). The bene i s o in e na ional di e si-
ica ion: Re-examining he e ec o ma ke alloca-
ion cons ain s. The No h Ame ican Jou nal o
Economics and Finance, 41(01), 190–203. h ps://doi.
o g/10.1016/j.naje .2017.04.005
Minis y o Finance. (2021). Go e nmen Bonds-
Go e nmen T easu y. h ps://www.mo .go . n/web
cen e /po al/kbnn/ /o/ pcp
Mollah, S., Quo eshi, S., & Za i o , G. (2016). Equi y ma ke
con agion du ing global inancial and Eu ozone
c ises: E idence om a dynamic co ela ion analysis.
Jou nal o In e na ional Financial Ma ke s, Ins i u ions
and Money, 41(C), 151–167. h ps://doi.o g/10.1016/j.
in in.2015.12.010
MSCI. (2019). Index solu ions h ps://www.msci.com/
index-solu ions
Mukhe ji, S., & Jeong, J.-G. (2020). Long- e m in e na-
ional di e si ica ion o equi ies. Global Finance
Jou nal, 50(01), 100584. h ps://doi.o g/10.1016/j.
g j.2020.100584
Odie , P., & Solnik, B. (1993). Lessons o in e na ional
asse alloca ion. Financial Analys s Jou nal, 49(2),
63–77. h ps://doi.o g/10.2469/ aj. 49.n2.63
Oh, G., Eom, C., Wang, F., Jung, W. S., S anley, H. E., &
Kim, S. (2011). S a is ical p ope ies o
c oss-co ela ion in he Ko ean s ock ma ke . The
Eu opean Physical Jou nal. B, 79(1), 55–60. h ps://
doi.o g/10.1140/epjb/e2010-90492-x
Pan, M.-S. (2010). Au oco ela ion, e u n ho izons, and
momen um in s ock e u ns. Jou nal o Economics
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 19 o 23

and Finance, 34(3), 284–300. h ps://doi.o g/10.1007/
s12197-008-9072-0
Poullaouec, T. (2008). Things o conside when in es ing in
minimum a iance s a egies. S a e S ee Global
Ad iso .
Quinn, D. P., & Vo h, H.-J. (2008). A cen u y o global equi y
ma ke co ela ions. Ame ican Economic Re iew, 98(2),
535–540. h ps://doi.o g/10.1257/ae .98.2.535
Ri , S., & Yagil, Y. (2021). Home bias and he powe o
b anding. Jou nal o Beha io al Finance, 22(1), 1–9.
h ps://doi.o g/10.1080/15427560.2020.1716230
Roca, E. D., Sel ana han, E. A., & Shephe d, W. F. (1998).
A e he ASEAN equi y ma ke s in e dependen ?
ASEAN Economic Bulle in, 15(2), 109–120. h ps://doi.
o g/10.1355/AE15-2A
Ross, S. A. (1976). The a bi age heo y o capi al asse
p icing. Jou nal o Economic Theo y, 13(3), 341–360.
h ps://doi.o g/10.1016/0022-0531(76)90046-6
Roy, A. D. (1952). Sa e y i s and he holding o asse s.
Econome ica, 20(3), 431–449. h ps://doi.o g/10.
2307/1907413
Sche e , Be nd. (2010). A new look a minimum a iance
in es ing. SSRN Elec onic Jou nal, 01(01), 01–13.
h ps://dx.doi.o g/10.2139/ss n.1681306
Sha pe, W. F. (1964). Capi al asse p ices: A heo y o
ma ke equilib ium unde condi ions o isk*. The
Jou nal o Finance, 19(3), 425–442. h ps://doi.o g/10.
1111/j.1540-6261.1964. b02865.x
Solnik, B. H. (1974). Why no di e si y in e na ionally
a he han domes ically? Financial Analys s
Jou nal, 30(4), 48–54. h ps://doi.o g/10.2469/ aj.
30.n4.48
So ino, F. A., & P ice, L. N. (1994). Pe o mance measu e-
men in a downside isk amewo k. The Jou nal o
In es ing, 3(3), 59. h ps://doi.o g/10.3905/joi.3.3.59
S iboonchi a, S., Liu, J., K eino ich, V., & Nguyen, H. T.
(2014). In Modeling dependence in econome ics:
UTEP-CS-13-64. (Be lin, Heidelbe g: Sp inge Ve lag).
S ulz, R. M. (1981). On he e ec s o ba ie s o in e na-
ional in es men . The Jou nal o Finance, 36(4),
923–934. h ps://doi.o g/10.1111/j.1540-6261.1981.
b04893.x
Thanh, L. T., & Lan, B. T. H. (2016). Examining asym-
me ic ola ili y and spillo e s o ASEAN-6 s ock
ma ke s in inancial c isis. In e na ional Jou nal o
Financial Resea ch, 8(1), 16–25. h ps://doi.o g/10.
5430/ij . 8n1p16
T anspo And De elopmen S a egy Ins i ue. (2021).
O icial dispa ch no. 408/VCL&PT on Augus 26,
2020. T anspo And De elopmen S a egy
Ins i u e, Minis y o T anspo www.Fm .go . n%
2FDuThao%2F20200916140235_du- hao- o- inh-
bao-cao.docx&usg=AO Vaw2 DXuPFOe__
k-0HP7wQ6
T eyno , J. (1965). How o a e managemen o in es -
men unds. Ha a d Business Re iew, 43(1), 63–75.
h ps://doi.o g/10.1002/9781119196679.ch10
You, L., & Daigle , R. T. (2010). Is in e na ional di e si ica ion
eally bene icial? Jou nal o Banking & Finance, 34(1),
163–173. h ps://doi.o g/10.1016/j.jbank in.2009.07.016
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 20 o 23
Appendix
I p oduce Z-s a is ics o compa e he dis ibu ion o a co ela ion sample wi h he dis ibu ion o
ano he co ela ion sample om Table 3 o es whe he hey a e om he same o di e en
popula ions. The e o e, he goal o his es is o de e mine i wo dis ibu ions a e s a is ically
di e en . The o mula o he Z-s a is ics a e shown as ollows:
Z¼X1X2
 �
i i i i i i i i i i i i i i i i i i i
σ2
x1σ2
x2
q(19)
Whe e: X1 is he mean alue o he co ela ion sample 1
X2 is he mean alue o he co ela ion sample 2
σx1 is he s anda d de ia ion o he co ela ion sample 1 di ided by he squa e oo o he
numbe o obse a ions.
σx2 is he s anda d de ia ion o he co ela ion sample 2 di ided by he squa e oo o he
numbe o obse a ions.
Table 1A. The es o s a is ical di e ence o a co ela ion sample in pe iods 1 and 2
(1) (2) (3) (4) (5)
−22.5107 −9.4218 14.3695 −21.0139 24.8940
Table 1B. The es o s a is ical di e ence be ween co ela ion samples (Pe iod 1)
(1) (2) (3) (4) (5)
(1) N/A
(2) −2.1990 N/A
(3) −41.4410 −45.5344 N/A
(4) −3.5387 −2.3871 49.1837 N/A
(5) −47.6966 −53.4163 −5.9808 −58.6024 N/A
Table 1C. The es o s a is ical di e ence be ween co ela ion samples (Pe iod 2)
(1) (2) (3) (4) (5)
(1) N/A
(2) 13.0364 N/A
(3) −2.7650 −14.2198 N/A
(4) 3.6872 −11.3775 3.1876 N/A
(5) 2.8934 −11.1799 3.3922 2.0790 N/A
No e: (1) = Vie nam-Thailand; (2) = Vie nam-Indonesia; (3) = Vie nam-Philippines; (4) = Vie nam-Malaysia;
(5) = Vie nam-Singapo e; N/A = No A ailable. This Table uses he Z-s a is ics o compa e wo co ela ion samples
om Table 3 o check whe he hei dis ibu ions a e he same o di e en . A Z- alue ha is g ea e han 2.0 o less
han −2.0 indica es he co ela ion samples a e s a is ically di e en .
Addi ionally, I used he Kolmogo o –Smi no es on wo samples (Chak a a i & Roy, 1967) o de e mine i he
co ela ions be ween he da a in Table 3 a e s a is ically di e en . This es ’s H0 hypo hesis is ha he dis ibu ions o
wo co ela ion samples a e iden ical. The Table indica es ha all p- alues a e less han 1%, indica ing ha he H0
hypo hesis is ejec ed. Co ela ions be ween samples a e all s a is ically dis inc .
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 21 o 23
Table 2A. The es o s a is ical di e ence o a co ela ion sample in pe iods 1 and 2
(1) (2) (3) (4) (5)
0.0950 0.0650 0.0050 0.0000 0.0140
Table 2B. The es o s a is ical di e ence be ween co ela ion samples (31/01/2007-30/04/
2021)
(1) (2) (3) (4) (5)
(1) N/A
(2) 0.0750 N/A
(3) 0.0020 0.0000 N/A
(4) 0.0470 0.0110 0.0020 N/A
(5) 0.0010 0.0000 0.0580 0.0300 N/A
No e: (1) = Vie nam-Thailand; (2) = Vie nam-Indonesia; (3) = Vie nam-Philippines; (4) = Vie nam-Malaysia;
(5) = Vie nam-Singapo e; N/A = No A ailable. This able uses he Kolmogo o –Smi no o he wo-sample es o
compa e wo co ela ion samples om Table 3 o check whe he hei dis ibu ions a e he same o di e en .
A P- alue ha is less han 10% indica es he co ela ion samples a e s a is ically di e en .
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 22 o 23
© 2022 The Au ho (s). This open access a icle is dis ibu ed unde a C ea i e Commons A ibu ion (CC-BY) 4.0 license.
You a e ee o:
Sha e — copy and edis ibu e he ma e ial in any medium o o ma .
Adap — emix, ans o m, and build upon he ma e ial o any pu pose, e en comme cially.
The licenso canno e oke hese eedoms as long as you ollow he license e ms.
Unde he ollowing e ms:
A ibu ion — You mus gi e app op ia e c edi , p o ide a link o he license, and indica e i changes we e made.
You may do so in any easonable manne , bu no in any way ha sugges s he licenso endo ses you o you use.
No addi ional es ic ions
You may no apply legal e ms o echnological measu es ha legally es ic o he s om doing any hing he license pe mi s.
Cogen Business & Managemen (ISSN: 2331-1975) is published by Cogen OA, pa o Taylo & F ancis G oup.
Publishing wi h Cogen OA ensu es:
• Immedia e, uni e sal access o you a icle on publica ion
• High isibili y and disco e abili y ia he Cogen OA websi e as well as Taylo & F ancis Online
• Download and ci a ion s a is ics o you a icle
• Rapid online publica ion
• Inpu om, and dialog wi h, expe edi o s and edi o ial boa ds
• Re en ion o ull copy igh o you a icle
• Gua an eed legacy p ese a ion o you a icle
• Discoun s and wai e s o au ho s in de eloping egions
Submi you manusc ip o a Cogen OA jou nal a www.Cogen OA.com
Hoang, Cogen Business & Managemen (2022), 9: 2062909
h ps://doi.o g/10.1080/23311975.2022.2062909
Page 23 o 23