Minimum variance portfolio in ASEAN-6 stock markets diversification: A Vietnamese perspective

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. 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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). 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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. 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