LAUSR

Abstract This paper examines risk, return and portfolio diversification at the industry level in four member countries of the ASEAN for which required data are available: Vietnam, Thailand, Malaysia, and Singapore. Market indices are examined for 10 industries from 2007 to 2016, comprising different economic periods, including 2007–2009 (crisis), 2010–2012 (post-crisis), and 2013–2016 (normal). Conditional value at risk is used to measure extreme risk. The Markowitz's risk-return framework is utilized to determine the optimal weight of industries in the portfolio. Findings suggest that, overall, the health-care industry should be given priority and importance as a sector with a dominant role in Vietnam, as this sector experiences the lowest extreme risk, earns the highest returns, and has become the second-largest contributor to the portfolio, which includes all sectors of the economy. Similar findings emerge for Singapore and Malaysia. However, in Thailand the industry in first place is consumer services.