Global Journal of Management and Business Research, A: Administration and Management, Volume 21 Issue 12

Values close to 1 generally indicate that the factor analysis is helpful for the present study data. As the KMO measure of sampling, adequacy was as high as the measure of .940, which is excellent as per the review of the literature, and it is an indication that the study can proceed with Principle Component Analysis and the Bartlett test of sphericity Table 3: Results of Total Variance explained Total Variance Explained Component Initial Eigenvalues Extraction Sums of Squared Loadings Rotation Sums of Squared Loadings Total % of Variance Cumulative % Total % of Variance Cumulative % Total % of Variance Cumulative % 1 9.285 42.206 42.206 9.285 42.206 42.206 6.999 31.812 31.812 2 1.673 7.605 49.811 1.673 7.605 49.811 3.616 16.436 48.248 3 1.401 6.370 56.181 1.401 6.370 56.181 1.697 7.714 55.962 4 1.021 4.641 60.822 1.021 4.641 60.822 1.069 4.860 60.822 5 .959 4.357 65.179 6 .921 4.188 69.368 7 .769 3.498 72.865 8 .731 3.322 76.188 9 .711 3.232 79.419 10 .661 3.004 82.423 11 .611 2.778 85.201 12 .531 2.415 87.616 13 .504 2.290 89.906 14 .393 1.786 91.692 15 .386 1.754 93.446 16 .329 1.494 94.941 17 .294 1.336 96.276 18 .287 1.305 97.582 19 .251 1.139 98.721 20 .181 .821 99.542 21 .089 .405 99.947 22 .012 .053 100.000 Extraction Method: Principal Component Analysis. Source: Authors calculations The co-movements of stock market returns can be examined using the Principle Component analysis, a multivariate technique that helps in reducing the number of variables. Precisely it reduces the number of factors through observed correlations among the variables or factors. The above table 3 shows variance explained in each of the factor(s). It can be observed from the above-stated results that four factors have an Eigenvalue greater than one. The cumulative percentage of the summation of percentage variance for factor 1 is 42.206, for factor 2 is 49.811, for factor 3 is 56.181, and for factor 4 is 60.822. This analysis helped to find out an optimal number of factors, i.e., four. 18 Global Journal of Management and Business Research Volume XXI Issue XII Version I Year 2021 ( ) A © 2021 Global Journals Design of Portfolio using Multivariate Analysis