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

Amman SE General (Jordan) 1.000 .381 BLOM(Lebanon) 1.000 .677 QE General (Qatar) 1.000 .382 MSM 30(Oman) 1.000 .592 Tadawul (Saudi Arabia) 1.000 .539 Tel Aviv (Israel) 1.000 .345 CAC 40(France) 1.000 .907 DAX 30(Germany) 1.000 .852 BEL 20(Belgium) 1.000 .767 Euronext 100 1.000 .925 DJIA (United States) 1.000 .749 TSE(Canada) 1.000 .680 IBOVSPA(Brazil) 1.000 .503 BMV(Mexico) 1.000 .604 Extraction Method: Principal Component Analysis. Source: Authors calculations Table 5 shows communalities which can be between 0 to 1, and the values reported in the above table indicate that all initial communalities have a value of 1; hence it can be inferred that the common factors explain all of the variances in the stock market returns among the sample markets Alan Harper and Zhenhu Jin (2012). Table 6: Results of Rotated Component Matrix Rotated Component Matrix a Component 1 2 3 4 ASX 200 (Australia) .645 Nikkei 225 (Japan) .531 .516 KOSPI (South Korea) .716 Hang Seng (Hong Kong) .693 Jakarta Composite Index (Indonesia) .583 SSE Composite Index (China) .508 Taiwan Capitalization Weighted Stock Index .685 Sensex (India) .566 Amman SE General (Jordan) .604 BLOM (Lebanon) .802 QE General (Qatar) .576 MSM 30 (Oman) .764 Tadawul (Saudi Arabia) .722 Tel Aviv (Israel) CAC 40 (France) .926 DAX 30 (Germany) .891 BEL 20 (Belgium) .849 Euronext 100 .933 DJIA (United States) .845 TSE (Canada) .768 IBOVSPA (Brazil) .596 BMV (Mexico) .701 Extraction Method: Principal Component Analysis. Rotation Method: Varimax with Kaiser Normalization. a. Rotation converged in 5 iterations. Source: Author calculations The rotated component matrix results are depicted in Table 6 above, and the findings show that the first factor has large weights for France, Germany, Belgium, Euronext, US, Canada, Mexico, which can be concluded that these stock market returns are highly correlated and designing a portfolio using these markets indices will not help to derive the diversification benefits. The second factor extracted countries like India, Taiwan, China, Japan, South Korea, Hong Kong, and Indonesia are correlated. The third factor extracted countries like 20 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