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

Saudi Arabia, Oman, and Jordan, and the last factor has only two countries like Lebanon and Qatar. Hence, it can be inferred that constructing a portfolio using countries under each of the factors will not benefit the portfolio. Hence, while designing the portfolio, investors and institutions should include a country stock index from all four factors to diversify. For example, a portfolio could have indices like DJIA, SSE Composite Index, MSM 30, and BLOM. The factors also have geographical diversification, which helps in deriving the advantage. VI. C onclusion The correlation values in the study find that Sensex has a weak relationship with few indices and strong relationships with other stock market indices. Sensex has a weak correlation with few indices like Tadawul (Saudi Arabia), Amman SE General (Jordan), BLOM(Lebanon), and MSM (Oman). Rotated component matrix results concur with it because these markets indices have fallen in a different factor. Hence investors, including institutions in India, can use this grouping of the indices while constructing their portfolios. For instance, an investor designed a portfolio using indices like ASX 200 (Australia), Nikkei 225 (Japan), CAC 40 (France), DAX 30 (Germany), BEL 20 (Belgium), Euronext 100, DJIA (United States), etc., the benefits of diversification are minimal. Though the number of indices is included, their correlations are high and fall in the same factor. Hence, investors need to design portfolios by considering factor 1, factor 2, factor 3, and factor 4 to have wide diversity. As these countries are geographically and economically spread out, the investor can enjoy the risk and return portfolio benefits. R eferences R éférences R eferencias 1. Abbas Valadkhani et al (2008), A factor analysis of international portfolio diversification, Studies in Economics and Finance, Vol. 25 No. 3, pp. 165-174, DOI 10.1108/108673708108946 2. Alan Harper and Zhenhu Jin (2012), Comovements and Stock Market Integration between India and its top trading partners: A Multivariate analysis of International Portfolio Diversification, International Journal of Business and Social Science, Vol.3. No.3, Feb 2012. 3. Jorg Bley (2007), How Homogeneous are the Stock Markets of the Middle East and North Africa? Quarterly Journal of Business & Economics, Vol. 46, No. 3, pp. 3-26. 4. Kedarnath Mukharjee and RK Mishra (2007), International stock market integration and its economic determinants: A study of Indian and World equity markets, Vikalpa, Volume 32, No 4, October – December 2007, pp. 29-44. 5. Kivilcim metin and Gulnur muradoglu (2001), Forecasting Integrated Stock Markets Using International Co-Movements Russian and East European Finance and Trade, vol. 37, no. 5, September–October 2001, pp. 45–63. 6. Komlavi Elubueni Assidenou (2011), “Cointegration of Major Stock Market Indices during the 2008 Global Financial Distress, International Journal of Economics and Finance, Vol. 3, No. 2; May 201, pp 212-222. 7. Mansourfar, G., Mohamad, A., and Hassan, T. (2010). “A review on international portfolio diversification in Middle East and North African region”. African Journal of Business Management. vol. 4. No. 19. pp 4167-4173. www.academic journals.org/AJBM. 8. Maran Marimuthu (2010), The Co-Movements of the Regional Stock Markets and Some Implications on Risk Diversification, The IUP Journal of Applied Economics, Vol. IX, No. 2. 9. Michel Beine and Bertrand Candelon (2007), Liberalization and Stock Market Co-Movement Between Emerging Markets, CESIFO Working Paper No. 2131category 6: Monetary Policy and International Finance October 2007. 10. Panton DB, Lessig P, and Joy OM (1976), Co- movement of international equity markets: A taxonomic approach, Journal of Financial and Quantitative Analysis, 11(3), 415-433. 11. Preeti Sharma (2011), “Asian emerging economies and united states of America: Do they offer a diversification benefit?”, Australian Journal of Business and Management Research, Vol.1 No.4, pp. 85-92. 12. Rajesh Chakrabarti, Co-movements among National Stock Markets in a Region: A Comparison of Asia and Europe, Retrieved from https://pdfs. semanticscholar.org/3821/156e445ff13c2089d4d1c 6b7971b451839e4.pdf. 13. Razan Salem, Thair Al Shaher and Ohoud Khasawneh (2011), “International Portfolio Diversification Benefits for Middle Eastern Investors”, Journal of Money, Investment and Banking ISSN 1450-288X Issue 22. http://www. eurojournals.com/JMIB.htm 14. Ritesh Patel (2017), Co-Movement and Integration Among Stock Markets: A Study of 14 Countries, Indian Journal of Finance, Volume 11, Issue 9, September 2017, DOI: 10.17010/ijf/2017/v11i9/11 8089. 15. Salim M Darbar and Partha Deb, Co-Movements in International Equity Markets, The Journal of Financial Research, Vol XX, No.3, Fall 1997, pp. 305-322. 16. Searat Ali, Babar Zaheer Butt and Kashif ur Rehman (2011), Comovement Between Emerging and Developed Stock Markets: An Investigation Through Cointegration Analysis, World Applied Sciences Journal 12 (4), pp. 395-403. 21 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