Chapter 5 - Data Analysis and Interpretation

Chapter 5: Data Analysis and Interpretation
Chapter 5
Data Analysis and Interpretation
Chapter No. Contents Page No.
5.1 Introduction 85
5.2 Descriptive Analysis 85
5.3 Reliability and Normality of Data 87
5.4 Factor Analysis 88
5.4.1 Factor Analysis for Market Specific Variables 89
5.4.1.1 Bartlett's Test of Sphericity 89
5.4.1.2 Measures of Sampling Adequacy (MSA) 90
5.4.1.3 Anti-Image Correlation Matrix for Market 90
Specific Variables
5.4.1.4 Method of Factor Analysis 93
5.4.1.5 Method of Factor Rotation 94
5.4.1.6 Communalities 95
5.4.1.7 Eigenvalue and Total Variance Explained for 111
Market Specific Variables
5.4.1.8 Factor Loading 113
5.4.1.9 Naming of Market Specific Factors 115
5.4.2 Factor Analysis for Stock Specific Variables 118
5.4.2.1 Anti-Image Correlation Matrix for Stock 118
Specific Variables
5.4.2.2 Communality Statistics for Stock Specific 122
Variables
5.4.2.3 Revised Total Variance Explained for Stock 126
Specific Variable
5.4.2.4 Naming of Stock Specific Factors 127
5.5 Multiple Regression Analysis 130
5.6 Risk Attitude 135
5.7 Conclusion 139
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5.1 Introduction
The aim of current chapter is to analyze the raw data to draw the logical inferences
from it. The data can be huge in nature so it is necessary to arrange such raw data
collected through the primary survey in useful manner. This chapter includes
compilation of primary data collected through field study. SPSS version 19 software
was used to analyze the data. In present research various techniques of data analysis
were used depending on the type of data and hypothesis framed.
5.2 Descriptive Analysis
Descriptive Analysis means conversion of raw data into information which can be
easily understood or interpreted by anyone. It provides summary of sample data. The
different components of data summary include average, frequency, range, standard
deviation and percent distribution. The starting point for analysis is to describe the
sample. The following table contains the characteristics of sample data gathered
during primary survey.
Table 5.1 Demographic profile of the Sample
Variable Range Frequency %

Gender Male 517 95.9
Female 22 4.1
Age 18 to 25 69 12.8
26 to 35 238 44.2
36 to 45 136 25.2
46 to 55 56 10.4
56 to 65 33 6.1
66 and above 7 1.3
Highest Educational Up to Primary 10 1.9
qualification Up to Secondary 67 12.4
Higher Secondary 216 40.1
Graduate 194 36
Post Graduate 47 8.7
Other 5 0.9
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Annual Family Income (In Less than 2,00,000 88 16.3

Rupees) 200001 to 400000 166 30.8
400001 to 600000 132 24.5
600001 to 800000 95 17.6
800001 to 10,00,000 29 5.4
1000001 and more 29 5.4
Occupation Service 298 55.3
Business 120 22.3
Profession 83 15.4
Retired 32 5.9
Other 6 1.1
Marital status Single 75 13.9
Married 464 86.1
Table 5.1 shows that the sample had a gender distribution of male respondents 95.9
percent (n= 517) in comparison to female respondents 4.1 percent (n = 22). The
maximum respondents were from the age group between 26 to 35 years with 44.2
percent (n = 238) and the remaining respondents were from age group of 18 to 25
years who represents 12.8 percent (n = 69), respondents in age between 36 to 45 years
were 25.2 percent (n = 136), respondents in age between 46-55 years were 10.4
percent (n = 56), respondents in age between 56 to 65 years were 6.1 percent (n = 33)
and respondents in age 66 and above years were 1.3 percent (n = 7 ).
As far as statistics of highest education qualification of respondents is concerned the

majority of respondents were having education up to higher secondary with 40.1
percent (n = 216) followed by 36 percent (n = 194) were graduate, 12.4 percent (n=
67) were up to secondary, 8.7 percent (n= 47) were post graduate, 1.9 percent (n =10)
were having education up to primary and 0.9 percent (n = 5) of respondents belong to
other category which include Ph.D., M.Phil. and CA.
The distribution of respondents on the basis of annual family income shows that 16.3
percent of respondents (n = 88) earn less than Rs.2,00,000, 30.8 percent of
respondents (n = 166) earn between Rs.2,00,001 to Rs.4,00,000, 24.5 percent of
Page | 86

respondents (n = 29) earn between Rs.8,00,001 to Rs.10,00,000 and 5.4 percent of
respondents (n = 29) earn Rs.10,00,001 and more.
The statistics regarding occupation of respondents shows that majority of respondents

were salaried employees and represent by 55.3 percent (n = 298) followed 22.3
percent (n = 120) were Businessmen, 15.4 percent (n = 83) were engaged in
profession, 5.9 percent (n = 32) were retired people and 1.1 percent (n = 6) were
others (includes students) respectively.
Respondents were also asked to provide information about their marital status. It was
found that 86.1 percent (n = 464) of respondents were married and 13.9 percent (n =
75) respondents were unmarried.
5.3 Reliability and Normality of Data
A multi item scale should be evaluated for precision and applicability (Malhotra,
2009). It is used to measure the strength of the scale. Questionnaire consist seventy
nine different statements on a 7-point scale. In line with the same content validity was
checked with 30 respondents. In pilot testing the respondents were requested to assess
all facets of questionnaire like understandability of questions, flow of questions and
structure of questionnaire. Before its final use, the participants’ recommendations
were absorbed into the survey. The most common and widely used reliability measure
is Cronbach’s Alpha. For the measurement of internal consistency of the items of the
scale the alpha (α) coefficient was calculated on 30 responses in reliability analysis.
Reliability statistics
Table 5.2 Cronbach’s alpha for the Market Specific Variables

No. of Questions Cronbach’s alpha
value
32 0.875
Table 5.3 Cronbach’s alpha for the Stock Specific Variables
No. of Questions Cronbach’s alpha

value
45 0.904
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Alpha value with 0.6 or below in general signals unsatisfactory level (Malhotra, 2009)
but under the current study the test value was higher than the required value that
shows good internal consistency among items and tools developed for study is reliable
and hence researcher can proceed further.
In case of normality, sample size plays an important role of improving statistical

power by decreasing sampling error (Hair et al. 2009). Normality can have serious
impact in the case of small samples (less than 50 samples) but the impact successfully
reduces when sample number surpasses 200 cases or more. Here in this research as
sample size are 539, thus researcher can be less concerned about non normal variable
and it is assumed that normality does exist.
5.4 Factor Analysis
The main objective of research is to study factors affecting individual investor’s

sentiment towards equity market. To fulfill the objective the market specific and stock
specific variables were identified by the researcher on the basis of in-depth literature
review. The market specific factors comprise thirty four variables and stock specific
factors include forty five variables as per the literature review. Factor analysis
provides summary of a larger part of the information in the data sets in terms of
comparatively few groups which are known as factors. Factor analysis is most
suitable technique to summarize and decrease the number of variables to few factors
to fulfill the objectives of research.
Factor analysis is mainly used for (a) reducing so many variables (out of that a small
number of variables may be interconnected triggering multicollinearity) to smaller
manageable factors for simplification of set of data (b) to find out the underlying
structure of data.
Factor analysis is a technique to identify the unrevealed construct among the variables
in the investigation. It can be used to condense the information accommodated in a
large number of variables into a few number of sets of factors or components. Factor
analysis offers the tools for evaluating interrelationships or associations among many
variables by outlining sets of variables that are highly interconnected (Hair et al.
2009).
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According to Malhotra (2009) the purpose of factor analysis is to recognize

unrevealed dimensions or factors which describe the associations amongst fixed
number of variables to identify the smaller set of uncorrelated variables to substitute
the initial sets of correlated variables in multivariate analysis and to identify the small
number of sets of silent variables from many variables for use in later analysis. For
the current study factor analysis is conducted to decrease the number of variables that
(a) has impact on individual investor’s optimism or pessimism (b) affects individual
investor’s participation in stock market and (c) stock market outlook among
Individual investors towards equity market.
5.4.1 Factor Analysis for Market Specific Variables
5.4.1.1 Bartlett’s Test of Sphericity
The application of the above mentioned test requires sufficient correlation in the data
matrix. It also becomes necessary to prove the strength of factor analysis solution by
way of the reliability and validity of the obtained reduction. It is done by KMO and
Bartlett test for sphericity (Hair et.al. 2009). Bartlett test for sphericity is a key
metrics utilized to inspect the null hypothesis that the items are uncorrelated in the
population. In simple words population correlation index is a uniqueness matrix
where individual variable correlates among at least some of the variables (Malhotra,
2009).
Table 5.4 KMO and Bartlett's Test of Sphericity for Market Specific Variables
KMO & Bartlett's Test

KMO Measure of Sampling Sufficiency .846
Bartlett's Test of Approximate Chi- 5948.847

Sphericity Square
Degree of freedom 561
Significance 0.000
Table 5.4 shows significant worth of Bartlett’s Test of Sphericity 0.000 that satisfies
necessary condition to reject null hypothesis. It points out that satisfactory
relationship be present among the variables to carry out factor analysis.
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5.4.1.2 Measures of Sampling Adequacy (MSA)
Kaiser-Meyer-Olkin (KMO) is defined as an index applied to quantify the sampling

adequacy for the suitability of factor analysis. It matches the degrees of the observed
correlation coefficients to the degrees of the partial correlation coefficients (Malhotra,
2009). The KMO value fluctuates between 0 to 1. Smaller values of KMO are an
indication that correlation among couple of variables will not be justified by other
variables. Its number must exceed 0.50. The measure can be interpreted as
meritorious if it carries a value of .80 or above. In the above table the KMO value is
0.846 which demonstrates the suitability of factor analysis for present study.
5.4.1.3 Anti-Image Correlation Matrix for Market Specific Variables
The logical process holds a fundamental assumption of matrix of correlations among

the variables. For factor analysis to be significant, the variables must be associated. It
mandates that variables with values lesser than 0.5 need to be deleted, with the
smallest value being omitted first. All the variables had a diagonal value of greater
than 0.5. Therefore we can purport that factor analysis is the right method for
examining the association matrix.
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Table 5.5 Anti-Image Correlation Matrix for Market Specific Variables
A7 A8 A9 A11 A12 A13 A14 A15 A16 A17 A18 A19 A21
A7 .743a -.354 -.138 .002 .016 .011 -.026 -.312 -.167 -.120 -.032 .044 .066
A8 -.354 .770a -.236 .024 .018 -.013 -.058 -.091 .009 .056 .024 .056 -.191
A9 -.138 -.236 .811a -.095 .128 .022 .118 -.210 .002 -.005 .056 -.012 -.178
a
A11 .002 .024 -.095 .919 -.045 -.020 -.197 -.025 -.008 -.065 -.018 -.094 .072
A12 .016 .018 .128 -.045 .676a .065 -.013 -.065 .104 .060 -.108 -.072 -.128
A13 .011 -.013 .022 -.020 .065 .898a .046 -.089 -.109 -.116 .104 -.101 -.048
A14 -.026 -.058 .118 -.197 -.013 .046 .928a .021 .031 .016 -.079 -.095 -.036
a
A15 -.312 -.091 -.210 -.025 -.065 -.089 .021 .761 .048 .045 -.066 .018 .046
A16 -.167 .009 .002 -.008 .104 -.109 .031 .048 .887a -.013 -.071 .164 -.066
A17 -.120 .056 -.005 -.065 .060 -.116 .016 .045 -.013 .888a .060 .048 -.023
a
A18 -.032 .024 .056 -.018 -.108 .104 -.079 -.066 -.071 .060 .894 -.005 -.010
A19 .044 .056 -.012 -.094 -.072 -.101 -.095 .018 .164 .048 -.005 .897a -.009
A21 .066 -.191 -.178 .072 -.128 -.048 -.036 .046 -.066 -.023 -.010 -.009 .614a
A22 -.020 -.002 -.012 .071 -.065 .082 -.013 .007 -.100 -.187 .008 -.157 -.036
A23 -.045 -.010 -.026 -.112 -.082 .036 .018 .046 -.037 -.226 -.194 -.121 -.118
A24 .034 -.116 .036 -.008 .070 -.053 -.057 .018 -.049 -.051 -.025 -.183 -.021
A25 .000 -.053 .019 .033 .004 -.009 -.059 .037 .027 .013 .029 -.120 .126
A26 -.168 .017 -.044 .037 .001 -.088 -.009 .058 -.044 .013 -.050 -.115 .022
A27 .133 -.041 -.107 -.068 -.095 .007 .038 .032 -.108 .050 -.001 -.044 .022
A28 -.105 .000 -.010 .006 -.163 -.068 .050 .067 .022 -.069 -.059 .081 .052
A29 -.018 .027 -.015 .059 -.167 .036 -.104 .061 -.025 .014 .005 .039 -.139
A30 .126 -.039 -.026 .040 -.180 .013 .032 -.126 -.080 -.016 -.032 -.066 .121
A31 .010 .047 .025 .046 -.008 -.034 -.070 -.053 -.230 -.231 .065 -.071 .112
A32 .022 -.007 -.034 .055 -.113 -.121 -.001 .009 .066 .132 .097 -.011 -.169
A33 .091 .074 -.118 -.018 .045 -.101 -.032 -.103 -.140 -.059 -.083 .069 .112
A34 -.123 .060 .085 -.086 .115 -.042 -.061 .070 .096 .003 .086 .073 -.054
A35 .055 -.026 -.060 -.146 -.112 -.051 -.094 -.007 -.026 -.151 -.038 -.026 -.010
A36 -.003 .073 .028 -.065 .149 -.003 -.002 -.131 .024 -.068 -.128 .056 .080
A38 .007 -.137 -.004 -.063 .021 -.081 -.071 .101 -.024 .031 -.255 -.095 .072
A39 -.124 .086 .031 -.065 .029 .043 -.105 .120 -.045 -.116 -.074 -.120 -.081
A41 .110 -.062 -.047 .029 -.030 .095 .031 -.066 -.091 -.100 .001 -.183 .063
A42 .084 .021 .013 -.080 -.034 -.108 -.036 -.149 -.010 .062 -.083 .000 -.016
A66 .004 .044 .045 -.015 -.011 -.024 -.018 -.167 -.100 .037 -.081 -.085 -.046
A72 .007 -.080 -.140 .077 -.023 -.021 -.028 .057 -.034 -.192 -.045 .121 -.010
Page | 91
Table 5.5 (Continue)
A24 A25 A26 A27 A28 A29 A30 A31 A22 A23 A32 A33 A34
A7 .034 .000 -.168 .133 -.105 -.018 .126 .010 -.020 -.045 .022 .091 -.123
A8 -.116 -.053 .017 -.041 .000 .027 -.039 .047 -.002 -.010 -.007 .074 .060
A9 .036 .019 -.044 -.107 -.010 -.015 -.026 .025 -.012 -.026 -.034 -.118 .085
A11 -.008 .033 .037 -.068 .006 .059 .040 .046 .071 -.112 .055 -.018 -.086
A12 .070 .004 .001 -.095 -.163 -.167 -.180 -.008 -.065 -.082 -.113 .045 .115
A13 -.053 -.009 -.088 .007 -.068 .036 .013 -.034 .082 .036 -.121 -.101 -.042
A14 -.057 -.059 -.009 .038 .050 -.104 .032 -.070 -.013 .018 -.001 -.032 -.061
A15 .018 .037 .058 .032 .067 .061 -.126 -.053 .007 .046 .009 -.103 .070
A16 -.049 .027 -.044 -.108 .022 -.025 -.080 -.230 -.100 -.037 .066 -.140 .096
A17 -.051 .013 .013 .050 -.069 .014 -.016 -.231 -.187 -.226 .132 -.059 .003
A18 -.025 .029 -.050 -.001 -.059 .005 -.032 .065 .008 -.194 .097 -.083 .086
A19 -.183 -.120 -.115 -.044 .081 .039 -.066 -.071 -.157 -.121 -.011 .069 .073
A21 -.021 .126 .022 .022 .052 -.139 .121 .112 -.036 -.118 -.169 .112 -.054
A22 .096 -.198 .062 -.155 .005 .020 .061 -.109 .884a .025 -.015 -.166 -.021
a
A23 -.035 -.058 .014 .108 .073 .019 -.078 .019 .025 .893 -.073 .130 -.066
A24 .878a -.387 -.055 -.106 -.050 .056 -.029 -.006 .096 -.035 -.056 .016 .087
A25 -.387 .873a -.056 .077 .082 -.088 .061 .001 -.198 -.058 .093 .021 -.081
A26 -.055 -.056 .892a -.255 .051 -.019 -.066 .128 .062 .014 -.079 .035 .030
A27 -.106 .077 -.255 .868a .028 -.092 -.010 -.072 -.155 .108 -.071 -.085 -.113
A28 -.050 .082 .051 .028 .608a -.492 .010 -.021 .005 .073 -.151 -.118 .065
a
A29 .056 -.088 -.019 -.092 -.492 .599 -.064 .057 .020 .019 .026 -.045 -.025
A30 -.029 .061 -.066 -.010 .010 -.064 .660a .050 .061 -.078 .018 .022 -.661
A31 -.006 .001 .128 -.072 -.021 .057 .050 .889a -.109 .019 -.146 -.073 -.047
a
A32 -.056 .093 -.079 -.071 -.151 .026 .018 -.146 -.015 -.073 .735 -.134 -.037
A33 .016 .021 .035 -.085 -.118 -.045 .022 -.073 -.166 .130 -.134 .855a -.041
A34 .087 -.081 .030 -.113 .065 -.025 -.661 -.047 -.021 -.066 -.037 -.041 .709a
A35 -.142 -.080 .053 -.038 -.017 .068 -.044 .059 .075 .048 .012 -.028 -.002
A36 .044 .026 -.055 .038 .065 -.123 -.070 -.002 -.086 -.085 -.196 .067 .093
A38 -.005 .048 -.012 .012 .038 -.054 .008 -.195 -.077 -.005 .078 -.079 -.047
A39 .031 -.082 -.009 .024 .058 .057 -.094 .052 .048 .011 -.089 -.080 -.007
A41 .061 -.071 -.107 .017 -.132 .101 -.011 -.049 .084 .039 -.004 .049 -.043
A42 -.018 -.049 -.128 -.133 -.120 .041 .186 -.072 -.197 -.163 .129 .054 -.134
A66 -.036 -.078 -.106 .060 -.023 .022 .095 -.053 .002 -.008 .032 .007 -.141
A72 -.024 -.031 -.023 -.034 .070 .029 -.027 .010 -.014 -.008 -.285 -.075 -.005
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A35 A37 A38 A39 A41 A42 A66 A72

A7 .055 -.003 .007 -.124 .110 .084 .004 .007
A8 -.026 .073 -.137 .086 -.062 .021 .044 -.080
A9 -.060 .028 -.004 .031 -.047 .013 .045 -.140
A11 -.146 -.065 -.063 -.065 .029 -.080 -.015 .077
A12 -.112 .149 .021 .029 -.030 -.034 -.011 -.023
A13 -.051 -.003 -.081 .043 .095 -.108 -.024 -.021
A14 -.094 -.002 -.071 -.105 .031 -.036 -.018 -.028
A15 -.007 -.131 .101 .120 -.066 -.149 -.167 .057
A16 -.026 .024 -.024 -.045 -.091 -.010 -.100 -.034
A17 -.151 -.068 .031 -.116 -.100 .062 .037 -.192
A18 -.038 -.128 -.255 -.074 .001 -.083 -.081 -.045
A19 -.026 .056 -.095 -.120 -.183 .000 -.085 .121
A21 -.010 .080 .072 -.081 .063 -.016 -.046 -.010
A22 .075 -.086 -.077 .048 .084 -.197 .002 -.014
A23 .048 -.085 -.005 .011 .039 -.163 -.008 -.008
A24 -.142 .044 -.005 .031 .061 -.018 -.036 -.024
A25 -.080 .026 .048 -.082 -.071 -.049 -.078 -.031
A26 .053 -.055 -.012 -.009 -.107 -.128 -.106 -.023
A27 -.038 .038 .012 .024 .017 -.133 .060 -.034
A28 -.017 .065 .038 .058 -.132 -.120 -.023 .070
A29 .068 -.123 -.054 .057 .101 .041 .022 .029
A30 -.044 -.070 .008 -.094 -.011 .186 .095 -.027
A31 .059 -.002 -.195 .052 -.049 -.072 -.053 .010
A32 .012 -.196 .078 -.089 -.004 .129 .032 -.285
A33 -.028 .067 -.079 -.080 .049 .054 .007 -.075
A34 -.002 .093 -.047 -.007 -.043 -.134 -.141 -.005
A35 .917a -.167 -.043 -.062 -.085 .097 -.098 .027
a
A36 -.167 .839 -.037 -.082 -.273 -.047 -.075 .153
A38 -.043 -.037 .910a -.087 -.112 .112 -.037 -.077
A39 -.062 -.082 -.087 .908a .067 -.183 .066 -.042
a
A41 -.085 -.273 -.112 .067 .856 -.126 .070 .042
A42 .097 -.047 .112 -.183 -.126 .861a .062 -.085
A66 -.098 -.075 -.037 .066 .070 .062 .897a -.176
A72 .027 .153 -.077 -.042 .042 -.085 -.176 .850a
Table 5.5 indicates that all the variables have diagonal value more than 0.5.
Accordingly, factor analysis can be considered a suitable technique for inspecting the
correlation matrix.
5.4.1.4 Method of Factor Analysis
When numbers of variables are many, factor analysis is a right method for data
examination. There are many factor analysis techniques available for deriving the
factor score or weight. When the core objective is to recognize the hidden dimensions
Page | 93
or constructs denoted in the original variables, the most suitable method is Common
factor analysis while principle component is rightly applicable when data lessening is
a chief aim, with the emphasis on the smallest amount of factors needed to explain the
maximum proportion of the total variance denoted in the original set of variables
(Hair et. al. 2009). As the primary aim of the present study is to reduce data, principle
component analysis method has been selected for further analysis.
5.4.1.5 Method of Factor Rotation
There are two techniques available for factor rotation un rotated and rotational. Un
rotated factor results attain the purpose of data lessening but it does not give
information that suggests the most acceptable interpretation of the variables under
examination. Thus, rotational method requires for realizing simpler and theoretically
more meaningful factor solutions.
The utmost significant method in understanding factors is factor rotation. The word
rotation implies the reference points of the factors are twisted above the source till
another point has been reached. As mentioned above, un rotated factor method pulls
out factors in the sequence of their variances. The initial factor appears to be a
common factor with all variables loading considerably and it accords for the biggest
sum of variance. The other following factors are portion of the variance. The prime
effect of the rotated factor matrix is to reallocate the difference from the previous
factors to the later ones, so as to secure a simpler and theoretically more meaningful
factor pattern. The rotation of factors leads to improvement in understanding as it
brings down the vagueness that comes along with un rotated factor solution. The
supreme objective of any rotary motion is to secure more notionally insightful factors,
and, probably the simplest factor arrangement. The major option available for rotation
method is to prefer an orthogonal or oblique rotation technique.
Orthogonal rotational approach is more extensively used of its ready availability in all
the computer packages, whereas the oblique technique is not common in usage. The
other reasons for its widespread usage, is that the diagnostic process for oblique
rotation is still not well established. So, in this research the researcher has used
orthogonal rotation method for further analysis.
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Three different approaches Quartimax, Equimax and Varimax are available for
performing orthogonal rotation. The ultimate aim of quartimax rotation is
simplification of rows of the factor matrix. The quartimax technique has not turned
out victorious in giving out easy structures. The prime area of concern in the said
method is that it leads to bring out a common factor at the first factor with other
factors exhibiting great loading on this common factor.
In comparison to quartimax, the varimax criterion rests on shortening the line of the
factor analysis. Following the varimax rotational method, the highest probable
simplification is developed if there are only 1 and 0 in a column. The meaning is that
the varimax technique maximizes the sum of variances of needed loadings of the
factor matrix. In quartimax, higher number of variables can load high or near high on
the similar as the method rests on factor because the technique centers on simplifying
the rows, while in varimax, a few better loadings are near to -1 to +1, as few loading
near 0 in individual column of matrix.
The simple rationale behind that understanding or interpretation is easier when the
variable factor associations are near to -1 to +1, representing an obvious positive or
negative association among the variables and the factor, while 0 representing the
absence of association. This format is easy at ground level. In common, Kaiser’s
experiment indicates that the factor structure secured from varimax technique is prone
to be invariant as compared to the structure obtained by the quartimax wherein
diverse sub groups of variables are examined. The varimax technique has turned out
to be fruitful as a statistical method to securing an orthogonal rotation of factors. So,
in this study the researcher has used varimax method for factor rotation.
5.4.1.6 Communalities
Common variance can be described as the variance in a variable that is collectively

shared among all other variables under study. The difference or variance depends on
variable’s association with all other variables under investigation. The communality
values of variables are showing shared variance among the variables as embodied by
the extracted factors (Hair et.al. 2009). The value exhibited by the communality is a
useful metrics of indicting the variance showcased by an individual variable. A
superior communality number showcases a higher degree of variance derived by the
factor solution. Small communality number exhibits that the said variable is
Page | 95
analytically independent and cannot be clubbed with rest of the variables. The
statistical thumb rule indicates that communalities with a value of less than 0.5 should
be removed for further analysis.
Table 5.6 Communality Statistics for Market Specific Variables
Communalities
Variables Original Extracted
A7 1 .613
A8 1 .623
A9 1 .574
A11 1 .392
A12 1 .535
A13 1 .318
A14 1 .378
A15 1 .558
A16 1 .480
A17 1 .455
A18 1 .440
A19 1 .588
A21 1 .490
A22 1 .479
A23 1 .426
A24 1 .554
A25 1 .535
A26 1 .332
A27 1 .409
A28 1 .666
A29 1 .632
A30 1 .813
A31 1 .575
A32 1 .409
A33 1 .552
A34 1 .786
A35 1 .396
A36 1 .518
A38 1 .423
A39 1 .376
A41 1 .428
A42 1 .379
A66 1 .268
A72 1 .503
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Table 5.6 shows the value of communality for each variable. It can be analyzed from
above table that the extracted communality value (0.268) of A66 variable is below
than acceptable value of 0.5. Hence the variable is omitted from the list and the
process is repeated once again. New value of Bartlett’s Test of Sphericity, KMO
(MSA) and Anti Image matrix is observed and revised communalities is extracted.
Table 5.7 Communality Statistics for Market Specific Variables When A66
Variable is deleted
Revised Communalities
A7 1 .615
A8 1 .630
A9 1 .581
A11 1 .395
A12 1 .536
A13 1 .317
A14 1 .378
A15 1 .552
A16 1 .478
A17 1 .460
A18 1 .438
A19 1 .588
A21 1 .491
A22 1 .480
A23 1 .430
A24 1 .553
A25 1 .533
A26 1 .331
A27 1 .412
A28 1 .667
A29 1 .633
A30 1 .815
A31 1 .575
A32 1 .409
A33 1 .553
A34 1 .785
A35 1 .393
A36 1 .517
A38 1 .423
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A39 1 .383
A41 1 .430
A42 1 .382
A72 1 .496
Variable is deleted
A7 1 .615
A8 1 .632
A9 1 .587
A11 1 .396
A12 1 .531
A14 1 .377
A15 1 .556
A16 1 .483
A17 1 .460
A18 1 .422
A19 1 .589
A21 1 .492
A22 1 .505
A23 1 .428
A24 1 .547
A25 1 .533
A26 1 .328
A27 1 .419
A28 1 .674
A29 1 .633
A30 1 .814
A31 1 .582
A32 1 .399
A33 1 .556
A34 1 .786
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A35 1 .398
A36 1 .526
A38 1 .424
A39 1 .388
A41 1 .436
A42 1 .381
A72 1 .520
Variable is deleted
A7 1 .612
A8 1 .638
A9 1 .586
A11 1 .402
A12 1 .537
A14 1 .375
A15 1 .562
A16 1 .482
A17 1 .459
A18 1 .421
A19 1 .578
A21 1 .521
A22 1 .507
A23 1 .445
A24 1 .539
A25 1 .528
A27 1 .399
A28 1 .673
A29 1 .633
A30 1 .815
A31 1 .575
A32 1 .397
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A33 1 .551
A34 1 .787
A35 1 .406
A36 1 .530
A38 1 .422
A39 1 .394
A41 1 .448
A42 1 .392
A72 1 .527
Variable is deleted
A7 1 .618
A8 1 .638
A9 1 .582
A11 1 .390
A12 1 .545
A15 1 .557
A16 1 .484
A17 1 .461
A18 1 .418
A19 1 .592
A21 1 .523
A22 1 .509
A23 1 .463
A24 1 .550
A25 1 .538
A27 1 .403
A28 1 .673
A29 1 .630
A30 1 .814
A31 1 .575
Page | 100
A32 1 .398
A33 1 .562
A34 1 .786
A35 1 .405
A36 1 .529
A38 1 .421
A39 1 .389
A41 1 .450
A42 1 .385
A72 1 .527
Variable is deleted
A7 1 .618
A8 1 .637
A9 1 .582
A11 1 .389
A12 1 .544
A15 1 .564
A16 1 .485
A17 1 .468
A18 1 .419
A19 1 .596
A21 1 .522
A22 1 .491
A23 1 .457
A24 1 .572
A25 1 .543
A27 1 .396
A28 1 .674
A29 1 .633
A30 1 .804
Page | 101
A31 1 .578
A32 1 .400
A33 1 .564
A34 1 .796
A35 1 .428
A36 1 .531
A38 1 .439
A39 1 .384
A41 1 .447
A72 1 .526
Variable is deleted
A7 1 .622
A8 1 .637
A9 1 .581
A11 1 .387
A12 1 .545
A15 1 .553
A16 1 .486
A17 1 .465
A18 1 .421
A19 1 .603
A21 1 .514
A22 1 .495
A23 1 .455
A24 1 .594
A25 1 .558
A27 1 .409
A28 1 .671
A29 1 .632
A30 1 .813
Page | 102
A31 1 .582
A32 1 .397
A33 1 .565
A34 1 .806
A35 1 .430
A36 1 .535
A38 1 .439
A41 1 .445
A72 1 .520
Variable is deleted
A7 1 .624
A8 1 .638
A9 1 .582
A12 1 .545
A15 1 .556
A16 1 .486
A17 1 .465
A18 1 .424
A19 1 .604
A21 1 .515
A22 1 .494
A23 1 .455
A24 1 .597
A25 1 .568
A27 1 .412
A28 1 .672
A29 1 .632
A30 1 .826
A31 1 .580
A32 1 .395
Page | 103
A33 1 .574
A34 1 .808
A35 1 .418
A36 1 .546
A38 1 .440
A41 1 .470
A72 1 .517
Variable is deleted
A7 1 .617
A8 1 .644
A9 1 .582
A12 1 .550
A15 1 .557
A16 1 .496
A17 1 .468
A18 1 .417
A19 1 .605
A21 1 .493
A22 1 .508
A23 1 .455
A24 1 .601
A25 1 .572
A27 1 .422
A28 1 .678
A29 1 .665
A30 1 .829
A31 1 .577
A33 1 .574
A34 1 .815
A35 1 .422
Page | 104
A36 1 .607
A38 1 .438
A41 1 .494
A72 1 .478
Variable is deleted
A7 1 .617
A8 1 .645
A9 1 .581
A12 1 .542
A15 1 .565
A16 1 .498
A17 1 .475
A19 1 .614
A21 1 .497
A22 1 .508
A23 1 .439
A24 1 .603
A25 1 .578
A27 1 .412
A28 1 .699
A29 1 .676
A30 1 .826
A31 1 .580
A33 1 .576
A34 1 .807
A35 1 .436
A36 1 .612
A38 1 .417
A41 1 .543
A72 1 .497
Page | 105
Table 5.16 Communality Statistics for Market Specifics Variables When A27
Variable is deleted
A7 1 .606
A8 1 .646
A9 1 .584
A12 1 .541
A15 1 .585
A16 1 .499
A17 1 .498
A19 1 .613
A21 1 .506
A22 1 .501
A23 1 .445
A24 1 .596
A25 1 .581
A28 1 .707
A29 1 .682
A30 1 .827
A31 1 .589
A33 1 .574
A34 1 .806
A35 1 .438
A36 1 .609
A38 1 .425
A41 1 .559
A72 1 .522
Page | 106
Variable is deleted
A7 1 .606
A8 1 .652
A9 1 .584
A12 1 .541
A15 1 .586
A16 1 .504
A17 1 .516
A19 1 .609
A21 1 .506
A22 1 .513
A23 1 .446
A24 1 .601
A25 1 .591
A28 1 .708
A29 1 .682
A30 1 .827
A31 1 .586
A33 1 .576
A34 1 .807
A35 1 .438
A36 1 .612
A41 1 .558
A72 1 .522
Page | 107
Variable is deleted
A7 1 .609
A8 1 .652
A9 1 .584
A12 1 .540
A15 1 .591
A16 1 .504
A17 1 .512
A19 1 .630
A21 1 .507
A22 1 .518
A23 1 .469
A24 1 .592
A25 1 .601
A28 1 .708
A29 1 .684
A30 1 .828
A31 1 .587
A33 1 .589
A34 1 .807
A36 1 .605
A41 1 .572
A72 1 .530
Variable is deleted
A7 1 .608
A8 1 .668
Page | 108
A9 1 .586
A12 1 .536
A15 1 .592
A16 1 .508
A17 1 .509
A19 1 .646
A21 1 .477
A22 1 .519
A24 1 .638
A25 1 .644
A28 1 .704
A29 1 .684
A30 1 .848
A31 1 .589
A33 1 .565
A34 1 .821
A36 1 .603
A41 1 .582
A72 1 .530
(MSA) and Anti Image matrix and revised communalities is extracted.
Table 5.20 KMO and Bartlett's Test for Market Specific Factors after deleting
Variables
KMO and Bartlett's Test

KMO Measure of Sampling Adequacy .764
Bartlett's Check of Approximate Chi- 3043.984

Sphericity Square
Degree of Freedom 190
Significance 0.000
Page | 109
Table 5.21 Revised Anti-image Matrices for Market Specific Variables
A7 A8 A9 A12 A15 A16 A17 A19 A22 A24 A25

A7 .731a -.355 -.117 .036 -.312 -.180 -.155 .006 .018 .050 -.035
A8 -.355 .742a -.292 -.016 -.072 -.005 .059 .045 -.017 -.146 -.019
A9 -.117 -.292 .799a .088 -.211 -.021 -.018 -.023 -.028 .009 .066
A12 .036 -.016 .088 .627a -.070 .075 .044 -.140 -.093 .016 .021
A15 -.312 -.072 -.211 -.070 .772a .030 .065 .028 -.004 .009 .017
A16 -.180 -.005 -.021 .075 .030 .850a -.045 .107 -.123 -.098 .017
A17 -.155 .059 -.018 .044 .065 -.045 .884a -.019 -.153 -.079 -.033
A19 .006 .045 -.023 -.140 .028 .107 -.019 .812a -.171 -.273 -.174
A22 .018 -.017 -.028 -.093 -.004 -.123 -.153 -.171 .851a .098 -.194
A24 .050 -.146 .009 .016 .009 -.098 -.079 -.273 .098 .763a -.422
A25 -.035 -.019 .066 .021 .017 .017 -.033 -.174 -.194 -.422 .792a
A28 -.089 .014 -.010 -.184 .028 .026 -.042 .108 -.008 -.062 .100
A29 -.007 -.017 -.035 -.198 .091 -.035 .049 .044 -.009 .052 -.062
A30 .097 -.021 -.013 -.180 -.084 -.073 -.045 -.073 .111 -.024 .054
A31 .039 .035 .054 .005 -.063 -.243 -.216 -.094 -.160 -.014 .017
A33 .099 .084 -.115 .047 -.100 -.170 -.039 .039 -.176 -.015 .032
A34 -.110 .047 .062 .077 .044 .053 -.023 -.008 -.065 .044 -.100
A36 -.037 .088 .031 .081 -.158 -.019 -.133 -.055 -.075 -.022 -.008
A41 .113 -.065 -.048 -.035 -.067 -.096 -.087 -.209 .059 .053 -.089
A72 .002 -.107 -.170 -.089 .047 -.077 -.178 .069 -.049 -.077 -.020
Table 5.21(Continue)
A28 A29 A30 A31 A33 A34 A37 A41 A72

A7 -.089 -.007 .097 .039 .099 -.110 -.037 .113 .002
A8 .014 -.017 -.021 .035 .084 .047 .088 -.065 -.107
A9 -.010 -.035 -.013 .054 -.115 .062 .031 -.048 -.170
A12 -.184 -.198 -.180 .005 .047 .077 .081 -.035 -.089
A15 .028 .091 -.084 -.063 -.100 .044 -.158 -.067 .047
A16 .026 -.035 -.073 -.243 -.170 .053 -.019 -.096 -.077
A17 -.042 .049 -.045 -.216 -.039 -.023 -.133 -.087 -.178
A19 .108 .044 -.073 -.094 .039 -.008 -.055 -.209 .069
A22 -.008 -.009 .111 -.160 -.176 -.065 -.075 .059 -.049
A24 -.062 .052 -.024 -.014 -.015 .044 -.022 .053 -.077
A25 .100 -.062 .054 .017 .032 -.100 -.008 -.089 -.020
A28 .585a -.499 .037 -.050 -.154 .061 .047 -.145 .027
A29 -.499 .582a -.055 .055 -.041 -.034 -.100 .111 .023
A30 .037 -.055 .583a .071 .002 -.668 -.093 -.014 .000
A31 -.050 .055 .071 .865a -.138 -.085 -.018 -.066 -.052
A33 -.154 -.041 .002 -.138 .817a -.052 .017 .048 -.139
A34 .061 -.034 -.668 -.085 -.052 .621a .053 -.043 -.071
A36 .047 -.100 -.093 -.018 .017 .053 .779a -.329 .074
A41 -.145 .111 -.014 -.066 .048 -.043 -.329 .773a .050
A72 .027 .023 .000 -.052 -.139 -.071 .074 .050 .850a
Page | 110
Table 5.22 Communality Statistics for Market Specific Variables after Deleting
Variables
A7 1 .630
A8 1 .683
A9 1 .578
A12 1 .526
A15 1 .580
A16 1 .514
A17 1 .519
A19 1 .643
A22 1 .520
A24 1 .675
A25 1 .680
A28 1 .722
A29 1 .694
A30 1 .847
A31 1 .593
A33 1 .555
A34 1 .822
A36 1 .667
A41 1 .614
A72 1 .523
Table 5.22 shows the value of communality for each variable which is more than
acceptable value of 0.5. It can be further analyzed that all variables hold diagonal
value more than 0.5. Hence, researcher can proceed further for analysis.
5.4.1.7 Eigenvalue and Total Variance Explained for Market Specific Variables
Factor analysis aims at using a less quantity of number of variables that are still in a
position to satisfactorily explain the whole group of variables. The pertinent issue
before the researcher is to extract or maintain how many factors. In deciding how
many factors to extract or how many factors should be in the analysis, any exact
quantitative base has not been developed till today but for the same the following
filtering or check point for the number of factors to be pulled out is being utilized
(Hair et al. 2009).
Page | 111
Latent Root Criterion / Eigenvalue
The most general method which is utilized is to measure parameter termed as latent.
The basic objective behind the same is that a single factor should account for the
variance of at least an individual variable, if it needs to be included for further
examination. Eigen value or latent root represents the total variance explained by each
factor. The general thumb rule follows that all the factors with latent or eigen values
larger than 1 are to be taken into consideration and the factors with the eigen values
less than 1 should be left out.
Total Variance Explained
The percent of variance method aims at securing a particular cumulative percent of

whole variance pulled out by following factors. In the management discipline, where
it is obvious for data to be less precise, it is usual to give due respect to solution that
holds for 60 percent of total variance, in the case where the number of variables range
from 20 to 50 (Hair et al 2009).
Page | 112
Table 5.23 Total Variance Explained for Market Specific Variables

Extraction Sums of Squared Rotation Sums of Squared
Initial Eigenvalues Loadings Loadings
% of
Varianc Cumulat % of Cumulativ % of Cumulative
Comp. Total e ive % Total Variance e% Total Variance %
1 4.352 21.762 21.762 4.352 21.762 21.762 2.753 13.765 13.765
2 2.261 11.306 33.068 2.261 11.306 33.068 2.429 12.143 25.908
3 1.925 9.626 42.694 1.925 9.626 42.694 2.202 11.009 36.918
4 1.497 7.483 50.177 1.497 7.483 50.177 1.838 9.189 46.107
5 1.338 6.691 56.868 1.338 6.691 56.868 1.743 8.713 54.820
6 1.214 6.069 62.937 1.214 6.069 62.937 1.623 8.117 62.937
7 .804 4.021 66.957
8 .748 3.740 70.698
9 .722 3.611 74.309
10 .658 3.291 77.600
11 .610 3.048 80.648
12 .580 2.901 83.549
13 .508 2.538 86.086
14 .489 2.443 88.529
15 .468 2.340 90.870
16 .450 2.249 93.119
17 .410 2.048 95.166
18 .383 1.913 97.080
19 .320 1.598 98.678
20 .264 1.322 100.000
Extraction Method: Principal Component Analysis.
Table 5.23 contains information regarding 20 possible factors and their relative
explanatory power as expressed by their eigenvalues. There are total six factors
having eigenvalues more than 1. Hence, researcher has retained these six factors for
further study. Total variance explained by the six factors is 62.937 percent. This is a
fair percent of variance to be explained and assumes appropriateness of the factor
analysis.
5.4.1.8 Factor Loading
A factor loading denotes the correlations between the factors and variables. It
indicates the strength of the variables that constitute the factor. The larger the absolute
value of the factor loading, the factor and the variable are more closely interrelated.
Means, the more significant role the variable plays in interpreting the factor analysis
Page | 113
(Malhotra, 2008). Table 5.24 guides the researcher for detecting major factor loadings
based on sample size.
Table 5.24 Guidelines for Identifying Significant Factor Loadings based on

Sample Size
Factor Sample size needed
Loading for significance
0.30 350
0.35 250
0.40 200
0.45 150
0.50 120
0.55 100
0.60 85
0.65 70
0.70 60
0.75 50
The sample size taken by researcher is 539 for this study. Hence, factor loading 0.30
is satisfactory. But, factor loading value larger than 0.50 is usually believed essential
for practical implication (Hair, 2009). Hence, the researcher has considered factor
loading 0.5 for extracting the factors from the above list of variables.
Page | 114
Table 5.25 Rotated Component Matrix for Market Specific Variables
Rotated Component Matrixa

Component
1 2 3 4 5 6
A31 .718
A33 .715
A16 .668
A22 .623
A17 .610
A72 .520
A8 .797
A7 .779
A9 .735
A15 .666
A25 .797
A24 .794
A19 .713
A29 .826
A28 .807
A12 .670
A30 .902
A34 .882
A36 .784
A41 .715
Rotation Method: Varimax with Kaiser Normalization.
Table 5.25 shows the values of KMO and Bartlett’s test (0.764, 0.000), Anti Image
Matrix (>0.5), Communalities (>0.5), Eigenvalues (>1), Percent of Cumulative
Variance Explained (>60 percent) and Factor Loadings (>0.5) are greater than cut off
values. Hence, post detailed analysis six factors have been identified. First factor
consists six variables (A16, A17, A22, A31, A33 and A72), second factor consists
four variables (A7, A8, A9, A15), third factor consists three variables (A19, A24,
A25), fourth factor consists three variables (A12, A28, A29), fifth factor consists two
variables (A30, A34) and sixth factor consists two variables (A36, A41) based on
significant loadings.
5.4.1.9 Naming of Market Specific Factors
Based on factors extracted from above process; naming of factors has been done in
following sections.
1. First factor consist six variables. It includes 1) Stories of successful investors

(0.668) 2) Get quick rich philosophy (0.610) 3) Everyone else is investing (0.623) 4)
Page | 115
Greed among investors (0.718) 5) Media focus on stock market (0.715) and 6) Media
coverage of stock (0.520). The group of variables is concerned with Herding effect on
behaviour so this factor has been given name of “Herd Behaviour”. The total
variance explained by the Herd Behaviour factor is 13.76 percent.
2. Second factor consists four variables 1) Rate of inflation (0.779) 2) Rate of Interest
(0.797) 3) GDP, GNP and (0.735) 4) Price of crude oil (0.666). The group of variables
is concerned with Macro-Economic Factors so this factor has been given a name of
“Macro-Economic Factors”. The extracted factor explains the 12.14 percent of
variance.
3. Third factor consists three variables 1) Information available on internet (0.713) 2)

Information age and access to information (0.794) and 3) Access to tools and
technology via Internet (0.797). The group of variables is concerned with access to
information through internet. Hence, this factor has been given name “Internet Led
Access to Information and Trading”. This extracted factor explains the 11.01
percent of variance.
4. Fourth factor consists three variables 1) Can’t depend on (PF/Gratuity/Post office

saving) to fund the retirement (0.670) 2) Lower rate of return in government bond
(0.807) and 3) Performance of Indian stock market vs other stock markets (0.826).
The group of variables is concerned with philosophy of Best Game for earning higher
returns. Hence, this factor has been given name “Best Game in Town”. This
extracted factor explains 9.19 percent of variance.
5. Fifth factor consists two variables 1) Confidence level of institutional investor (FII,
FDI) (0.902) and 2) Corporate earnings (0.882). The group of variables is concerned
with performance of company and confidence of Institutional investors. Hence, this
factor has been given name “Performance Factor and Confidence of Institutional
Investors”. This extracted factor explains 8.71 percent of variance.
6. Sixth factor consists two variables 1) Cost cutting by corporation (0.784) and 2)
Political stability (0.715). The group of variables is concerned with cost aspect of
company and risk of political instability. Hence, this factor has been given name
“Risk and Cost Factors”. This extracted factor explains 8.12 percent of variance.
Page | 116
Table 5.26 Factor wise Reliability statistics for Market Specific Variables
Market Specific Factors

Sr. Factor Factor Name Var. Variable Name Reliability
No. Code Code
1 HB Herd Behaviour A31 Greed among investors 0.761
A33 Media focus on stock market
A16 Stories of successful investors
A22 Everyone else is investing
A17 Get quick rich philosophy
A72 Media coverage of stock
2 ME Macro-Economic A8 Rate of Interest 0.755
Factors A7 Rate of Inflation
A9 GDP, GNP
A15 Price of crude oil
3 ILAIT Internet Led Access to A25 Access to tools and technology via Internet 0.752
Information and A24 Information age and access to information
Trading A19 Information available on internet
4 BG Best Game in Town A29 Performance of Indian stock market vs. other stock markets 0.668
A28 Lower rate of return in Government bond
A12 Can’t depend on (PF/Gratuity/Post office saving) to fund the
retirement
5 PFCI Performance Factor A30 Confidence level of institutional investor (FII, FDI) 0.814
and Confidence of
A34 Corporate earnings
Institutional Investors
6 RCF Risk and Cost Factors A36 Cost cutting by corporation 0.616
A41 Political stability
Page | 117
5.4.2 Factor Analysis for Stock Specific Variables
Table 5.27 KMO and Bartlett's Test for Stock Specific Variables

KMO Measure of Sampling Sufficiency. .870

Sphericity Square
Degree of freedom 990
Significance 0.000
Table 5.27 states that the values of KMO of sampling adequacy is 0.870 and
Bartlett’s Test of Sphericity with significant value of 0.000, which satisfies necessary
conditions for factor analysis. Hence, researcher can proceed for further analysis.
5.4.2.1 Anti-Image Correlation Matrix for Stock Specific Variables
The anti-Image Correlation matrix diagonal value is more than 0.5 so researcher can
proceed further for factor analysis (Refer table no. 5.28).
Page | 118
Table 5.28 Anti-Image Correlation Matrix for Stock Specific Variables
A10 A20 A37 A40 A43 A44 A45 A46 A47 A48 A49 A50 A51 A52 A53
a
A10 .913 -.015 .041 -.022 -.008 .124 -.018 .007 -.082 -.043 -.141 -.068 -.100 -.073 -.025
A20 -.015 .882a -.084 -.158 -.029 -.020 .023 .135 .084 -.004 .066 -.109 .061 -.062 -.020
a
A37 .041 -.084 .917 .077 -.150 -.069 -.114 -.008 -.090 -.216 -.062 .058 .005 -.026 -.057
A40 -.022 -.158 .077 .872a -.051 -.041 .012 -.389 -.075 .020 -.049 .063 -.025 .023 -.067
a
A43 -.008 -.029 -.150 -.051 .926 -.012 -.047 .038 -.177 .005 -.100 -.023 -.028 -.025 .049
A44 .124 -.020 -.069 -.041 -.012 .883a -.098 -.020 .052 -.042 .093 .040 -.088 -.071 -.097
A45 -.018 .023 -.114 .012 -.047 -.098 .908a -.009 .027 .014 -.046 .152 -.061 -.070 -.001
a
A46 .007 .135 -.008 -.389 .038 -.020 -.009 .882 -.032 .023 -.037 -.018 .038 .030 -.102
A47 -.082 .084 -.090 -.075 -.177 .052 .027 -.032 .942a -.020 .017 -.016 -.006 .003 -.031
A48 -.043 -.004 -.216 .020 .005 -.042 .014 .023 -.020 .795a -.246 -.359 -.062 -.045 .003
a
A49 -.141 .066 -.062 -.049 -.100 .093 -.046 -.037 .017 -.246 .880 -.086 .022 .132 .050
A50 -.068 -.109 .058 .063 -.023 .040 .152 -.018 -.016 -.359 -.086 .679a -.020 .054 .099
A51 -.100 .061 .005 -.025 -.028 -.088 -.061 .038 -.006 -.062 .022 -.020 .850a -.157 .004
a
A52 -.073 -.062 -.026 .023 -.025 -.071 -.070 .030 .003 -.045 .132 .054 -.157 .871 .066
A53 -.025 -.020 -.057 -.067 .049 -.097 -.001 -.102 -.031 .003 .050 .099 .004 .066 .913a
A54 -.022 -.001 -.005 -.082 .068 -.078 .030 -.034 -.029 .083 -.091 -.056 .123 -.188 .067
A55 -.064 .056 .064 -.065 .015 -.094 .116 .096 .033 -.009 .075 -.115 .076 -.136 .009
A56 .017 -.055 -.015 .030 .089 .053 -.094 -.049 -.088 -.041 -.017 -.157 .018 -.033 -.035
A57 .097 -.064 -.076 -.062 .073 -.072 -.119 .085 .008 -.004 .010 -.127 .008 -.114 .000
A58 .053 .013 -.049 -.030 .033 -.033 .055 .035 -.023 .028 -.009 -.021 -.048 -.041 -.082
A59 .073 -.096 .082 .010 -.076 -.014 -.058 .040 .090 -.009 -.046 .122 -.182 -.066 .044
A60 -.033 -.224 -.014 -.047 .058 -.051 -.093 -.054 -.003 -.099 .023 .018 .013 .074 -.056
A61 -.095 -.069 -.114 -.007 -.074 -.130 .006 -.020 -.018 .206 -.177 -.082 -.071 .046 -.159
A62 -.065 .067 -.057 -.014 -.042 .066 .062 -.062 -.067 -.188 .066 .077 .152 -.064 -.064
A63 .066 -.174 .053 -.012 .052 .114 -.031 -.065 -.070 -.072 .147 .016 -.052 -.094 .056
A64 -.011 .022 .022 -.004 .064 -.049 -.134 .123 -.050 .156 -.162 -.155 .056 .110 -.074
A65 -.085 -.121 .067 -.018 .000 -.090 -.141 .030 .016 -.042 .018 .070 .000 -.100 -.024
A67 -.012 -.045 .035 -.163 -.090 .000 -.158 -.075 -.091 -.045 .088 -.120 .004 -.039 .018
A68 .019 .007 .050 -.028 .091 -.002 -.003 .007 -.048 -.097 -.025 .068 -.058 -.105 .130
A69 -.020 .090 -.074 -.021 .054 .040 -.049 -.013 -.003 .029 -.023 .028 -.174 .062 .112
A70 .011 .140 -.012 -.074 -.003 -.091 .035 .070 .027 -.016 -.057 -.029 -.101 -.036 .043
A71 -.240 .014 .026 .015 -.060 -.091 .020 .055 -.076 .015 -.040 .023 .131 -.077 -.069
A73 .013 -.028 .000 -.199 -.062 -.073 .043 -.110 -.078 -.128 -.096 -.007 .025 .022 -.116
A74 -.128 .034 .083 .057 -.066 -.010 -.025 .027 .010 -.042 -.071 .125 -.229 .105 -.021
A75 -.066 -.038 .074 .025 .038 -.020 -.162 -.002 -.021 .030 -.033 -.056 .041 .005 -.041
A76 .011 -.046 -.045 -.104 -.006 .003 .012 -.071 -.055 -.031 .046 .033 -.099 .089 -.001
A77 .006 .002 .039 .094 .002 .097 -.008 -.040 .033 .042 -.001 -.075 -.019 .030 -.290
A78 .119 -.198 -.171 .143 -.078 .081 -.010 -.169 -.079 -.081 -.035 .071 -.006 -.065 -.077
A79 -.103 -.061 -.034 .095 -.106 -.083 -.122 .025 -.035 .095 -.042 -.038 .009 .044 -.047
A80 -.006 .031 .019 .019 -.106 .060 .059 -.041 .069 -.014 .022 .004 -.056 .093 -.082
A81 .022 .056 -.131 -.092 -.024 .162 -.067 .024 .075 -.079 .023 -.025 .020 .015 -.035
A82 -.067 .005 -.052 .016 -.019 -.021 -.080 -.079 -.021 .118 -.013 -.051 -.147 .043 -.084
A83 .053 .008 -.033 .001 -.083 -.125 .028 -.030 .003 .033 -.179 .070 -.014 -.014 .038
A84 -.061 -.035 -.006 .096 -.094 .012 -.015 .001 .046 .101 .031 -.110 -.064 .013 -.020
A85 .011 -.152 .000 .111 .054 .050 .090 -.210 -.033 .026 .014 -.035 .025 -.177 .019
Page | 119
A10 -.022 -.064 .017 .097 .053 .073 -.033 -.095 -.065 .066 -.011 -.085 -.012 .019 -.020
A20 -.001 .056 -.055 -.064 .013 -.096 -.224 -.069 .067 -.174 .022 -.121 -.045 .007 .090
A37 -.005 .064 -.015 -.076 -.049 .082 -.014 -.114 -.057 .053 .022 .067 .035 .050 -.074
A40 -.082 -.065 .030 -.062 -.030 .010 -.047 -.007 -.014 -.012 -.004 -.018 -.163 -.028 -.021
A43 .068 .015 .089 .073 .033 -.076 .058 -.074 -.042 .052 .064 .000 -.090 .091 .054
A44 -.078 -.094 .053 -.072 -.033 -.014 -.051 -.130 .066 .114 -.049 -.090 .000 -.002 .040
A45 .030 .116 -.094 -.119 .055 -.058 -.093 .006 .062 -.031 -.134 -.141 -.158 -.003 -.049
A46 -.034 .096 -.049 .085 .035 .040 -.054 -.020 -.062 -.065 .123 .030 -.075 .007 -.013
A47 -.029 .033 -.088 .008 -.023 .090 -.003 -.018 -.067 -.070 -.050 .016 -.091 -.048 -.003
A48 .083 -.009 -.041 -.004 .028 -.009 -.099 .206 -.188 -.072 .156 -.042 -.045 -.097 .029
A49 -.091 .075 -.017 .010 -.009 -.046 .023 -.177 .066 .147 -.162 .018 .088 -.025 -.023
A50 -.056 -.115 -.157 -.127 -.021 .122 .018 -.082 .077 .016 -.155 .070 -.120 .068 .028
A51 .123 .076 .018 .008 -.048 -.182 .013 -.071 .152 -.052 .056 .000 .004 -.058 -.174
A52 -.188 -.136 -.033 -.114 -.041 -.066 .074 .046 -.064 -.094 .110 -.100 -.039 -.105 .062
A53 .067 .009 -.035 .000 -.082 .044 -.056 -.159 -.064 .056 -.074 -.024 .018 .130 .112
a
A54 .896 -.021 -.083 -.061 .027 -.113 -.027 -.036 .043 -.018 -.044 -.037 .044 .031 .027
A55 -.021 .644a -.449 -.160 -.029 .004 .035 -.106 .068 -.011 .038 .009 -.012 .112 -.096
A56 -.083 -.449 .663a .041 .068 .025 .007 .065 .056 -.039 -.100 -.012 .093 .139 .009
a
A57 -.061 -.160 .041 .778 -.159 -.043 -.068 .111 -.080 .099 -.170 .083 .046 .007 .003
A58 .027 -.029 .068 -.159 .882a .022 .134 -.038 .094 -.175 .108 -.256 .041 -.061 .029
A59 -.113 .004 .025 -.043 .022 .857a -.042 .020 -.001 .003 -.153 -.010 -.025 .041 -.055
A60 -.027 .035 .007 -.068 .134 -.042 .907a -.116 .033 -.079 .026 -.015 .081 .059 -.147
A61 -.036 -.106 .065 .111 -.038 .020 -.116 .884a -.178 -.167 .022 -.008 .064 -.066 .037
A62 .043 .068 .056 -.080 .094 -.001 .033 -.178 .891a -.040 -.115 -.070 -.034 .010 -.123
A63 -.018 -.011 -.039 .099 -.175 .003 -.079 -.167 -.040 .875a -.092 .000 .090 .024 .059
A64 -.044 .038 -.100 -.170 .108 -.153 .026 .022 -.115 -.092 .622a -.036 -.016 -.119 .022
A65 -.037 .009 -.012 .083 -.256 -.010 -.015 -.008 -.070 .000 -.036 .905a -.001 .043 -.176
A67 .044 -.012 .093 .046 .041 -.025 .081 .064 -.034 .090 -.016 -.001 .908a .095 .065
a
A68 .031 .112 .139 .007 -.061 .041 .059 -.066 .010 .024 -.119 .043 .095 .766 -.045
A69 .027 -.096 .009 .003 .029 -.055 -.147 .037 -.123 .059 .022 -.176 .065 -.045 .842a
A70 -.026 .010 -.002 .046 .037 .031 -.193 .097 -.064 .042 .031 -.114 -.070 -.126 -.010
A71 -.076 .069 -.035 .062 -.174 .008 .022 .131 -.070 -.093 .079 -.002 -.048 .072 -.077
A73 .096 .078 .039 -.008 -.049 .006 -.094 .002 -.053 .068 -.060 .114 -.011 .048 .026
A74 .021 .042 -.113 -.199 .013 .031 -.018 -.042 -.087 -.086 .054 .050 -.164 .036 -.036
A75 -.195 .037 .037 -.256 .004 -.111 -.001 -.052 -.092 -.079 .081 .031 -.005 -.138 .004
A76 -.007 -.005 -.016 .000 .001 -.225 .024 .031 .093 .002 -.151 .015 -.027 -.135 -.240
A77 -.013 -.122 .080 -.011 -.026 -.064 -.089 -.047 .051 -.080 .111 -.056 -.093 -.157 .092
A78 -.099 -.030 -.065 .026 -.077 -.037 .024 .012 -.024 -.024 .010 -.026 -.016 .052 -.080
A79 -.107 -.030 -.031 -.094 -.026 .010 -.040 .013 -.173 -.087 .157 .057 -.162 -.159 .013
A80 .152 -.123 -.073 -.046 .168 -.074 .082 -.064 .121 -.103 -.125 -.112 -.045 -.212 -.069
A81 -.021 -.052 .080 .012 .126 -.017 -.012 -.079 .118 .016 .043 -.117 .069 -.030 .096
A82 -.098 -.048 -.007 .056 -.088 .055 -.084 .087 .014 .042 -.017 -.020 -.099 -.216 -.013
A83 -.082 -.081 -.026 .122 -.245 .002 .012 .069 -.145 .001 -.024 -.002 -.177 -.109 -.128
A84 -.104 -.086 -.056 .106 -.070 -.092 -.108 .037 -.077 -.008 -.127 .097 -.048 -.086 -.042
A85 .019 .030 .017 -.038 -.110 -.016 .073 -.188 .048 -.073 -.057 -.098 .059 .119 -.046
Page | 120
A10 .011 -.240 .013 -.128 -.066 .011 .006 .119 -.103 -.006 .022 -.067 .053 -.061 .011
A20 .140 .014 -.028 .034 -.038 -.046 .002 -.198 -.061 .031 .056 .005 .008 -.035 -.152
A37 -.012 .026 .000 .083 .074 -.045 .039 -.171 -.034 .019 -.131 -.052 -.033 -.006 .000
A40 -.074 .015 -.199 .057 .025 -.104 .094 .143 .095 .019 -.092 .016 .001 .096 .111
A43 -.003 -.060 -.062 -.066 .038 -.006 .002 -.078 -.106 -.106 -.024 -.019 -.083 -.094 .054
A44 -.091 -.091 -.073 -.010 -.020 .003 .097 .081 -.083 .060 .162 -.021 -.125 .012 .050
A45 .035 .020 .043 -.025 -.162 .012 -.008 -.010 -.122 .059 -.067 -.080 .028 -.015 .090
A46 .070 .055 -.110 .027 -.002 -.071 -.040 -.169 .025 -.041 .024 -.079 -.030 .001 -.210
A47 .027 -.076 -.078 .010 -.021 -.055 .033 -.079 -.035 .069 .075 -.021 .003 .046 -.033
A48 -.016 .015 -.128 -.042 .030 -.031 .042 -.081 .095 -.014 -.079 .118 .033 .101 .026
A49 -.057 -.040 -.096 -.071 -.033 .046 -.001 -.035 -.042 .022 .023 -.013 -.179 .031 .014
A50 -.029 .023 -.007 .125 -.056 .033 -.075 .071 -.038 .004 -.025 -.051 .070 -.110 -.035
A51 -.101 .131 .025 -.229 .041 -.099 -.019 -.006 .009 -.056 .020 -.147 -.014 -.064 .025
A52 -.036 -.077 .022 .105 .005 .089 .030 -.065 .044 .093 .015 .043 -.014 .013 -.177
A53 .043 -.069 -.116 -.021 -.041 -.001 -.290 -.077 -.047 -.082 -.035 -.084 .038 -.020 .019
A54 -.026 -.076 .096 .021 -.195 -.007 -.013 -.099 -.107 .152 -.021 -.098 -.082 -.104 .019
A55 .010 .069 .078 .042 .037 -.005 -.122 -.030 -.030 -.123 -.052 -.048 -.081 -.086 .030
A56 -.002 -.035 .039 -.113 .037 -.016 .080 -.065 -.031 -.073 .080 -.007 -.026 -.056 .017
A57 .046 .062 -.008 -.199 -.256 .000 -.011 .026 -.094 -.046 .012 .056 .122 .106 -.038
A58 .037 -.174 -.049 .013 .004 .001 -.026 -.077 -.026 .168 .126 -.088 -.245 -.070 -.110
A59 .031 .008 .006 .031 -.111 -.225 -.064 -.037 .010 -.074 -.017 .055 .002 -.092 -.016
A60 -.193 .022 -.094 -.018 -.001 .024 -.089 .024 -.040 .082 -.012 -.084 .012 -.108 .073
A61 .097 .131 .002 -.042 -.052 .031 -.047 .012 .013 -.064 -.079 .087 .069 .037 -.188
A62 -.064 -.070 -.053 -.087 -.092 .093 .051 -.024 -.173 .121 .118 .014 -.145 -.077 .048
A63 .042 -.093 .068 -.086 -.079 .002 -.080 -.024 -.087 -.103 .016 .042 .001 -.008 -.073
A64 .031 .079 -.060 .054 .081 -.151 .111 .010 .157 -.125 .043 -.017 -.024 -.127 -.057
A65 -.114 -.002 .114 .050 .031 .015 -.056 -.026 .057 -.112 -.117 -.020 -.002 .097 -.098
A67 -.070 -.048 -.011 -.164 -.005 -.027 -.093 -.016 -.162 -.045 .069 -.099 -.177 -.048 .059
A68 -.126 .072 .048 .036 -.138 -.135 -.157 .052 -.159 -.212 -.030 -.216 -.109 -.086 .119
A69 -.010 -.077 .026 -.036 .004 -.240 .092 -.080 .013 -.069 .096 -.013 -.128 -.042 -.046
A70 .876a -.074 .054 -.062 -.080 -.073 -.041 -.026 .008 -.201 .039 -.061 -.033 .108 -.066
a
A71 -.074 .921 -.091 -.035 -.046 -.140 -.090 .014 -.004 -.009 -.081 -.040 .041 -.046 -.041
A73 .054 -.091 .923a .042 .027 .057 -.155 .065 -.142 .053 .011 -.094 .026 -.048 -.140
A74 -.062 -.035 .042 .861a .155 .090 -.240 -.038 .029 .091 -.091 -.030 -.047 .062 -.071
a
A75 -.080 -.046 .027 .155 .858 -.090 .078 -.112 .247 -.026 -.055 -.081 -.141 .032 -.039
A76 -.073 -.140 .057 .090 -.090 .814a -.020 .076 -.053 -.035 -.013 .120 .083 .058 -.011
A77 -.041 -.090 -.155 -.240 .078 -.020 .861a .021 .024 -.043 -.048 .123 -.080 .055 .067
A78 -.026 .014 .065 -.038 -.112 .076 .021 .868a -.131 .018 .035 -.023 .108 .020 .103
A79 .008 -.004 -.142 .029 .247 -.053 .024 -.131 .899a -.031 -.106 .028 .032 -.092 -.002
A80 -.201 -.009 .053 .091 -.026 -.035 -.043 .018 -.031 .659a .169 -.064 .021 -.055 .014
A81 .039 -.081 .011 -.091 -.055 -.013 -.048 .035 -.106 .169 .864a -.203 -.186 -.194 -.094
A82 -.061 -.040 -.094 -.030 -.081 .120 .123 -.023 .028 -.064 -.203 .879a .115 .158 -.031
A83 -.033 .041 .026 -.047 -.141 .083 -.080 .108 .032 .021 -.186 .115 .894a .081 -.161
A84 .108 -.046 -.048 .062 .032 .058 .055 .020 -.092 -.055 -.194 .158 .081 .714a -.045
A85 -.066 -.041 -.140 -.071 -.039 -.011 .067 .103 -.002 .014 -.094 -.031 -.161 -.045 .896a
Page | 121
5.4.2.2 Communality Statistics for Stock Specific Variables
Table 5.29 Communalities Statistics for Stock Specific Variables
Communalities

A10 1 .406
A20 1 .493
A37 1 .488
A40 1 .468
A43 1 .418
A44 1 .282
A45 1 .407
A46 1 .494
A47 1 .368
A48 1 .519
A49 1 .474
A50 1 .544
A51 1 .477
A52 1 .559
A53 1 .541
A54 1 .489
A55 1 .615
A56 1 .586
A57 1 .352
A58 1 .538
A59 1 .462
A60 1 .367
A61 1 .462
A62 1 .398
A63 1 .441
A64 1 .501
A65 1 .484
A67 1 .399
A68 1 .431
A69 1 .407
A70 1 .485
A71 1 .408
A73 1 .606
A74 1 .493
A75 1 .508
Page | 122
A76 1 .485
A77 1 .537
A78 1 .334
A79 1 .415
A80 1 .541
A81 1 .283
A82 1 .315
A83 1 .450
A84 1 .257
A85 1 .449
The communality value for variables having value less than 0.5 have been excluded
one by one and revised communalities have been developed till it reaches the value of
0.5 or higher for all remaining variables.
Table 5.30 Revised KMO and Barkett’s Test for Stock Specific Variables

KMO Measure of Sampling Sufficiency. .793

Sphericity Square
Degree of Freedom 210
Significance 0.000
Page | 123
Table 5.31 Revised Anti Image Matrix for Stock Specific Variables
A40 A46 A48 A49 A50 A51 A52 A53 A54 A55 A56 A58 A68 A70 A73 A74 A75 A76 A77 A80 A83
a
A40 .823 -.391 .011 -.026 .028 -.029 .017 -.077 -.072 -.070 .059 .000 -.016 -.095 -.233 .011 -.016 -.145 .067 .024 -.040
a
A46 -.391 .842 -.015 -.026 .007 .028 -.006 -.148 -.041 .111 -.045 -.010 .030 .029 -.159 -.013 -.012 -.020 -.033 -.021 -.079
a
A48 .011 -.015 .761 -.245 -.341 -.030 -.121 -.011 .106 .036 -.040 .024 -.031 -.082 -.140 -.085 .005 -.024 .025 .061 -.012
a
A49 -.026 -.026 -.245 .830 -.122 -.019 .169 -.005 -.132 .078 -.021 .026 -.060 -.046 -.145 -.101 -.041 .005 .030 -.012 -.195
a
A50 .028 .007 -.341 -.122 .663 .009 .075 .083 -.083 -.178 -.170 -.018 .036 .028 -.082 .092 -.052 .054 -.072 -.029 .087
a
A51 -.029 .028 -.030 -.019 .009 .789 -.185 .006 .085 .032 .024 -.062 -.112 -.122 .036 -.277 .000 -.190 .003 -.122 -.010
a
A52 .017 -.006 -.121 .169 .075 -.185 .740 .038 -.263 -.143 -.041 -.200 -.044 -.052 -.011 .037 -.102 .075 .013 .090 -.060
a
A53 -.077 -.148 -.011 -.005 .083 .006 .038 .830 -.007 -.001 -.045 -.139 .106 .033 -.218 -.067 -.084 .031 -.310 -.070 .046
a
A54 -.072 -.041 .106 -.132 -.083 .085 -.263 -.007 .777 -.056 -.123 -.036 -.013 -.029 .043 -.002 -.280 -.061 -.004 .151 -.063
a
A55 -.070 .111 .036 .078 -.178 .032 -.143 -.001 -.056 .621 -.455 -.053 .087 .027 .084 .014 .023 .000 -.116 -.153 -.079
a
A56 .059 -.045 -.040 -.021 -.170 .024 -.041 -.045 -.123 -.455 .635 .050 .130 .020 .049 -.089 .032 -.049 .104 -.098 .030
a
A58 .000 -.010 .024 .026 -.018 -.062 -.200 -.139 -.036 -.053 .050 .859 -.037 .022 -.067 -.021 -.059 -.008 -.046 .132 -.274
a
A68 -.016 .030 -.031 -.060 .036 -.112 -.044 .106 -.013 .087 .130 -.037 .790 -.120 .020 .056 -.138 -.139 -.113 -.247 -.084
a
A70 -.095 .029 -.082 -.046 .028 -.122 -.052 .033 -.029 .027 .020 .022 -.120 .865 .037 -.097 -.091 -.081 -.043 -.211 -.084
a
A73 -.233 -.159 -.140 -.145 -.082 .036 -.011 -.218 .043 .084 .049 -.067 .020 .037 .859 -.013 .049 .038 -.140 .075 -.019
a
A74 .011 -.013 -.085 -.101 .092 -.277 .037 -.067 -.002 .014 -.089 -.021 .056 -.097 -.013 .781 .078 .106 -.294 .105 -.105
a
A75 -.016 -.012 .005 -.041 -.052 .000 -.102 -.084 -.280 .023 .032 -.059 -.138 -.091 .049 .078 .827 -.140 .080 -.031 -.140
a
A76 -.145 -.020 -.024 .005 .054 -.190 .075 .031 -.061 .000 -.049 -.008 -.139 -.081 .038 .106 -.140 .785 -.022 -.116 .037
a
A77 .067 -.033 .025 .030 -.072 .003 .013 -.310 -.004 -.116 .104 -.046 -.113 -.043 -.140 -.294 .080 -.022 .798 -.043 -.080
a
A80 .024 -.021 .061 -.012 -.029 -.122 .090 -.070 .151 -.153 -.098 .132 -.247 -.211 .075 .105 -.031 -.116 -.043 .616 .047
a
A83 -.040 -.079 -.012 -.195 .087 -.010 -.060 .046 -.063 -.079 .030 -.274 -.084 -.084 -.019 -.105 -.140 .037 -.080 .047 .873
Table 5.30 shows revised anti-image matrix in which all diagonal value is higher than 0.5
Page | 124
Table 5.32 Revised Communality Statistics for Stock Specific Variables
A40 1 .658
A46 1 .657
A48 1 .669
A49 1 .607
A50 1 .658
A51 1 .533
A52 1 .582
A53 1 .619
A54 1 .610
A55 1 .736
A56 1 .705
A58 1 .547
A68 1 .565
A70 1 .500
A73 1 .649
A74 1 .639
A75 1 .579
A76 1 .518
A77 1 .606
A80 1 .667
A83 1 .534
Page | 125
5.4.2.3 Revised Total Variance Explained for Stock Specific Variables
Table 5.33
Extraction Sums of Rotation Sums of
Initial Eigenvalues Squared Loadings Squared Loadings
Cumul
% of Cumula % of Cumula % of ative
Comp. Total Variance tive % Total Variance tive % Total Variance %
1 4.479 21.328 21.328 4.479 21.328 21.328 2.467 11.747 11.747
2 2.203 10.492 31.819 2.203 10.492 31.819 2.394 11.399 23.146
3 2.073 9.870 41.689 2.073 9.870 41.689 2.318 11.036 34.182
4 1.573 7.491 49.181 1.573 7.491 49.181 1.968 9.370 43.552
5 1.318 6.278 55.459 1.318 6.278 55.459 1.885 8.978 52.530
6 1.191 5.673 61.132 1.191 5.673 61.132 1.806 8.602 61.132
7 .840 3.998 65.129
8 .772 3.676 68.806
9 .711 3.386 72.191
10 .688 3.278 75.470
11 .597 2.845 78.314
12 .585 2.786 81.101
13 .544 2.589 83.690
14 .513 2.445 86.135
15 .474 2.259 88.394
16 .468 2.231 90.625
17 .426 2.030 92.655
18 .421 2.007 94.662
19 .401 1.911 96.573
20 .372 1.771 98.344
21 .348 1.656 100.000
Page | 126
Table 5.34 Revised Rotated Component Matrix for Stock Specific Variables
Rotated Component Matrix

Component
1 2 3 4 5 6
A46 .788
A40 .762
A73 .669
A53 .644
A52 .719
A54 .711
A58 .613
A75 .612
A83 .562
A80 .693
A68 .684
A76 .662
A70 .631
A51 .527
A74 .767
A77 .682
A55 .836
A56 .827
A48 .790
A49 .692
A50 .656
Extraction Method: PCA (Principal Component Analysis).
Rotation Method: Varimax with Kaiser Normalization.
As shown in revised table 5.34 that values of KMO and Bartlett’s test (0.793, 0.000),
Anti Image Matrix (>0.5), Communalities (>0.5), Eigenvalues (>1), Percent of
Cumulative Variance Explained (>60 percent) and Factor Loadings (>0.5) are greater
than cut off values. Hence, after detailed analysis six factors have been identified.
First factor consists four variables (A40, A46, A53 and A73), second factor consists
five variables (A52, A54, A58, A75 and A83), third factor consists five variables
(A51, A68, A70, A76 and A80), fourth factor consists of two variables (A74 and
A77), fifth factor consists two variables (A55 and A56) and sixth factor consists three
variables (A48, A49 and A50) based on significant loadings.
5.4.2.4 Naming of Stock Specific Factors
Based on factors extracted from above process; naming of factors has been done in
following sections.
1. First factor refers to four items. It includes 1) Merger and Acquisitions in the
corporate sector (0.762) 2) Book value (0.788) 3) Expected stock split (0.644) and 4)
Potential takeover target (0.669). The group of variables is concerned with Expected
Events surrounding the stock and Book Value. So, this factor has been given name of
Page | 127
“Expected Events Surrounding the Stock and Book Value”. The extracted factor
explains 11.75 percent of variance.
2. Second factor consists five variables 1) Dividends yield ratio (0.719) 2) Earning per
Share (0.711) 3) Turnover ratio (Receivables, Inventory and Account payables)
(0.613), 4) Return on investment (0.612) and (5) Cash flow per Share (0. 562). The
group of variables is concerned with financial aspects of company. So, this factor has
been given name of “Financial Characteristics”. The extracted factor explains 11.40
percent of variance.
3. Third factor consists five variables 1) Gut feeling and intuition (0.684) 2) Rumors
(0.662) 3) Recommended by friends, family and peers (0.527) 4) Quality of
Management (0.693) and 5) CEO Track record and expertise (0.631). The group of
variables is concerned with Psychology of Investors and Quality of Management
working. So, this factor has been given name of “Psychological Factors and Quality
of Management”. The extracted factor explains 11.04 percent of variance.
4. Fourth factor consist two variables 1) Past price performance including any recent
price over reaction (0.767) and 2) Hot sector, hot stock (0.682). The group of
variables is concerned with Past price performance and sector attractiveness. So this
factor has been given name of “Past Price Performance and Sector
Attractiveness”. The extracted factor explains 9.37 percent of variance.
5. Fifth factor consists two variables 1) Insider buying (0.836) and 2) Major
institution and corporation is currently buying the stocks of the company (0.827). This
group of variables is concerned with who is buying the stock in current situation. So
the name of this factor has been given as “Who else is Buying”. The extracted factor
6. Sixth factor consists three variables 1) Recommended by the analysts and research
reports (0.790) 2) Recommended by the brokers (0.692) and 3) Recommended by the
street experts and stock market gurus (0.656). This group of variables is concerned
with the recommendations of the financial community. So the name of this factor has
been given as “Recommendations of Financial Community”. The extracted factor
Page | 128
Table 5.35 Factor wise Reliability statistics of Stock Specific Variables
Sr. Factor Factor Name Var. Reliability

No. Code No
1 EESSB Expected Events A46 Book value 0.772
Surrounding A40 Merger and Acquisitions in the corporate sector
the Stock and Book Value A73 Potential takeover target
A53 Expected stock split
2 FC Financial Characteristics A52 Dividends Yield Ratio 0.721
A54 Earning per Share
A58 Turnover ratio ( Receivables, Inventory and Account Payables)
A75 Return on Investment
A83 Cash flow per Share
3 PF & QM Psychological Factors and A80 Quality of Management 0.675
Quality of Management A68 Gut feeling and intuition
A76 Rumors
A70 CEO Track record and expertise
A51 Recommended by friends, family and peers
4 PPPSA Past Price Performance and A74 Past price performance including any recent price over reaction 0.616
Sector Attractiveness A77 Hot sector, hot stock
5 WEB Who else is Buying A55 Insider buying 0.718
Major institutions and corporations is currently
A56 buying the stocks of the company
6 RFC Recommendations of A48 Recommended by the analysts and research reports 0.611
Financial Community A49 Recommended by the brokers
A50 Recommended by the street experts and stock market gurus
Page | 129
5.5 Multiple Regression Analysis
Table 5.36 Investor’s Optimism
H DV IV No. of Factor
Statements Code
1 Herd Behaviour of Investor 6 HB
2 Macro-Economic Factors 4 ME
3 Internet Led Access to Information and 3 ILAIT
Trading
Investor’s
4 Best Game in Town (Attractive enough 3 BG
Optimism
to invest)
5 Performance Factors and Confidence 2 PFCI
Level of Institutional Investors
6 Risk and Cost Factors 2 RCF
Table 5.37 Model Summary of Multiple Regression Analysis for Dependent

Variable Individual Investor’s Optimism
Model Summary
Std. Error
R Adjusted R of the
Model R Square Square Estimate
1 .803a .644 .640 .78505
Table 5.37 Model Summary shows that the Independent factors explain 64 percent
variation in the dependent variable.
Table 5.38 ANOVA result of Model fit for Individual Investor’s Optimism
ANOVA (Model Fit for Individual Investor’s Optimism)

Degree
Sum of of Mean
Model Squares Freedom Square F value Significance
1 Regression 593.539 6 98.923 160.512 .000a
Residual 327.870 532 .616
Total 921.409 538
Table 5.38 Shows that the model is Significant with the value 0.000 is less than 0.05
at 95% confidence level.
Page | 130
Table 5.39 Multiple Regression Analysis result for Dependent Variable

Individual Investor’s Optimism
Coefficientsa
Unstandardized Standardized Collinearity
Coefficients Coefficients Statistics
Std.
Model B Error Beta t Significance VIF
1 (Constant) .695 .213 3.259 .001
HB .308 .059 .347 5.240 .000* 6.544
ME .321 .058 .373 5.552 .000* 6.735
ILAIT .124 .026 .135 4.676 .000* 1.238
BG .027 .022 .032 1.225 .221 1.037
PFCI .085 .025 .093 3.410 .001* 1.116
RCF .013 .023 .014 .550 .582 1.016
a. Dependent Variable: Investor’s Optimism , Note: *p < 0.05
Table 5.39 shows that the Independent Variables Herd Behavior (HB), Macro-
Economic Factors (ME), Internet Led Access to Information and Trading (ILAIT) and
Performance Factor and Confidence level of Institutional Investors (PFCI) factors are
significantly affecting the dependent variable Investor’s Optimism as their
significance value is less than 0.05 whereas the Best Game in town (BG) and Risk and
Cost factors (RCF) are not significantly affecting the dependent variable.
Multicolllinearity intensifies the standard error of the beta coefficients in a model

constructed on principle of multiple regression analysis and, therefore, the model
becomes less reliable (Diamantopoulos and Winkelhofer, 2001; Backhaus et al.
2006). For identification of the severity of multicollinearity the VIF method is used.
The VIF is an index that estimates amount of variance of a coefficient (Square of
standard deviation) which is increased because of collinearity (Hair et al. 1998). A
generally accepted cut off value in literature is a VIF < 10 (Hair et al. 1998; Gujarati,
2003; Kennedy, 2003; Cohen et al. 2003), but an exact threshold cannot be provided
(Gotz and Liehr-Gobbers, 2004), In the current study there is no multicollinearity
problem as all the variables Variance Inflation Factor (VIF) value is less than 10.
Page | 131
Table 5.40 Investor’s Participation
Statements Code
7 Financial Characteristics 5 FC
8 Psychological Factors and Quality 5 PF&QM
of Management
9 Who else is Buying 2 WEB
10 Investor’s Past Price Performance and 2 PPPSA
Participation Sector Attractiveness
11 Expected Events Surrounding the 4 EESSB
Stock and Book Value
12 Recommendations of Financial 3 RFC
Community
Table 5.41 Model Summary of Multiple Regression Analysis for

Dependent Variable Individual Investor’s Participation
Adjusted R Std. Error of the
Model R R Square Square Estimate
a
1 .773 .597 .592 .85598
Table 5.41 Model Summary shows that the independent factors explain 59.7 percent
Table 5.42 ANOVA (Model Fit for Individual Investor’s Participation)

Sum of Mean
Model Squares df Square F Sig.
1 Regression 576.979 6 96.163 131.245 .000a
Residual 389.796 532 .733
Total 966.776 538
Table 5.42 shows that the model is significant with the value 0.000 is less than 0.05 at
95% confidence level.
Page | 132
Table 5.43 Multiple Regression Analysis result for Dependent Variable

Individual Investor’s Participation
Coefficientsb
Std.
Model B Error Beta t Sig. VIF
1 (Constant) 1.268 .239 5.309 .000
EESSB .149 .030 .149 5.017 .000* 1.157
FC .305 .051 .396 5.974 .000* 5.787
PF&QM .256 .053 .321 4.812 .000* 5.889
PPPSA .061 .031 .056 1.977 .049* 1.044
WEB -.019 .022 -.024 -.842 .400 1.068
RFC .074 .032 .071 2.355 .019* 1.202
b. Dependent Variable: Investor’s Participation, Note: *p < 0.05
Table 5.43 reveals that Expected Events Surrounding the Stock and Book Value
Factor (EESSB), Financial Characteristics (FC), Psychological Factors and Quality of
Management (PF&QM), Past Price Performance and Sector Attractiveness (PPPSA),
Recommendations of Financial Community (RFC) independent variables are
significantly affecting the dependent variable Investor’s Participation in Stock Market
as the significance value is less than 0.05 whereas the Who else is Buying (WEB) is
not affecting significantly the dependent variable Investor’s Participation in Stock
Market.
There is no multicollinearity problem as all the variables’ VIF value is less than 10
(Hair et al. 1998; Gujarati, 2003; Kennedy, 2003).
Page | 133
Table 5.44 Stock Market Outlook
Statements Code
13 Herd Behaviour 6 HB
14 Macro-Economic Factors 4 ME
15 Stock Internet Led Access to Information and 3 ILAIT
Market Trading
16 Outlook Performance Factors and Confidence 2 PFCI
Level of Institutional Investors
17 Risk and Cost Factors 2 RCF
18 Psychological Factors and 5 PF&QM
Quality of Management
19 Who else is Buying 2 WEB
Table 5.45 Model Summary of Multiple Regression Analysis for

Dependent Variable Individual Investor’s Stock
Market Outlook
R Adjusted R Std. Error of the
Model R Square Square Estimate
a
1 .754 .568 .563 .83669
Table 5.45 Model Summary shows that the independent factors explain 57 percent
Table 5.46 ANOVA (Model Fit for Individual Investor’s Stock Market
Outlook)
Sum of Mean
Model Squares df Square F Sig.
1 Regression 489.491 7 69.927 99.889 .000a
Residual 371.726 531 .700
Total 861.217 538
Table 5.46 Shows that the model is significant with the value 0.000 is less than 0.05 at
95% confidence level.
Page | 134
Table 5.47 Multiple Regression Analysis results for Dependent Variable

Individual Investor’s Stock Market Outlook
Coefficientsc
Std.
Model B Error Beta t Sig. VIF
1 (Constant) 1.217 .223 5.455 .000
HB .271 .063 .315 4.308 .000* 6.595
ME .049 .062 .059 .788 .431 6.877
ILAIT .041 .028 .046 1.463 .144 1.239
PFCI .078 .027 .088 2.913 .004* 1.134
RCF -.053 .064 -.062 -.824 .410 6.999
PF&QM .375 .023 .498 16.205 .000* 1.164
WEB .025 .055 .034 .454 .650 7.038
c. Dependent Variable: Investor’s Stock Market Outlook, Note: *P < 0.05
Table 5.47 reveals that Herd behaviour (HB), Performance Factors and Confidence
Level of Institutional Investors (PFCI) and Psychological Factors and Quality of
Management (PF & QM) are significantly affecting investor’s stock market outlook
as the significance value is less than 0.05 and other variables are insignificant.
There is no multicollinearity problem as all the variables’ VIF value is less than 10
(Hair et al. 1998; Gujarati, 2003; Kennedy, 2003).
5.6 Risk Attitude
According to the Rational Expectation Theory economic agents are risk averse, mean
they prefer certainty over uncertainty and will always reject fair gamble. In the last
section of the survey researcher has measured the risk attitude of individual investor
in stock market context and for the same the Kahneman and Tversky (1979)
experiment have been used.
In Questions 16 and 17 of the survey individual investors of equity market have been
asked if there is no transaction cost and taxes under that situation what they prefer to
do with the shares of a company they own which was bought one month ago at Rs.50
per share.
Page | 135
In question 16 suppose today the share price is Rs.40 per share. The respondent has to
choose any one out of two options. Option A, sell the shares today at Rs.40 and hence
make sure loss of Rs.10 per share or Option B, hold the shares for another month in
which they have 50% probability of losing additional Rs 10 per share and 50%
probability of making Rs.0 loss.
Question 17 shows profit making situation for the individual investors. Suppose
current share price is Rs.60 per share. Here the respondents have again two options.
Option A, for selling the shares today at sure gain of Rs.10 per share and Option B
hold the shares for one month more in which they have a 50% probability of making
additional profit of Rs.10 per share and 50% probability of making profit of Rs.0
Table 5.48 (Q. No. 16) - Frequency Analysis of Risk Attitude under Loss Making
Situation
Valid Cumulative
Frequency Percent Percent Percent
Valid Option A Sell 119 22.1 22.1 22.1
Option B Hold 420 77.9 77.9 100.0
Total 539 100.0 100.0
Table 5.49 (Q. No. 17) - Frequency Analysis of Risk Attitude under Profit
Making Situation
Valid Cumulative
Valid Option A Sell 324 60.1 60.1 60.1
Option B Hold 215 39.9 39.9 100.0
Total 539 100.0 100.0
Question no.16 is loss making situation and question no.17 is profit making situation.
Both the options in each situation have the same expected utility even though the
investors have inconsistent attitude towards risk. In first case under the loss making
situation sample of investors exhibit risk seeking behaviour 78 percent respondents
choose option B and 22 percent choose option A. Both the options have same
expected utility but option B is more uncertain yet more respondent choose option B
in loss making situation. In question no.17, both the options have same expected
Page | 136
utility but the sample of investors exhibit risk averse behaviour 60.1 percent
respondents choose option A and 39.9 percent choose option B. Most of the investors
prefer sure gain of Rs.10 and would avoid the uncertain option B. These results show
that investors are not always rational and do not behave in accordance with the
principles of Expected Utility Theory.
Table 5.50 (Q. No. 18) Frequency Analysis to check Mental Accounting in Stock
Market context under the given condition
Suppose you own stock of ABC Company

Valid Cumulative
Valid Yes 260 48.2 48.2 48.2
No 279 51.8 51.8 100.0
Total 539 100.0 100.0
Table 5.51 (Q. No. 19) Frequency Analysis to check Mental Accounting in Stock
Market context under the given condition
Suppose you do not own stock of ABC Company

Valid Cumulative
Valid Yes 336 62.3 62.3 62.3
No 203 37.7 37.7 100.0
Total 539 100.0 100.0
Question No. 18 and 19 examine the tendency of investors to do mental accounting.

They divide their money into different mental accounts and do not consider money as
fungible as rational investors would do. In question no. 18 and 19 the investors were
asked whether they would buy the stock of ABC Company which has witnessed the
downfall due to poor quarterly results but having good long term prospects. In
question no. 18 respondents were already having the stocks of ABC Company and
they have to decide whether they would buy more shares and in question no. 19 they
do not own the shares. The result shows that 62.3 percent investors would prefer to
buy shares of ABC Company if they do not own the shares. If they already own the
Page | 137
shares of ABC Company, only 48.2 percent investors prefer to buy shares of ABC
Company.
Table 5.52 (Q. No. 20) Frequency Analysis to confirm existence of Mental
Accounting under the given condition
You have lost the ticket. Will you pay another Rs.150 to see the film?
Valid Cumulative
Valid Yes 281 52.1 52.1 52.1
No 258 47.9 47.9 100.0
Total 539 100.0 100.0
Table 5.53 (Q. No. 21) Frequency Analysis to confirm existence of Mental
Accounting under the given condition
Suppose you have lost Rs.150 cash. Will you buy the ticket to see the film?
Valid Cumulative
Valid Yes 351 65.1 65.1 65.1
No 188 34.9 34.9 100.0
Total 539 100.0 100.0
Question No. 20 and 21 examine the tendency among the individuals to do mental
accounting. In question No. 20, it is assumed that the respondent has paid Rs.150 to
see a film. Arriving at cinema hall he/she came to know that he/she has lost the ticket.
He/she has to decide whether he/she would spend another Rs.150 to purchase ticket to
see film. In question No. 21 it is assumed that the respondent has not bought the ticket
in advance but after reaching to the cinema hall he/she realized that he/she had lost
Rs.150. In this case he/she is required to decide if he/she would buy the ticket. In both
the cases the total cost of seeing film is Rs.300 and there is no difference in two
scenarios even though the survey result shows that respondents view the two
situations differently. In the case where respondent had lost the ticket only 52.1
percent respondents would buy another ticket to see the film while 65.1 percent of
respondents would buy the ticket after losing Rs.150 cash.
Page | 138
5.7 Conclusion
In-depth analysis of data that was collected by administrating the research instrument
to individual investors of India is presented in this chapter by employing various
techniques. The collected data was analyzed using SPSS software package. Factor
analysis was first applied to market specific variables and stock specific variables and
then multiple regressions was used to check the impact of independent variables on
dependent variables and then researcher has made inquiry of any multicollinearity
issue among the independent variables. After that, researcher has assessed rationality
of individual investors of India through frequency analysis.
The results of the statistical tests presented in this chapter are also supported with in-
depth interpretation and explanation of results of each statistical test. The next chapter
of the thesis discusses on major findings, conclusion, implications and future scope of
research.
Page | 139

Chapter 5 - Data Analysis and Interpretation

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Chapter 5 - Data Analysis and Interpretation

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Chapter 5: Data Analysis and Interpretation

Chapter 5: Data Analysis and Interpretation

5.2 Descriptive Analysis

Variable Range Frequency %

Annual Family Income (In Less than 2,00,000 88 16.3

As far as statistics of highest education qualification of respondents is concerned the

respondents (n = 95) earn between Rs.6,00,001 to Rs.8,00,000, 5.4 percent of

The statistics regarding occupation of respondents shows that majority of respondents

5.3 Reliability and Normality of Data

Table 5.2 Cronbach’s alpha for the Market Specific Variables

Table 5.3 Cronbach’s alpha for the Stock Specific Variables

No. of Questions Cronbach’s alpha

In case of normality, sample size plays an important role of improving statistical

5.4 Factor Analysis

The main objective of research is to study factors affecting individual investor’s

According to Malhotra (2009) the purpose of factor analysis is to recognize

5.4.1 Factor Analysis for Market Specific Variables

5.4.1.1 Bartlett’s Test of Sphericity

KMO & Bartlett's Test

Bartlett's Test of Approximate Chi- 5948.847

5.4.1.2 Measures of Sampling Adequacy (MSA)

Kaiser-Meyer-Olkin (KMO) is defined as an index applied to quantify the sampling

5.4.1.3 Anti-Image Correlation Matrix for Market Specific Variables

The logical process holds a fundamental assumption of matrix of correlations among

Table 5.5 Anti-Image Correlation Matrix for Market Specific Variables

Table 5.5 (Continue)

Table 5.5 (Continue)

A35 A37 A38 A39 A41 A42 A66 A72

5.4.1.4 Method of Factor Analysis

5.4.1.5 Method of Factor Rotation

Common variance can be described as the variance in a variable that is collectively

Table 5.6 Communality Statistics for Market Specific Variables

KMO and Bartlett's Test

Bartlett's Check of Approximate Chi- 3043.984

Table 5.21 Revised Anti-image Matrices for Market Specific Variables

A7 A8 A9 A12 A15 A16 A17 A19 A22 A24 A25

A28 A29 A30 A31 A33 A34 A37 A41 A72

Latent Root Criterion / Eigenvalue

Total Variance Explained

The percent of variance method aims at securing a particular cumulative percent of

Table 5.23 Total Variance Explained for Market Specific Variables

Total Variance Explained

5.4.1.8 Factor Loading

Table 5.24 Guidelines for Identifying Significant Factor Loadings based on

Table 5.25 Rotated Component Matrix for Market Specific Variables

Rotated Component Matrixa

5.4.1.9 Naming of Market Specific Factors

1. First factor consist six variables. It includes 1) Stories of successful investors

3. Third factor consists three variables 1) Information available on internet (0.713) 2)

4. Fourth factor consists three variables 1) Can’t depend on (PF/Gratuity/Post office

Market Specific Factors

5.4.2 Factor Analysis for Stock Specific Variables

KMO and Bartlett's Test

Bartlett's Check of Approximate Chi- 8537.175

5.4.2.1 Anti-Image Correlation Matrix for Stock Specific Variables

Table 5.28 Anti-Image Correlation Matrix for Stock Specific Variables

Table 5.28 (Continue)

Table 5.28 (Continue)

5.4.2.2 Communality Statistics for Stock Specific Variables

Table 5.29 Communalities Statistics for Stock Specific Variables

Variables Original Extracted

KMO and Bartlett's Test