Between 1999 and 2009, the standard deviation of the returns for the S&P/TSX and the DJIA indexes were 0.18 and 0.16, respectively, and the covariance of these index returns was 0.003. What was the correlation coefficient between the two market indicators?
A) 9.6
B) 0.0187
C) 0.1042
D) 0.0166
E) 0.343

Question

Quizplus · Accepted Answer

rA,B = (sA,B) ¸ [(sA)(sB)] = (0.003) ¸ (0.18)(0.16) = .1042

Between 1999 and 2009, the Standard Deviation of the Returns