Between 1989 and 1999, the standard deviation of the returns for the S&P/TSX and the DJIA indexes were 0.19 and 0.06, respectively, and the covariance of these index returns was 0.0014. What was the correlation coefficient between the two market indicators?
A) 8.1428
B) 0.0233
C) 0.0073
D) 0.2514
E) 0.1228

Question

Quizplus · Accepted Answer

rA,B = (sA,B) ¸ [(sA)(sB)] = (0.0014) ¸ (0.19)(0.06) = .1228

Between 1989 and 1999, the Standard Deviation of the Returns