Between 1990 and 2000, the standard deviation of the returns for the NIKKEI and the DJIA indexes were 0.12 and 0.37, respectively, and the covariance of these index returns was 0.021. What was the correlation coefficient between the two market indicators?
Between 1990 and 2000, the standard deviation of the returns for the NIKKEI and the DJIA indexes were 0.12 and 0.37, respectively, and the covariance of these index returns was 0.021. What was the correlation coefficient between the two market indicators?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Between 1990 and 2000, the standard deviation of the returns for the NIKKEI and the DJIA indexes were 0.12 and 0.37, respectively, and the covariance of these index returns was 0.021. What was the correlation coefficient between the two market indicators?
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