单选题 Given the following data what is the correlation coefficient between the two stocks and the Beta of stock A?
standard deviation of returns of Stock A is 10.04 percent
standard deviation of returns of Stock B is 2.05 percent
standard deviation of the market is 3.01 percent
covariance between the two stocks is 0.00109
covariance between the market and stock A is 0.002
Correlation Coefficient Beta ( stock A)
①A. 0.6556 0.06
②B. 0.5296 0.06
③C. O.5296 2.2
A. ①B. ②C. ③
【正确答案】 C
【答案解析】correlation coefficient = 0.00109/(0.0205 × 0.1004) = 0.5296.
beta of stock A = covariance between stock and the market/variance of the market
Beta = 0.002/0.0301 2 =2.2.