Consider the following information:

State of economy Probability of state Return of Stock A Return of Stock B

Good $0\mathrm{.}238\mathrm{.}7\%13\%$

Normal $0\mathrm{.}520\mathrm{.}6\%19\mathrm{.}7\%$

Poor $0\mathrm{.}3-43\mathrm{.}4\%7\mathrm{.}2\%$

What is the correlation between the returns of the two stocks?