From past experience, you know that the dependence in the returns on two assets

tends to increase when the market takes a down turn (i.e. when both assets end up having quite

large negative returns). However, you have noticed that the dependence does not increase in a

similar fashion when the market does quite well (i.e. when the assets end up having reasonably large positive returns). In other words, the joint behavior of the assets in the lower left tail (both have negative values) is not symmetric relative to the joint behavior in the upper right tail (both have positive values). Do you feel that the correlation between the returns on the two assets would be an appropriate measure of the overall dependence in the two assets?

a) Yes b) No

Please provide a BRIEF (one or two sentences will suffice) justification of your choice.