Question
The following table contains the monthly returns for three UK stocks: Month end GlaxoSmithKline (GSK) Royal Bank of Scotland (RBS) Tesco (TSCO) July 0.53% -14.54%
The following table contains the monthly returns for three UK stocks:
| Month end | GlaxoSmithKline (GSK) | Royal Bank of Scotland (RBS) | Tesco (TSCO) |
| July | 0.53% | -14.54% | -1.84% |
| August | 3.11% | 19.15% | 9.95% |
| Sept | 1.38% | 2.45% | -2.41% |
| October | -0.83% | 6.35% | -1.32% |
The covariance between the monthly returns of GlaxoSmithKline (GSK) and the Royal Bank of Scotland (RBS) is 0.001197. GSKs monthly returns have a standard deviation 1.65%. What is the correlation coefficient between GSK and RBS over this period?
Any intermediate steps should be rounded to 4 or more decimal places. Round your final answer to 2 decimal places.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
The Handbook Of Portfolio Mathematics
Authors: Vince
1st Edition
0471757683, 978-0471757689
