Which of the following statement is false?

Group of answer choices

The risk of a well$-$diversified portfolio depends on the market risk of the securities included in the portfolio.

Diversification can reduce portfolio risk even in the case when correlations across stock returns equal zero.

The variability of a well$-$diversified portfolio mostly reflects the contributions to risk from the standard deviations of the stocks within that portfolio.

If returns on two stocks tended to move in opposite directions, then the covariances and correlations on the two stocks would be negative.