Assume the Returns on Stock X Were Positive in January

Multiple Choice

Assume the returns on Stock X were positive in January, February, April, July, and November. During the other months, the returns on Stock X were negative. The returns on Stock Y were positive in January, April, May, July, August, and October, and negative the remaining months. Which one of the following correlation coefficients best describes the relationship between Stock X and Stock Y?

A) −1.0
B) −.5
C) 0
D) .5
E) 1.0