Over the Past 30 Years, the Sample Standard Deviations of the Rates

Multiple Choice

Over the past 30 years, the sample standard deviations of the rates of return for stock X and Stock Y were 0.20 and 0.12, respectively. The sample covariance between the returns of X and Y is 0.0096. When testing whether the correlation coefficient differs from zero, the value of the test statistic is t₂₈ = 2.31. At the 5% significance level, the critical value is t_0.025,28 = 2.048. The conclusion to the hypothesis test is ________.

A) to reject H₀; we can conclude that the correlation coefficient differs from zero
B) to reject H₀; we cannot conclude that the correlation coefficient differs from zero
C) do not reject H₀; we can conclude that the correlation coefficient differs from zero
D) do not reject H₀; we cannot conclude that the correlation coefficient differs from zero