Between 1990 and 2000, the Standard Deviation of the Returns

Multiple Choice

Between 1990 and 2000, the standard deviation of the returns for the NIKKEI and the DJIA indexes were 0.18 and 0.16, respectively, and the covariance of these index returns was 0.003. What was the correlation coefficient between the two market indicators?

A) 9.6
B) 0.0187
C) 0.1042
D) 0.0166
E) 0.343