? asked in 商業與財經投資 · 1 decade ago

股票的Correlation計算(送20點)

Calculate the correlation between the stock and the S&P 500 (market proxy portfolio) if the stock has a beta of 1.2 and the standard deviation of the market is 12.5 percent.

Update:

6.Calculate the correlation between the stock and the S&P 500 (market proxy portfolio) if the stock has a beta of 1.2 and a standard deviation of 15.25 percent. The standard deviation of the market is 12.5 percent.

1 Answer

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  • 寒竹
    Lv 4
    1 decade ago
    Favorite Answer

    板大...你的題目沒有股票的standard deviation嗎?

    2006-02-11 19:38:55 補充:

    beta = covariance(stock,S&P 500) / (standard deviation of the market)^2 = 1.2

    the correlation between the stock and the S&P 500

    = covariance(stock,S&P 500) / [(standard deviation of the market) * (standard deviation of the stock)]

    = beta * (standard deviation of the market) / (standard deviation of the stock)

    = 1.2 * 0.125 / 0.1525

    = 0.9836

    Source(s): 自己
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