Exercise:
　　Assume the annual volatility of the market is 20% and a stock';s annual volatility is 30%. The beta of the stock is 1.2. What are the correlation and covariance, respectively, between the stock and the market?
 


 

　　解析：
　　Answer: A

Explanation:   


 

　　知识点：
　　Covariance and Correlation
　　Covariance is the expected value of the product of the deviations of two random variables from their respective expected values.

                                         

　　Correlation measures the strength of the linear relationship between two random variables. It ranges from -1 to +1.
 

　　If X and Y are independent random variables:
 
　　If X and Y are not independent:
 

 
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