题目
A risk manager gathers five years of historical returns to calculate the Spearman rank correlation coefficient for stocks X and Y. The stock returns for X and Y from 2010 to 2014 are as follows:「huixue_img/importSubject/1564169387815079936.png」What is the Spearman rank correlation coefficient for the stock returns of X and Y?
选项
A.-0.7
B.-0.3
C.0.3
D.0.7
答案
A
解析
The following table illustrates the calculations used to determine the sum of squared ranking deviations:
「huixue_img/importSubject/1564169387857022976.png」
Thus, the Spearman rank correlation coefficient is -0.7:「huixue_img/importSubject/1564169387894771712.png」