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    Calculate Correlation Coefficient of Stock Returns

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    The data to be used is included in the sheet named as Data. The data consist of the closing prices for each month for the five-year period from June 1998 through June 2003.

    What is correlation coefficient? Compute the correlation coefficient of the (1) two stock returns and (2) the S&P 500 index returns with each stock's returns.
    All values are prices, except the one-year Treasury, which is stated as a yield.

    Stocks Index Risk-Free
    MONTH ATT MICROSOFT S&P500 1-YR TREASURY
    Jun-98 190.42 27.09 1133.84 5.41
    Jul-98 202.08 27.48 1120.67 5.36
    Aug-98 167.08 23.98 957.28 5.21
    Sep-98 194.79 27.52 1017.01 4.71
    Oct-98 208.33 26.47 1098.67 4.12
    Nov-98 207.29 30.50 1163.63 4.53
    Dec-98 252.50 34.67 1229.23 4.52
    Jan-99 302.50 43.75 1279.64 4.51
    Feb-99 273.75 37.53 1238.33 4.70
    Mar-99 266.04 44.81 1286.37 4.78
    Apr-99 252.50 40.66 1335.18 4.69
    May-99 277.50 40.34 1301.84 4.85
    Jun-99 279.06 45.09 1372.71 5.10
    Jul-99 260.63 42.91 1328.72 5.03
    Aug-99 225.00 46.28 1320.41 5.20
    Sep-99 217.50 45.28 1282.71 5.25
    Oct-99 233.75 46.28 1362.93 5.43
    Nov-99 279.38 45.52 1388.91 5.55
    Dec-99 254.06 58.38 1469.25 5.84
    Jan-00 263.75 48.94 1394.46 6.12
    Feb-00 246.88 44.69 1366.42 6.22
    Mar-00 281.56 53.13 1498.58 6.22
    Apr-00 233.13 34.88 1452.43 6.15
    May-00 173.44 31.28 1420.60 6.33
    Jun-00 158.13 40.00 1454.60 6.17
    Jul-00 154.69 34.91 1430.83 6.08
    Aug-00 157.50 34.91 1517.68 6.18
    Sep-00 146.88 30.16 1436.51 6.13
    Oct-00 115.94 34.44 1429.40 6.01
    Nov-00 98.13 28.69 1314.95 6.09
    Dec-00 86.25 21.69 1320.28 5.60
    Jan-01 119.95 30.53 1366.01 4.81
    Feb-01 115.00 29.50 1239.94 4.68
    Mar-01 106.50 27.34 1160.33 4.30
    Apr-01 111.40 33.88 1249.46 3.98
    May-01 105.85 34.59 1255.82 3.78
    Jun-01 110.00 36.50 1224.42 3.58
    Jul-01 101.05 33.10 1211.23 3.62
    Aug-01 95.20 28.53 1133.58 3.47
    Sep-01 96.50 25.59 1040.94 2.82
    Oct-01 76.25 29.08 1059.78 2.33
    Nov-01 87.45 32.11 1139.45 2.18
    Dec-01 90.70 33.13 1148.08 2.22
    Jan-02 88.50 31.86 1130.20 2.16
    Feb-02 77.70 29.17 1106.73 2.23
    Mar-02 78.50 30.16 1147.39 2.57
    Apr-02 65.60 26.13 1076.92 2.48
    May-02 59.85 25.46 1067.14 2.35
    Jun-02 53.50 27.35 989.82 2.20
    Jul-02 50.90 23.99 911.62 1.96
    Aug-02 61.10 24.54 916.07 1.76
    Sep-02 60.05 21.87 815.28 1.72
    Oct-02 65.20 26.74 885.77 1.65
    Nov-02 28.04 28.84 936.31 1.49
    Dec-03 26.11 25.85 879.82 1.45
    Jan-03 19.48 23.73 855.70 1.36
    Feb-03 18.54 23.70 841.15 1.30
    Mar-03 16.20 24.21 848.18 1.24
    Apr-03 17.05 25.56 916.92 1.27
    May-03 19.49 24.61 963.59 1.18
    Jun-03 19.25 25.64 974.50 1.01

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    https://brainmass.com/business/accounting/calculate-correlation-coefficient-stock-returns-370591

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