... between pairs of variables.
Table 24.2 Correlation matrix for percentage changes in the value of Sony, two market indices, and two variables proposed by Fama and French.
| Sony % Change | Market % Change | Dow % Change | Small-Big | High-Low | |
|---|---|---|---|---|---|
| Sony % Change | 1.000 | 0.544 | 0.461 | 0.327 | − 0.208 |
| Market % Change | 0.544 | 1.000 | 0.910 | 0.252 | − 0.227 |
| Dow % Change | 0.461 | 0.910 | 1.000 | 0.009 | − 0.052 |
| Small-Big | 0.327 | 0.252 | 0.009 | 1.000 | − 0.347 |
| High-Low | − 0.208 | − 0.227 | − 0.052 | − 0.347 | 1.000 |
We put the response in the first row so that this row shows the correlation between it and each possible explanatory variable. The possible explanatory variables have correlations with magnitudes from 0.2 to near 0.5 with the percentage change in Sony. The correlation matrix also ...
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