DOLLAR AND THE STOCK MARKET: AN APPROACH USING THE HAAR WAVELET
| Subject | Analysis |
| Title | DOLLAR AND THE STOCK MARKET: AN APPROACH USING THE HAAR WAVELET |
| Author(s) | ALDO ARTUR BELARDI AND RENATO AGUIAR |
| Keywords | Haar Wavelet, Stock Market, Overreaction, Underreaction, Dollar |
| Abstract | This paper presents a methodology to detect significant changes in the price of U.S. dollar in regarding to the stock exchange using the Haar wavelet as well as statistical analyzes of several parameters. The data used arise of information provided by the stock market, both for the U.S. dollar and for the stock market. The results show that the applied methodology through Haar wavelet, are able to inform in advance the trend of the stock market through a single variable, the U.S. dollar. |