Westerlund and Narayan predictability test: Step-by-step approach using COVID-19 and oil price data Sharma, Susan Sunila 2021, Westerlund and Narayan predictability test: Step-by-step approach using COVID-19 and oil price data, MethodsX, vol. 8, no. Issue in Progress, doi: 10.1016/j.mex.2020.101201. Attached Files Name Description MIMEType Size Downloads Title Westerlund and Narayan predictability test: Step-by-step approach using COVID-19 and oil price data Author(s) Sharma, Susan Sunila orcid.org/0000-0002-7297-1557 Journal name MethodsX Volume number 8 Issue number Issue in Progress Article ID 101201 Total pages 6 Publisher Elsevier BV Place of publication Amsterdam, Netherlands Publication date 2021-01 ISSN 2215-0161 2215-0161 Keyword(s) predictability COVID-19 oil price Summary In this note, we provide a step-by-step approach of Westerlund and Narayan (WN, 2012, 2015) predictability test using COVID-19 and oil price data. This is an important exercise because the WN model addresses three salient features of time series data, namely persistency, endogeneity and heteroskedasticity. We consider COVID-19 and oil price data as predictors of stock market returns for four Asian countries to demonstrate the applicability of the WN (2012, 2015) predictability approach.• This note demonstrates a step-by-step approach of the WN (2012, 2015) predictability test.• WN model accommodates three salient features of time-series data, namely persistency, endogeneity, and heteroskedasticity.• COVID-19 and oil price does not significantly predict stock returns of Japan, Russia, and Singapore (except in the case of South Korea). Language eng DOI 10.1016/j.mex.2020.101201 Indigenous content off Field of Research 0912 Materials Engineering 1403 Econometrics HERDC Research category C1 Refereed article in a scholarly journal ERA Research output type C Journal article Copyright notice ©2020, The Author Free to Read? Yes Persistent URL http://hdl.handle.net/10536/DRO/DU:30147265 Document type: Journal Article Collections: Faculty of Business and Law Open Access Collection Department of Finance Related Links Link Description Link to full-text (open access)     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au. Versions Version Filter Type Fri, 15 Jan 2021, 07:37:58 EST Sat, 16 Jan 2021, 04:01:45 EST Mon, 18 Jan 2021, 07:02:50 EST Fri, 05 Feb 2021, 15:11:48 EST Sat, 06 Feb 2021, 05:03:32 EST Thu, 18 Mar 2021, 19:17:23 EST Thu, 18 Mar 2021, 19:20:08 EST Fri, 19 Mar 2021, 14:54:14 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 0 times in Scopus Search Google Scholar Access Statistics: 16 Abstract Views, 1 File Downloads  -  Detailed Statistics Created: Fri, 05 Feb 2021, 15:11:48 EST

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