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Westerlund and Narayan predictability test: Step-by-step approach using COVID-19 and oil price data

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journal contribution
posted on 01.01.2021, 00:00 authored by Susan SharmaSusan Sharma
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).

History

Journal

MethodsX

Volume

8

Issue

Issue in Progress

Article number

101201

Publisher

Elsevier BV

Location

Amsterdam, Netherlands

ISSN

2215-0161

eISSN

2215-0161

Language

eng

Publication classification

C1 Refereed article in a scholarly journal; C Journal article

Copyright notice

2020, The Author