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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.

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Title Westerlund and Narayan predictability test: Step-by-step approach using COVID-19 and oil price data
Author(s) Sharma, Susan SunilaORCID iD for 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
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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.