Next Article in Journal
Application of Taylor Rule Fundamentals in Forecasting Exchange Rates
Previous Article in Journal
The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties
Previous Article in Special Issue
Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic
 
 
Article
Peer-Review Record

Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets

by Hassan Zada 1, Arshad Hassan 1 and Wing-Keung Wong 2,3,4,*
Reviewer 1: Anonymous
Reviewer 2: Anonymous
Reviewer 3:
Submission received: 31 March 2021 / Revised: 1 June 2021 / Accepted: 10 June 2021 / Published: 16 June 2021
(This article belongs to the Special Issue Asset Pricing, Investment, and Trading Strategies)

Round 1

Reviewer 1 Report

  1. Why is the data used for the research not covering the time of the COVID-19 pandemic after February 2020? A great contribution to the study would be to show the impact on the research results of taking into account the time of instability, high uncertainty which was undoubtedly the time of the new coronavirus pandemic. It is also interesting what was the motivation of the authors to start the study from 2001? Was the only motivation of such a period for the study that the study covered 20 full years?
  2. It is also worth extending the literature review to include new research examining jumps in the stock market during the COVID-19 pandemic such as Baker et al. [2020], Sharif et al. [2020], Apergis&Apergis [2020], Uddin et al. [2021], among others.
  3. Please consider adding research hypotheses in the Methodology section.
  4. In my opinion, the author should move most of the tables, figures presenting the analysis's results to the Appendix. In the Research results section, the obtained results should be presented clearly, along with their interpretation and reference to other studies' results.
  5. In the Discussion section authors do not compare the obtained results with the previously published studies on the topic. It should be completed.

 

References

Apergis, N., & Apergis, E. (2020). The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model. Asia-Pacific Journal of Accounting & Economics, 1-9.

Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M., & Viratyosin, T. (2020). The unprecedented stock market reaction to COVID-19. The Review of Asset Pricing Studies, 10(4), 742-758.

Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 101496.

Uddin, M., Chowdhury, A., Anderson, K., & Chaudhuri, K. (2021). The effect of COVID–19 pandemic on global stock market volatility: Can economic strength help to manage the uncertainty?. Journal of Business Research, 128, 31-44.

Author Response

Thank you very much for your valuable comments and feedback, which have helped us to improve this manuscript significantly, making it appropriate for your readership.

We would also like to send our appreciation to you for your time and efforts in reviewing our paper. We would also like to send our appreciation to you for your time and efforts in reviewing our paper and for providing excellent comments. Below are our responses to your helpful comments and suggestions.

 

Question 1. Does the introduction provide sufficient background and include all relevant references?        (must be improved)

 

Answer 1:  Thank you very much for your advice. We have improved the introduction to provide sufficient background and include all relevant references in our revised manuscript.

 

Question 2. Is the research design appropriate? (can be improved)

 

Answer 2:  Thank you very much for your advice. We have improved the research design in our revised manuscript.

 

Question 3. Are the methods adequately described? (can be improved)

 

Answer 3:  Thank you very much for your advice. We have described the methods adequately in our revised manuscript.

 

Question 4. Are the results clearly presented? (can be improved)

 

Answer 4:  Thank you very much for your advice. We have improved the presentation of our results to make them clearer in our revised manuscript.

 

Question 5. Are the conclusions supported by the results? (must be improved)

 

Answer 5:  Thank you very much for your advice. We have improved the conclusions supported by our results to point out the contributions and benefits of the paper in our revised manuscript.

 

Question 6. Moderate English changes required

 

Answer 6:  Thank you very much for your advice. We have read our paper carefully, correct all the grammatical mistakes and structural problems, and polished our paper entirely in our revised manuscript.

 

Question 7. Why is the data used for the research not covering the time of the COVID-19 pandemic after February 2020? A great contribution to the study would be to show the impact on the research results of taking into account the time of instability, high uncertainty which was undoubtedly the time of the new coronavirus pandemic. It is also interesting what was the motivation of the authors to start the study from 2001? Was the only motivation of such a period for the study that the study covered 20 full years?

 

 

Answer 7:  Thank you very much for your advice. Kindly note that our title is “Do jumps matter in equity market returns and integrated volatility: A comparison of Asian Developed and Emerging Markets”, not “Do jumps matter in equity market returns and integrated volatility: A comparison of Asian Developed and Emerging Markets for COVID-19 period”. And it will take a lot of time for us to redo our analysis to cover the COVID-19 period. Thus, we prefer to keep it as it is and the extension of our paper could cover the COVID-19 period. We have addressed the issue in the conclusion section of our revised manuscript.

 

Question 8. It is also worth extending the literature review to include new research examining jumps in the stock market during the COVID-19 pandemic such as Baker et al. [2020], Sharif et al. [2020], Apergis&Apergis [2020], Uddin et al. [2021], among others.

 

Answer 8:  Thank you very much for your advice. We have extended the literature review to include new research examining jumps in the stock market during the COVID-19 pandemic and we have cited Baker et al. [2020], Sharif et al. [2020], Apergis&Apergis [2020], Uddin et al. [2021], and others in our revised manuscript.

 

Question 9. Please consider adding research hypotheses in the Methodology section.

 

Answer 0:  Thank you very much for your advice. We have added research hypotheses in the Methodology section of our revised manuscript.

 

Question 10. In my opinion, the author should move most of the tables, figures presenting the analysis's results to the Appendix. In the Research results section, the obtained results should be presented clearly, along with their interpretation and reference to other studies' results.

 

Answer 10:  Thank you very much for your advice. We have moved most of the tables, figures presenting the analysis's results to the Appendix. We have presented the obtained results in the Research results section clearly, discussed the interpretation properly, and cited references of other studies' results properly in our revised manuscript.

 

Question 11. In the Discussion section authors do not compare the obtained results with the previously published studies on the topic. It should be completed.

 

Answer 11:  Thank you very much for your advice. We have compared our obtained results with the previously published studies on the topic in our revised manuscript.

 

We hope that you will find this manuscript suitable to be included in an upcoming issue of your publication.

 

Reviewer 2 Report

This paper covers an important and interesting topic.

The paper is well organized and the introduction provides a good motivation for the empirical analysis conducted in the next sections.

My overall opinion about this paper is positive.

I have however a minor and a major concern.

 

Minor aspect: in section 6, there is a sub-section 6.4 with  a tittle that should be removed.

 

Major aspect: I would like a stronger discussion of the evidence obtained in the empirical section. In some parts, the discussion is poor and can be improved, namely with a stronger link with previous studies on related topics.

 

Author Response

Thank you very much for your valuable comments and feedback, which have helped us to improve this manuscript significantly, making it appropriate for your readership.

We would also like to send our appreciation to you for your time and efforts in reviewing our paper. We would like to thank you for your following comments:

  • Does the introduction provide sufficient background and include all relevant references? (Yes)
  • Is the research design appropriate? (Yes)    
  • Are the methods adequately described? (Yes)
  • English language and style are fine/minor spell check required
  • The paper is well organized and the introduction provides a good motivation for the empirical analysis conducted in the next sections.
  • My overall opinion about this paper is positive.

 

We would also like to send our appreciation to you for your time and efforts in reviewing our paper and for providing excellent comments. Below are our responses to your helpful comments and suggestions.

 

Question 1. Are the results clearly presented? (can be improved)

 

Answer 2:  Thank you very much for your advice. We have improved the presentation of our results to make them clearer in our revised manuscript.

 

Question 2. Are the conclusions supported by the results? (can be improved)

 

Answer 2:  Thank you very much for your advice. We have improved the conclusions supported by our results to point out the contributions and benefits of the paper in our revised manuscript.

 

Question 3. English language and style are fine/minor spell check required

 

Answer 3:  Thank you very much for your advice. We have read our paper carefully, correct all the grammatical mistakes and structural problems, and polished our paper entirely in our revised manuscript.

 

Question 6. in section 6, there is a sub-section 6.4 with  a tittle that should be removed.

 

Answer 6:  Thank you very much for your advice. We have removed sub-section in our revised manuscript.

 

Question 7. I would like a stronger discussion of the evidence obtained in the empirical section. In some parts, the discussion is poor and can be improved, namely with a stronger link with previous studies on related topics.

 

 

Answer 7:  Thank you very much for your advice. We have made a stronger discussion of the evidence obtained in the empirical section. We have improved the discussion and made a stronger link with previous studies on related topics in our revised manuscript.

 

We hope that you will find this manuscript suitable to be included in an upcoming issue of your publication.

 

Author Response File: Author Response.pdf

Reviewer 3 Report

The paper titled "Do jumps matter in both equity market returns and integrated volatility: A comparison of Asian Developed and Emerging Markets " (Manuscript ID economies-1186371), focuses on a scientifically interesting subject. The methodological review provided on Swab Variance Jump is considered as appropriate and the data/methodologies provided were sufficiently described. Introduction should be more compact; clearly state the research gaps, the aim of your paper (it is a very long one) and research objectives. Figures are informative but the letters and symbols are very small, making it difficult for the reader to follow. I suggest that these are re-designed. In addition Figures 2.1-2.10 appear as if they are compressed. It would be a good idea to merge some of the figures so that they are not so many. Tables are well displayed and informative.

The main argument on this paper is the fact that Discussion and Conclusions are merged into one single chapter; these should be separately displayed and it is important to bring forward in the dedicated chapter “Discussion” on how the results presented can offer new insights and serve the research aim and objectives. Chapter “Conclusions” should include proper conclusions that will not debate on other research studies. The absence of clear conclusions has also led to an abstract which is rather unclear and that also needs to be rewritten (please remove references from the abstract!). Finaly, there is a Chapter 6.4 titled: ‘6.4 briefly state all the important findings in your paper’. I think that this should be incorporated in the chapter “Discussion”. Therefore, I recommend Major revision prior to publication in “economies” Journal.

Author Response

Thank you very much for your valuable comments and feedback, which have helped us to improve this manuscript significantly, making it appropriate for your readership.

We would also like to send our appreciation to you for your time and efforts in reviewing our paper. We would like to thank you for your following comments:

  • The paper titled "Do jumps matter in both equity market returns and integrated volatility: A comparison of Asian Developed and Emerging Markets " (Manuscript ID economies-1186371), focuses on a scientifically interesting subject.
  • The methodological review provided on Swab Variance Jump is considered as appropriate and
  • the data/methodologies provided were sufficiently described.
  • Figures are informative
  • Tables are well displayed and informative.
  • I recommend Major revision prior to publication in “economies” Journal.

 

Below are our responses to your helpful comments and suggestions.

 

Question 1. Does the introduction provide sufficient background and include all relevant references?        (must be improved)

 

Answer 1:  Thank you very much for your advice. We have improved the introduction to provide sufficient background and include all relevant references in our revised manuscript.

 

Question 2. Is the research design appropriate? (must be improved)

 

Answer 2:  Thank you very much for your advice. We have improved the research design in our revised manuscript.

 

Question 3. Are the methods adequately described? (must be improved)

 

Answer 3:  Thank you very much for your advice. We have improved the research design in our revised manuscript.

 

Question 4. Are the results clearly presented? (can be improved)

 

Answer 4:  Thank you very much for your advice. We have improved the presentation of our results to make them clearer in our revised manuscript.

 

Question 5. Are the conclusions supported by the results? (must be improved)

 

Answer 5:  Thank you very much for your advice. We have improved the conclusions supported by our results to point out the contributions and benefits of the paper in our revised manuscript.

 

Question 6. Moderate English changes required

 

Answer 6:  Thank you very much for your advice. We have read our paper carefully, correct all the grammatical mistakes and structural problems, and polished our paper entirely in our revised manuscript.

 

Question 7. Introduction should be more compact; clearly state the research gaps, the aim of your paper (it is a very long one) and research objectives. Figures are informative but the letters and symbols are very small, making it difficult for the reader to follow. I suggest that these are re-designed. In addition Figures 2.1-2.10 appear as if they are compressed. It would be a good idea to merge some of the figures so that they are not so many. Tables are well displayed and informative.

 

Answer 7:  Thank you very much for your advice. We have rewritten the Introduction to be more compact and clearly stated the research gaps and the aim of our paper and the research objectives.

 

Question 8. Figures are informative but the letters and symbols are very small, making it difficult for the reader to follow. I suggest that these are re-designed. In addition Figures 2.1-2.10 appear as if they are compressed. It would be a good idea to merge some of the figures so that they are not so many. Tables are well displayed and informative.

 

Answer 8:  Thank you very much for your advice. We have redesigned all the figures and made the letters and symbols bigger in all the figures. We have reduced the number of figures in our revised manuscript.

 

Question 9. The main argument on this paper is the fact that Discussion and Conclusions are merged into one single chapter; these should be separately displayed and it is important to bring forward in the dedicated chapter “Discussion” on how the results presented can offer new insights and serve the research aim and objectives. Chapter “Conclusions” should include proper conclusions that will not debate on other research studies. The absence of clear conclusions has also led to an abstract which is rather unclear and that also needs to be rewritten (please remove references from the abstract!). Finaly, there is a Chapter 6.4 titled: ‘6.4 briefly state all the important findings in your paper’. I think that this should be incorporated in the chapter “Discussion”. Therefore, I recommend Major revision prior to publication in “economies” Journal.

 

Answer 9:  Thank you very much for your advice. We have separated the Discussion and Conclusions into two chapters. We have dedicated chapter “Discussion” on how the results presented can offer new insights and serve the research aim and objectives and Chapter “Conclusions” to include proper conclusions that will not debate on other research studies. We have rewritten the conclusions and abstract and made the contents there clear. We have also incorporated Chapter 6.4 of our former version in the chapter “Discussion” in our revised manuscript.

 

We hope that you will find this manuscript suitable to be included in an upcoming issue of your publication.

Author Response File: Author Response.pdf

Round 2

Reviewer 1 Report

The authors took into account most of my comments. I accept the paper in the present form. However, the paper still lacks the justification for the choice of the research period. What was the motivation of the authors to start the study from 2001? It would be good if the authors add it to the paper.

Reviewer 2 Report

The new version of the papers answers my previous concerns.

Thus, in my opinion, the paper can be accepted for publication.

Reviewer 3 Report

The paper titled  "Do jumps matter in both equity market returns and integrated volatility: A comparison of Asian Developed and Emerging Markets " (Manuscript ID economies-1186371), has significantly been improved compared to the first submission. Authors have complied with the suggestions and corrections provided. Discussions, Conclusions and Abstract successfully display the major findings of the research paper. The English language level has also been improved compared to the previous submission. Therefore, I suggest that this paper should be published in its present form in “economies” journal.

Back to TopTop