PONE-D-21-17518

Impact Persistence of Stock Market Risks on Commodity Market Risks

PLOS ONE

Dear Dr. Cui,

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Junhuan Zhang, PhD

Academic Editor

PLOS ONE

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Reviewers' comments:

Reviewer's Responses to Questions

Comments to the Author

1. Is the manuscript technically sound, and do the data support the conclusions?

The manuscript must describe a technically sound piece of scientific research with data that supports the conclusions. Experiments must have been conducted rigorously, with appropriate controls, replication, and sample sizes. The conclusions must be drawn appropriately based on the data presented.

Reviewer #1: Yes

Reviewer #2: Yes

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2. Has the statistical analysis been performed appropriately and rigorously?

Reviewer #1: Yes

Reviewer #2: Yes

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3. Have the authors made all data underlying the findings in their manuscript fully available?

The PLOS Data policy requires authors to make all data underlying the findings described in their manuscript fully available without restriction, with rare exception (please refer to the Data Availability Statement in the manuscript PDF file). The data should be provided as part of the manuscript or its supporting information, or deposited to a public repository. For example, in addition to summary statistics, the data points behind means, medians and variance measures should be available. If there are restrictions on publicly sharing data—e.g. participant privacy or use of data from a third party—those must be specified.

Reviewer #1: No

Reviewer #2: No

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4. Is the manuscript presented in an intelligible fashion and written in standard English?

PLOS ONE does not copyedit accepted manuscripts, so the language in submitted articles must be clear, correct, and unambiguous. Any typographical or grammatical errors should be corrected at revision, so please note any specific errors here.

Reviewer #1: Yes

Reviewer #2: Yes

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5. Review Comments to the Author

Please use the space provided to explain your answers to the questions above. You may also include additional comments for the author, including concerns about dual publication, research ethics, or publication ethics. (Please upload your review as an attachment if it exceeds 20,000 characters)

Reviewer #1: This paper analyses the impact persistence of volatility spillover and illiquidity spillover from the stock market to commodity markets for the case of China. This manuscript addresses an interesting question. However some revisions should be performed in order to elevate the overall quality of the paper. I present my suggestions and comments below.

1. I would suggest to revise the title, emphasizing the geography (China) of your paper.

2. I would suggest to substantially rewrite the Abstract in order to clearly emphasize what exactly is the main contribution of this paper.

Please be more concrete and assertive while writing the Abstract. For example, how the first two sentences of the Abstract (see below) help the reader to comprehend what is the paper about?:

<<the a="" among="" are="" been="" burgeoning="" emphasized:="" financial="" fluctuation="" has="" in="" investigated="" market="" markets="" number="" of="" return="" risk="" risks="" spillover="" studies.="" the="" two="" types="">>

This statement generates more questions than answers. For example, why are just two types of risks (volatility and liquidity) emphasized in the literature? What is about the credit risk, reputation risk, operational risk, etc.?

Then you continue: <<against backdrop="" this="">>. What exactly is this backdrop you are talking about? In my view, in the first two sentences of the Abstract you have not managed to duly explain this point.

It is not clear what do you mean under the 10 periods, during which the stock market volatility shock persists in the corn and soybean markets.

I would suggest indicating the time frame(s) of your empirical study in the Abstract.

3. The literature survey must be considerably improved in order to position the paper among the related state of the art. I suggest to include a separate section providing a thorough literature review, focusing on the most recent studies. Authors may consider to address the following papers among many others:

Ahmed, A.D., Huo, R. (2021), Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China. Energy Economics, 93, 104741, https://doi.org/10.1016/j.eneco.2020.104741.

Frömmel, M., Han, X., Li, Y., Vigne, S. (2021), Low liquidity beta anomaly in China. Emerging Markets Review, 100832, https://doi.org/10.1016/j.ememar.2021.100832.

Umar, Z., Gubareva, M., and Teplova, T. (2021), The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels. Resources Policy, 73, 102164. https://doi.org/10.1016/j.resourpol.2021.102164

Umar, Z., Gubareva, M., Naeem, M., and Akhter, A. (2021), Return and volatility transmission between oil price shocks and agricultural commodities. PLOS ONE. 16(2): e0246886. https://doi.org/10.1371/journal.pone.0246886.

Zhang, Y., Ding, S. (2021), Liquidity effects on price and return co-movements in commodity futures markets. International Review of Financial Analysis, 76, 101796, https://doi.org/10.1016/j.irfa.2021.101796.

4. While describing on page 2 (lines 40-45) the main distinguishing features of your research, you abruptly continue with the following text:

<<furthermore, advanced="" also="" comparable="" economies="" in="" is="" our="" research="" risk="" spillover="" study="" the="" with="">>

Please, use the “bridge” phrase to prepare the reader for changing of the direction of your thought from presenting distinguishing features of your research to describing the similarities of your study with the already published research papers.

Moreover, I suggest you to explain in what extent your paper is comparable to the paper by Andrikopoulos et al., 2014, and other more recent papers on this topic.

5. Please explain what is the advantage of the VAR model in the context of your research. Why don’t you employ other alternatives, such as Markov switching model and/ or multiplicative error model (MEM), among others?

6. Please explain what is the advantage of the Amihud measure of liquidity? Why don’t you utilize other alternatives? Authors may address the following recent studies on liquidity measures, while addressing this point:

Díaz, A. and Escribano, A. (2020), Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. Research in International Business and Finance, 51, 101079, https://doi.org/10.1016/j.ribaf.2019.101079.

Cakici, N. and Zaremba, A. (2021), Liquidity and the cross-section of international stock returns. Journal of Banking & Finance, 127, 106123, https://doi.org/10.1016/j.jbankfin.2021.106123.

Gubareva, M. (2021), Covid-19 and high yield emerging market bonds: insights for liquidity risk management. Risk Management. https://doi.org/10.1057/s41283-021-00074-7

Kang, W. and Zhang, H. (2014), Measuring liquidity in emerging markets, Pacific-Basin Finance Journal, 27, pp 49-71, https://doi.org/10.1016/j.pacfin.2014.02.001.

7. Are the results of your paper are robust? I suggest to address the robustness of the results.

8. While the results are quite interesting, there is no thorough discussion of the results. Authors should provide economic interpretation of the obtained results and explain what are the implications of this study, how this study could be used by practitioners, by policy-makers etc.. I suggest to introduce the additional section to address this point.

Summarizing, I found the subject of this research to be interesting. However, Authors need to elevate the quality of this paper to be eligible for publishing in PLoS One in accordance with the suggestions above.

I thank the Authors for the opportunity to consider this manuscript.

Sincerely,

Reviewer</furthermore,></against></the>

Reviewer #2: The manuscript is interesting and easy to read. However, I would like to ask the author(s) to write "volatility" and "liquidity" consistently, whether volatility or liquidity will be written/explained first (form Abstract to Conclusions). Please read the Abstract, for example. I suggest the author(s) to use several volatility proxies and please write the corresponding formulas explicitly. Also, please involve volatility clustering and/or leverage effect since this deals with return-volatility relationship. In addition, it would be better to not only use Pearson's correlation but also Kendall's tau.

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Reviewer #1: No

Reviewer #2: No

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Attachments

Attachment

Submitted filename: Report PONE-D-21-17518.pdf

Impact Persistence of Stock Market Risks in Commodity Markets: Evidence from China

PONE-D-21-17518R1

Dear Dr. Cui,

We’re pleased to inform you that your manuscript has been judged scientifically suitable for publication and will be formally accepted for publication once it meets all outstanding technical requirements.

Within one week, you’ll receive an e-mail detailing the required amendments. When these have been addressed, you’ll receive a formal acceptance letter and your manuscript will be scheduled for publication.

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Kind regards,

Junhuan Zhang, PhD

Academic Editor

PLOS ONE

Additional Editor Comments (optional):

Reviewers' comments:

Reviewer's Responses to Questions

Comments to the Author

1. If the authors have adequately addressed your comments raised in a previous round of review and you feel that this manuscript is now acceptable for publication, you may indicate that here to bypass the “Comments to the Author” section, enter your conflict of interest statement in the “Confidential to Editor” section, and submit your "Accept" recommendation.

Reviewer #1: All comments have been addressed

Reviewer #2: All comments have been addressed

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2. Is the manuscript technically sound, and do the data support the conclusions?

The manuscript must describe a technically sound piece of scientific research with data that supports the conclusions. Experiments must have been conducted rigorously, with appropriate controls, replication, and sample sizes. The conclusions must be drawn appropriately based on the data presented.

Reviewer #1: Yes

Reviewer #2: Yes

**********

3. Has the statistical analysis been performed appropriately and rigorously?

Reviewer #1: Yes

Reviewer #2: Yes

**********

4. Have the authors made all data underlying the findings in their manuscript fully available?

The PLOS Data policy requires authors to make all data underlying the findings described in their manuscript fully available without restriction, with rare exception (please refer to the Data Availability Statement in the manuscript PDF file). The data should be provided as part of the manuscript or its supporting information, or deposited to a public repository. For example, in addition to summary statistics, the data points behind means, medians and variance measures should be available. If there are restrictions on publicly sharing data—e.g. participant privacy or use of data from a third party—those must be specified.

Reviewer #1: (No Response)

Reviewer #2: Yes

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5. Is the manuscript presented in an intelligible fashion and written in standard English?

PLOS ONE does not copyedit accepted manuscripts, so the language in submitted articles must be clear, correct, and unambiguous. Any typographical or grammatical errors should be corrected at revision, so please note any specific errors here.

Reviewer #1: (No Response)

Reviewer #2: Yes

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6. Review Comments to the Author

Please use the space provided to explain your answers to the questions above. You may also include additional comments for the author, including concerns about dual publication, research ethics, or publication ethics. (Please upload your review as an attachment if it exceeds 20,000 characters)

Reviewer #1: This paper deals with an interesting and timely topic. The methodology adopted is suitable and adequate for the topic under investigation. The section of empirical findings is well written and presents interesting and convincing discussions. The robustness checks are provided. Conclusion section of the paper is justified by the results. All my recommendations and comments were considered by the Authors and included in the revised

manuscript.

I thank the Authors for the opportunity to consider their work.

Sincerely,

Reviewer

Reviewer #2: The authors have addressed all my comments. Thank you. It would be better to state/remark for other possibility of modeling with extension of GARCH.

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7. PLOS authors have the option to publish the peer review history of their article (what does this mean?). If published, this will include your full peer review and any attached files.

If you choose “no”, your identity will remain anonymous but your review may still be made public.

Do you want your identity to be public for this peer review? For information about this choice, including consent withdrawal, please see our Privacy Policy.

Reviewer #1: No

Reviewer #2: No