PONE-D-24-60406A Study of Systemic Risk Spillovers in Asian Emerging Markets and Chinese Stock MarketPLOS ONE

Dear Dr. Fang,

Thank you for submitting your manuscript to PLOS ONE.  In view of the referees’ feedback and my own reading of your paper, we invite you to address all issues noted below. Although the reviewers consider that the manuscript requires a minor revision, we believe that these issues are major in nature, requiring more than a superficial or minor revision. We have particular concerns about the robustness of the methods and analysis and the soundness and basis of the conclusions. On the other hand, we also consider that the literature review section is not deep enough. 

Since our point of view the paper has an important potential to be consider for publication on this journal, so we invite you to address the issues noted below and resubmit the manuscript for a new revision round. 

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Juan E. Trinidad-Segovia, PhD

Section 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: Partly

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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: Yes

Reviewer #2: Yes

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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: No

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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 manuscript explores the systemic risk spillovers between China's Shanghai Stock Exchange and seven Asian emerging markets, which is a relevant and timely topic in the context of global financial integration. The study uses appropriate methodologies and provides some valuable insights. However, there are several areas that need improvement before it can be considered for publication.

1. The literature review, while covering some relevant studies, could be more in-depth. It mainly focuses on introducing the concepts of risk spillover and the methodologies used in previous research. However, it fails to provide a more critical analysis of how these previous studies (see, e.g., https://doi.org/10.1016/j.ememar.2023.101020; https://doi.org/10.1016/j.irfa.2023.102518) have shaped the current research question and what new contributions this study aims to make in more detail. There is also a lack of discussion on the potential differences in risk spillover mechanisms across different economic and financial environments.

2. The author studies the risk spillover effects between pairwise markets using CoVaR. However, I would like to suggest the author construct a CoVaR-based network from a systemic perspective to comprehensively explore the risk spillover effects among China’s stock markets and seven Asian emerging markets.

3. The author explores the risk spillover effects between China and seven Asian emerging markets. However, the driving mechanisms or influencing factors of these risk spillover effects are not deeply investigated. It is recommended that the author conduct additional empirical research or analysis in this regard.

Reviewer #2: Abstract Clarity: The abstract contains minor phrasing issues. For example, the sentence “the study fills a gap in understanding the asymmetric across these markets” is unclear and should be revised for better clarity and readability.

Dataset selection: The rationale for market selection aligns with MSCI classifications, but the exclusion of certain regional markets should be more clearly justified.

Risk Spillover Dynamics: While the study analyzes risk spillovers broadly, it would benefit from examining how risks propagate during specific financial crises. Although global events such as COVID-19 and the Russia-Ukraine war are mentioned, their specific impacts on systemic risk dynamics require more detailed exploration.

Literature and Emerging Markets: The literature review could be expanded to include recent studies on systemic risk and financial contagion, particularly in emerging markets.

Visual Aids: Incorporating visual aids like influence networks to illustrate risk spillovers would improve the clarity and accessibility of the findings.

Policy Recommendations: While the study suggests strengthening macroprudential frameworks, the recommendations are generic. The findings should be used to propose specific policies to mitigate systemic vulnerabilities in the region.

Typographical Errors: The paper includes typographical errors, such as inconsistencies in notations. For instance, the price at day t is referred to as Rt in the text but is denoted as P_t in the equations.

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Reviewer #1: No

Reviewer #2: No

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A Study of Systemic Risk Spillovers in Asian Emerging Markets and Chinese Stock Market

PONE-D-24-60406R1

Dear Dr. Fang,

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,

Juan E. Trinidad-Segovia, PhD

Section 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 #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 #2: Yes

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

Reviewer #2: Yes

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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 #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 #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 #2: (No Response)

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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 #2: No

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