Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model
Round 1
Reviewer 1 Report
Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model
General remarks:
The paper is well-written and has the potential to contribute to the literature. However, the authors need to incorporate the following:
- The authors should compare their results with the existing studies in the analysis part.
- If possible authors should provide the robustness of the results.
Author Response
Please see our responses in the attached file. Thank you for your comments.
Author Response File: 
Author Response.docx
Reviewer 2 Report
I enjoyed reading your paper, the following is my suggestions for bettering this paper.
1. Please beautify Fig1 & 2 to make it more reader-friendly. There is clearly certain misplacement in legends.
2. In this article, the data of oil prices uncertainty, equity price index and the other 6 macro variables are all directly downloaded from previous researches, and so are the codes of the GVAR model. Please emphasize the importance and marginal contribution of this paper to the current scholarship.
3. Please add a descriptive/intuitive display of the data structure and summary.
4. Please correct some inconsistencies in reference formats.
5. I see that in analysis of empirical results, this paper introduces some practical implication, such as the suggestions from an investment perspective. Please add some practical and realistic background in Introduction to show the prominence of this paper.
Author Response
Please see our responses in the attached file. Thank you for your comments.
Author Response File: Author Response.docx
Reviewer 3 Report
1. Another round of proof-reading is required. To name a few examples,
-pg. 2, "Nguyen et al., (2021), has proposed..." -> "Nguyen et al., (2021), have proposed..."
-pg. 3, the paragraph underneath Eq (1) needs commas to make the writing clear.
-pg. 6, "For future research, consdering" -> "For future research, considering"
2. It is unclear which countries belong to developed and emerging country groups. Please list them by country group and describe how they are defined. For instance, Korea was a developing country, but now it is a high-income country, according to the World Bank. Then which group should Korea belong to within the sample year?
3. Based on the sample years, from 1979 to 2021, it will be useful to divide the samples by decade and show different parameters. The reasoning is that the underlying relationship between oil shocks and stock prices will be different, say from 1980s versus 2020s. For instance, the Korean economy, which is a country discussed in the paper, in the 1980s is fundamentally different from the 2020s. Also, in the late 1990s, the country went through the Asian Financial Crisis, which would affect the parameter.
4. The relationship between the oil shock/uncertainty and stock prices is one of the widely examined topics in the literature. Hence, the paper needs stronger discussions of the results and policy implications. For instance, the paper argues in pg. 6 that "Hence, authorities in oil-rich as well as emerging economies, should be ready to undertake more comprehensive expansionary policy measures in the wake of rising oil price uncertainty.". The findings from the paper do not provide evidence for this policy conclusion. Also, since the findings are by either country or development level, discussions and policy implications should correspond with the same level to analysis.
Author Response
Please see our responses in the attached file. Thank you for your comments.
Author Response File: Author Response.docx
Round 2
Reviewer 3 Report
Thank you for address my previous comments. Please go through one more round of text editing before publication.
For instance, on page 3, "Given this, the large majority of the above-mentioned studies relies on univariate or bivariate..." -> "Given this, the large majority of the above-mentioned studies rely on univariate or bivariate..."
Author Response
Thank you for your comments and your careful reading of our paper, please see attached response file.
Author Response File: Author Response.docx
