Round 1

Reviewer 1 Report

The structure of the paper is good. The equations are well supported by references. Number of references and the citiation is appropriate

Abstract should be extended and reworded.  It does not describe the essence of the research work done. I suggest using less abbreviations to make it easier to read for a human

Line 127-129 I suggest rewording these

Equations (1) and (2) the variables are not explained correctly, only their dimension is givenl  LIne 144 describes p_t-1 which is not in the equations. please explain the meaning of '~'

Line 151 Wold theorem is not explained

Line 170 TCI not defined  

The description of data used in the research should be improved or supported by references, please describe table 2 in more detail, I suggest putting a reference to the tables in the main text as well

No reference to Figure1 in the text and no explanation on it, please improve

Figure 2 looks very strange, I suggest improving it

Results and interpretation: please consider section 3.3 Discussion to be a main section

In the conclusions I would like to read more about what is the contribution of this study to the topic

After fixing the comments above I suggest accepting the paper

Author Response

Reviewer 1

1. The structure of the paper is good. The equations are well supported by references. Number of references and the citation is appropriate.
   • Abstract should be extended and reworded.  It does not describe the essence of the research work done. I suggest using less abbreviations to make it easier to read for a human.

Thank you for the observation, we have reworded and extended the abstract.

• Line 127-129 I suggest rewording these

Thank you for the observation, we have reworded the same.

• Equations (1) and (2) the variables are not explained correctly, only their dimension is given. LIne 144 describes p_t-1which is not in the equations.

Thank you for the observation, we’ve amended between L140-155 in order to accommodate the observations.

• Line 151 Wold theorem is not explained

Thank you for the observation, we have explained the Wold Theorem.

• Line 170 TCI not defined  

Thank you for the observation, we have explained TCI.

• The description of data used in the research should be improved or supported by references, please describe table 2 in more detail

Thank you for the observation, however, Table 2 in this case doesn’t offer anything substantial to discuss other than the regular descriptive statistics figures.

• No reference to Figure1 in the text and no explanation on it, please improve

Thank you for the observation, it is mentioned in L194.

• Figure 2 looks very strange; I suggest improving it

Thank you for the observation, however, it get’s generated by the David Gabauer’s formula; we can’t change it manually. The same output comes in R and Python as well.

• Results and interpretation: please consider section 3.3 Discussion to be a main section

Thank you for the observation, it is now Section 4.

Reviewer 2 Report

dear authors,

your research is interesting and contextual, all references are new and relevant to the field you are investigating.

however, I recommend you the following:

1-     Add the context of your study to your abstract and the methods used.

2-     The introduction section and the methodology (until 2.2) need to be reformulated. (meaning the first 5 pages of your manuscript)

3-     In the theoretical background, please emphasize the literature gap you are filling throughout your research.

4-     The literature is literally copied from the published paper “Linkages between DeFi assets and conventional currencies: Evidence from the COVID-19 pandemic”  which you didn’t cite in your references!

5-     The methodology section is taken from one of the co-authors’ previously published paper in JRFM “Impact of Negative Tweets on Diverse Assets during Stressful Events: An Investigation through Time-Varying Connectedness “N. L. Balasudarsun * , Bikramaditya Ghosh and Sathish Mahendran

 

6-     Moreover, aren’t there any limitations for your research? Please point them out …what about your future work in this field, it would be interesting to add it into the implication paragraph at the end of your conclusion section.

good luck

Author Response

Reviewer 2

1. Dear authors,

your research is interesting and contextual, all references are new and relevant to the field you are investigating. However, I recommend you the following:

1.1. Add the context of your study to your abstract and the methods used.

Thank you for the observation, it is added between L84-120.

1.2. The introduction section and the methodology (until 2.2) need to be reformulated. (Meaning the first 5 pages of your manuscript).

Thank you for the observation, it is majorly reformulated between L45-172.

1.3. In the theoretical background, please emphasize the literature gap you are filling throughout your research.

Thank you for the observation, it is mentioned between L121-128.

1.4. The literature is literally copied from the published paper “Linkages between DeFi assets and conventional currencies: Evidence from the COVID-19 pandemic” which you didn’t cite in your references!

Thank you for the observation, both are added.

Yousaf, I., Nekhili, R., & Gubareva, M. (2022). Linkages between DeFi assets and conventional currencies: Evidence from the COVID-19 pandemic. International Review of Financial Analysis, 81, 102082.

Yousaf, I., & Yarovaya, L. (2021). Static and dynamic connectedness between NFTs, Defi and other assets: portfolio implication. https://ssrn.com/abstract=3946611

1.5. The methodology section is taken from one of the co-authors’ previously published paper in JRFM “Impact of Negative Tweets on Diverse Assets during Stressful Events: An Investigation through Time-Varying Connectedness “N. L. Balasudarsun * , Bikramaditya Ghosh and Sathish Mahendran

Thank you for the observation, it is primarily Gabauer, David’s proposition of extending Diebold-Yilmaz (2012, 14) in various forms. TVP-VAR has been one such very effective form used in many papers between 2020-2023. However, we have reformulated the methodology section between L130-172 completely to avoid any such uncanny resemblance.

1.6. Moreover, are not there any limitations for your research? Please point them out …what about your future work in this field, it would be interesting to add it into the implication paragraph at the end of your conclusion section. Good Luck.

Thank you for the observation, it is primarily mentioned in a newly introduced section between L380-385.

 

Round 2

Reviewer 2 Report

dear Authors,

all changes are done to the previously submitted version and the current version of your manuscript took into consideration all my comments and suggestions ; furthermore, you have added reference of the source article you have used in your research.

i believe, some sections that were rephrased need formatting and proof reading .

good luck.