The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis

Round 1

Reviewer 1 Report

- The motivation, research questions, contributions of the paper should be highlighted in introduction section. 

• in literature review, the challenges during covid-19 should be discussed.
• The data should be described better. 
• how did you verify your results?
• managerial insights should be included in discussion section. 
• future research should be expanded.

Author Response

Please see attached file.

Author Response File: Author Response.pdf

Reviewer 2 Report

The paper examines how the dynamic relationship between the risk-bearing capacity of financial intermediaries and the volatilities of stock portfolios varies during the COVID-19 pandemic controlling for business cycles, exchange rate dynamics, and monetary conditions.

The main aim of the article is to asses the asymmetric dependence between funding liquidity conditions and the volatilities of stock portfolios (including low-risk and high-risk port-folios) during the COVID-19 pandemic crisis.

For achieving the objective of the paper and verifying the formulated research hypothesis, the authors used  the quantile regression method.

 

Comments

 

The title and design of the article do not require correction.

The title properly corresponds to the purpose of the work and the research presented in the paper.

The authors formulated the aim of the paper and the research hypotheses  1 and 3 correctly. However, hypothesis 2 “This increase is stronger for high-risk portfolios” is not clearly formulated and it requires rewriting.

The language is good, the references cited are the most appropriate to support the manuscript. The reviewer suggests, however, developing the presented review of the research conducted so far and completing the theoretical background and literature review.

The authors, when referring to Goodell (2020) – Introduction, page 1 – did not take into consideration the change that has taken place since the quoted paper was published. “However, high macroeconomic uncertainty persists due to the low prospects of a cure or a vaccine before the end of 2021.” This part of the paper should be corrected according to the current state. 

The used research methods were correctly selected for the analysed issue. The results of the paper's analyses are plausible.

Author Response

Please see attached file.

Author Response File: Author Response.pdf