Review Reports

1

Some contradictory statements should be   rewrittern: Abstract states that the literature on this topic is embryonic.   However, on page 2 author states that “This concern is not new because...” -   regarding spillovers between cryptocurrencies and “There are also many   studies” (same page 2). So, is embryonic or not? It seems not due to many   literature author included in the overview.

We am grateful for your comment and We   rewrote these sentences to consistent content, which you suggest revising. We   have corrected this mistake, thanks for rectification.

Page 2 and Page 3

2

Two sentences one after another start   with Meanwhile (page 2). This should be reparaphrased.

Thank you for your comment. We   reparapharase our sentences to avoid repetition. 

Page 2

3

Source should be added on page 2, where   author states that Bitcoin has climbed up 1358%.

We thank the reviewer for suggesting to   add the source for these figures.

Page 2

4

Introduction should emphasize more the   contribution of this paper, due to many previous existing ones. Author   describes the previous literature, with many different approaches of   examining the same thing on same currencies. So, what is novelty here?

Thank you for your comment. We also   supplement our contributions to the current novelty in the introduction. It   might be supportive part to clearly explain our contributions.

Page 3

5

Other papers should be included as   Trabelsi (2018) Are There Any Volatility Spill-Over Effects among   Cryptocurrencies and Widely Traded Asset Classes?

We deeply thank for your suggestion. We   emphasize and acknowledge the previous work from Trabelsi (2018).

Page 8

6

The first table on page 9 should be   numerated table 1. And others should be corrected accordingly. Moreover, do   not write the table above, as on page 13. In text, author should correct to   e.g. "in table 2"...

Thank you for your dedication. We   changed the name of table and revised the whole paper without “the table above/the table below” to   avoid the confusion to readership. It was a good idea and we have revised the   paper by numbering them again in each section. Please refer to our revised   paper.

All the tables and paragraphs with   tables

7

Page 10, formula (2), what is t-tail?

Thank you for your comment. We also   clarify our words by endnote in the same page for clearly reading.

Page 10

8

The multiplication should be something   else, not x, as author uses x as well for denoting the matrix.

Thank you for your comment. I changed   the denotation for avoiding the misunderstanding of our symbol

Page 12

9

In empirical part of VAR modelling,   which lag was used? I did not find that information. Are the VAR model   results on page 15 result of bivariate models or were all cryptocurrencies   included in one model? This should be clearly stated.

Thank you very much for your suggestion.   We also documented two main things (the lagged value used and the   multivariate VAR with all cryptocurrencies inputted in models to estimate the   spillover effects among them).

Page 15

10

Recommendations for (potential)   investors should be extended upon, and the contributions should be added in   conclusion as well.

Thank you for your comment. We also revised   and clarify in the conclusions of our paper with the recommendations for   investors.

Page 23

1

Using from VAR-SVAR Granger causality   and Student-t Copulas, this paper examines spillover risks on   cryptocurrencies market. The author argues that ‘Etherum is likely to be the   independent coin in the cryptocurrency market, while Bitcoin tends to be a   spillover effect recipient’.

We are thankful for the kind summary.

Not Applicable

2

Although this is a very interesting   topic, I think that it is not a well written paper, there is no a clear   structure of the paper and there is no cohesion within paragraphs. It is a very   confusing paper, especially for the readers who are not familiar with the   cryptocurrency market literature and its relative key terms and concepts such   as Etherum and Bitcoin. Nevertheless, I think that there is plenty of   potential here to make a very good contribution to the literature, but at   present the article is not ready for publication.

We are deeply grateful for your   comments. We revised our papers by adding new terminology and definition for   providing the basic concepts to readers.

Page 3 & 4

3

In the introduction there could also be   a clearer statement on the relevance of the present paper, what is the   justification of the present paper; what is the research question of the   paper? How can the paper contribute to the literature?

Thank you so much for your comment. We   also revised to clarify more contributions, research questions as well as   methodologies to cope with our research purpose.

Page 3

4

The author should clarify the concept of   ‘cryptocurrency market’ and the characteristics of this market. The author   should also describe the differences between the stock market and the   cryptocurrency market.

We are grateful for your comment. We   also documents to explain more the ‘cryptocurrency market’ as well as some   characteristics.

5

In the paper, the author refers either   to ‘Etherum’ (e.g. in the abstract) or to ‘Ethereum’ (e.g. page 8). This is   confusing. Is there any difference between these concepts? The author never   clarifies these concepts. What is the ‘Etherum’ and/or ‘Ethereum’? I think   that ‘Ethereum’ is not a cryptocurrency and it should not be confused with   ‘Ether’.

Thank you very much for your feedback. We   have corrected this mistake, thanks for rectification. Afterwards, we also   corrected all things with the form of ‘Ethereum’ in order to maintain the   consistency in the whole paper.

All paper

6

What is the ‘Bitcoin’? What are the main   differences between ‘Bitcoin’ and ‘Etherum’/‘Ethereum’? 

Thank you for your comments. We also   documents the definition, the characteristics as well as the differences   among our choices in cryptocurrencies.

Page 3,4 and 5

7

A main characteristic of the   cryptocurrencies is that they are decentralized systems based on block chain   technology. But, what are the implications of this (de)centralised systems   for the spillover effects?

Thank you for your comments. We also   explain the linkage between the decentralization and spillover based on   theoretical framework.

Page 7 and 8

8

The author very often refers to ‘other   coins’ (e.g. page 2). He/she should clarify which coins he/she refers to.

Thank you very much for your suggestion.   I corrected to the rest of coins in cryptocurrency market (known as Altcoin)

9

The author should clarify the   differences between currency and bitcoins

We are grateful for your suggestion. We   also revised our manuscript to point out differences between currency and   bitcoin.

Page 3 and 4

10

The author could explore spatial   spillover effects, e.g. whether a shock in Japan is more likely to affect the   neighbouring countries than countries which are far.

Thank you for your comments. We have to   admit that this is our limitation. This means that the VAR-SVAR and t-Copulas   does not capture the spatial spillover effects. We mentioned our limitation   in spatial spillover effects.

Page 23

11

What are the differences between ‘bitcoin’,   ‘ethereum’, ‘xrp’, ‘litecoin’ and ‘steller’?

We are grateful for your suggestion. We   carefully documented in our manuscript as your instructions

Page 3, 4 and 5

12

The author should also discuss the   limitations of the VAR-SVAR Granger causality and Student-t Copulas methods.

Thank you for your suggestion. We also   discuss and mention the limitations of these methodologies. In addition, we   suggest the further research.

Page 22

1

Although there are other studies on   the  contagion risks and spillover   effects in cryptocurrencies I still believe that this study adds value to the   existing literature and empirical evidence    quantitative techniques in estimating the spillover risks among   cryptocurrencies.

We are thankful for the kind comments   and encouragement.

Not Applicable

2

This paper sheds more light on the   spillover effects among cryptocurrencies market by various quantitative   techniques such as VAR and SVAR Granger causality as well as Copulas with   types of Gaussian and Student-t.  Also   it was highlighted that the Ethereum has an independent relationship from   other coins in VAR and SVAR Granger causality approaches. moreover, they note   that Bitcoin, however, tends to have a sensitive recipient, influenced by the   other  coins. suggesting that the   investors can use Ethereum for portfolio diversification or hedging   instrument

Thank you very much for kind summary of   our results

Not Applicable

3

The structure is fine and coherent, however   the English sentence structure although understandable needs to be improved.

We have checked the manuscript and performed   a thorough round of proofreading.

Not Applicable