What Is the Effect of Oil and Gas Markets (Spot/Futures) on Herding in BRICS? Recent Evidence (2007–2022)
Round 1
Reviewer 1 Report
Comments and Suggestions for Authors
Herding is an important topic and it often occurs during times of high volatility. Herding is a topic in behavioral finance and a challenge to market efficiency. The authors have written a long and extensive paper applying herding to oil and gas markets in BRICS. The paper can benefit from careful editing that focuses on what is known in behavioral finance about herding and using such knowledge to formulate their hypotheses in the markets they chose. Their results are surprising in the sense that often herding is not present. Offering explanations for their results is limited and needs to improve. Removing peripheral issues and reducing their very long list of references can help readers learn more and faster.
Author Response
Open Review
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(x) I would like to sign my review report
Quality of English Language
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( ) English very difficult to understand/incomprehensible
( ) Extensive editing of English language required
( ) Moderate editing of English language required
( ) Minor editing of English language required
(x) English language fine. No issues detected
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Does the introduction provide sufficient background and include all relevant references? |
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Are all the cited references relevant to the research? |
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Is the research design appropriate? |
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Are the methods adequately described? |
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Are the results clearly presented? |
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Are the conclusions supported by the results? |
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Comments and Suggestions for Authors
Herding is an important topic and it often occurs during times of high volatility. Herding is a topic in behavioral finance and a challenge to market efficiency. The authors have written a long and extensive paper applying herding to oil and gas markets in BRICS. The paper can benefit from careful editing that focuses on what is known in behavioral finance about herding and using such knowledge to formulate their hypotheses in the markets they chose. Their results are surprising in the sense that often herding is not present. Offering explanations for their results is limited and needs to improve. Removing peripheral issues and reducing their very long list of references can help readers learn more and faster.
Reply: thank you very much for your comments.
We were not really surprised by the results obtained here because we have published previously in the same journal an article on herding (unrelated to energy markets though) for the same markets (BRICS) and our results were similar in the sense that there was not much herding activity (see Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021) Journal of Risk and Financial Management. 15, 3, p. 1-42) however we have not made a reference to ourselves on this occasion.
We have tried to improve on the explanations provided and we have highlighted our changes in red within the document.
We have removed peripheral issues especially in the introduction as it was suggested by another referee as well and indicated this in the document by greying out and striking through several sections. We do admit that our reference list is still very long but we have deleted several articles which were placed there by mistake.
Thank you for your comments.
Hang and Evangelos
Submission Date
16 September 2023
Date of this review
07 Oct 2023 19:03:14
Author Response File: Author Response.docx
Reviewer 2 Report
Comments and Suggestions for Authors
Comments for author File: Comments.pdf
Author Response
Review report WHAT IS THE EFFECT OF OIL AND GAS MARKETS (SPOT/FUTURES) ON HERDING IN BRICS? RECENT EVIDENCE (2007-2022) It is a good paper focusing on an important topic in behavorial finance. However, I have some comments for improvements of the paper as follows:
- The structure of the paper should be restructured (introduction should be numbered as 1 and subsections are not necessary to number). The discussion and findings section should be numbered as 4
We have removed all subsectors from the introduction and now introduction is a single section. Also, the discussion and findings are numbered as section 4.
- The introduction is too long.
We have greyed-out and struck-through whole sentences/sections in Introduction reducing its size but without losing in substance. We have also done that in other sections/part of the paper.
- The Granger causality test is not really necessary to include in the paper because it is not really related to the main research objective. How can the authors explain the effect of CSAD on energy markets?
We have included Granger causality tests in this paper to be ‘at par’ as far as content is concerned with similar papers in this area. Now regarding the effect of CSAD on energy markets, we are not aware of any established theory that could explain the relationship observed. The only explanation that we could think of (not included in the paper) is that Granger causality captures the trading activities of international investors who invest both in BRICS stock markets and energy markets at the same point in time. Granger causality implies that there is information within CSAD which is reflected on energy markets. For example, a small deviation (agreement/movement in a specific direction) in opinions/trading in stock markets could have an effect on energy markets if investors hold both assets in their portfolios. However, this is a conjecture but could explain the effect observed here.
- The GARCH model that is employed in the study is GARCH(1,1). The authors should explain the lag time selected (1,1).
The AIC and BIC are selected to determine the optimal lag structure. We have tried different combinations, but this seems to be the optimal. We have also included relevant research on the optimal lag structure by: Hansen, P.R. and Lunde, A. (2005), A forecast comparison of volatility models: does anything beat a GARCH(1,1)?. J. Appl. Econ., 20: 873-889. We have included this in footnote 5 and also added this to the references list.
- The implications section should be merged into conclusion.
We have included everything in the last section, and we have renamed it: Conclusion, implications, limitations and future research
- Limitations of the study and suggestions for further research should be added in the conclusions of the manuscript.
We have included everything in the last section, and we have renamed it: Conclusion, implications, limitations and future research
I wish you all the best.
Thank you. Hang and Evangelos
Author Response File: Author Response.docx