Oil Prices, Sustainability Initiatives, and Stock Market Dynamics: Insights from the MSCI UAE Index

Round 1

Reviewer 1 Report

Comments and Suggestions for Authors

I am writing to provide my review of the manuscript titled "Oil Prices, Sustainability Initiatives, and Stock Market Dynamics: Insights from the MSCI UAE Index," submitted for your consideration in JRFM.

After a careful evaluation of the paper, I have identified several key issues that must be addressed before the manuscript can be reconsidered for publication:

1. Lack of Integration Between Stated Contributions and Hypotheses: The authors outline the contributions of the study in Lines 72–77 and present four hypotheses (H1–H4) in Lines 211–220. However, the relationship between these two elements is not adequately explained. Additionally, the manuscript does not clearly articulate how the hypotheses correspond to the econometric models presented in Equations (1) through (3), nor how they connect with the empirical findings reported in Tables 2–5 and Figures 1–4. This lack of coherence significantly impairs the reader's ability to interpret the results and assess whether the stated research objectives have been achieved. A substantial revision is necessary to clarify these relationships and improve the logical flow of the manuscript.

 

2. Weak Link Between Results, Discussion, and Conclusions: Sections 5 (Discussion) and 6 (Conclusion) do not clearly relate back to the hypotheses proposed in Section 2 or to the empirical results presented in Section 4. As a result, the discussion appears disconnected from the evidence, which undermines the interpretability and validity of the study’s conclusions. Furthermore, policy or practical recommendations are not clearly articulated. I recommend that the authors revise these sections to strengthen the link between the results and their interpretations, and to clearly state any implications or recommendations based on the findings.

 

3. Minor Error: There is a typographical or grammatical error on Line 572 that should be corrected during the revision process.

 

Recommendation:

Given these substantive concerns, I recommend that the manuscript undergo a major revision before it can be reconsidered for publication in JRFM.

Author Response

We sincerely thank the reviewers for their thoughtful and constructive comments. We confirm that all suggestions have been carefully considered and addressed in the revised manuscript. All adjustments and revisions are highlighted in blue in the manuscript. Below, we provide our detailed responses to each point.

1st_Review Report Form

Reviewer Comment 1

Lack of Integration Between Stated Contributions and Hypotheses: The authors outline the contributions of the study in Lines 72–77 and present four hypotheses (H1–H4) in Lines 211–220. However, the relationship between these two elements is not adequately explained. Additionally, the manuscript does not clearly articulate how the hypotheses correspond to the econometric models presented in Equations (1) through (3), nor how they connect with the empirical findings reported in Tables 2–5 and Figures 1–4. This lack of coherence significantly impairs the reader's ability to interpret the results and assess whether the stated research objectives have been achieved. A substantial revision is necessary to clarify these relationships and improve the logical flow of the manuscript.

Response 1:
Thank you for this constructive comment. We have substantially revised the manuscript to address this issue, as detailed below.

To enhance clarity and improve logical flow, we made the following revisions:

1. In Lines 95–109 (initial Lines 72–77), revised, we explicitly state how each of the four main contributions maps to the proposed hypotheses. For instance, our novel integration of sustainability policy announcements into volatility modeling (Contribution 2) directly informs Hypothesis 4, which investigates the dual impact of such announcements on short-term volatility and long-term stability.
2. In (Lines 230–261, revised), we now precede each hypothesis with a brief rationale, directly derived from the stated contributions and literature review. This shows how the hypotheses operationalize the conceptual aims of the paper.
3. Regarding (Equations 1–3): Each hypothesis is now explicitly linked to the corresponding model, in (Lines 292–350, revised),:
1. H1 is tested through the linear regression model (Equation 1), examining the direct effect of oil prices on the MSCI UAE Index.
2. H2 and H3 are assessed using the GARCH (Equation 2) and TARCH (Equation 3) models, which capture volatility clustering and asymmetries.
3. H4 is evaluated through the event-study regressions and TARCH model interactions during policy periods, as detailed in Section 4.2 and visualized in Figures 3–4.

We now guide the reader more clearly through how each hypothesis is tested and validated using Tables 3–5 and Figures 1–4. Each results subsection concludes with an explicit reference back to the relevant hypothesis.

We hope these changes address your concerns and significantly improve the coherence and rigor of the manuscript.

Reviewer Comment 2

Weak Link Between Results, Discussion, and Conclusions: Sections 5 (Discussion) and 6 (Conclusion) do not clearly relate back to the hypotheses proposed in Section 2 or to the empirical results presented in Section 4. As a result, the discussion appears disconnected from the evidence, which undermines the interpretability and validity of the study’s conclusions. Furthermore, policy or practical recommendations are not clearly articulated. I recommend that the authors revise these sections to strengthen the link between the results and their interpretations, and to clearly state any implications or recommendations based on the findings.

Response 2: Thank you for this constructive comment. We have substantially revised the manuscript to address this issue, as detailed below.

1. Results and hypotheses linkage have been already addressed as noted above. Each subsection in the results explicitly refers to the hypothesis tested.

• H1 confirmed via linear regression (Table 3).
• H2 confirmed via GARCH clustering (Table 4).
• H3 partially confirmed during the 2019–2023 sub-period (Table 5).
• H4 supported through sustainability event regressions (Section 4.2).

 

2. We have revised the Discussion section to more clearly connect the empirical findings to the study’s hypotheses and theoretical framework. The updated discussion now explicitly references the confirmation of Hypothesis 1 and  Hypothesis 2 through the detection of volatility clustering using GARCH models, the partial support for Hypothesis 3 based on asymmetric effects observed during the 2019–2023 sub-period, and the confirmation of Hypothesis 4, which highlights the long-term stabilizing influence of sustainability announcements despite short-term volatility.
3. Conclusion Section

We appreciate the reviewer’s observation and have substantially revised the Conclusion section to ensure a clearer synthesis of the empirical findings and their theoretical and practical implications. The revised conclusion now opens with a transition sentence that explicitly signals its purpose in summarizing and interpreting the results. Throughout the section, we have:

• More directly integrated key findings from the linear regression, GARCH, and TARCH models—specifically regarding oil price sensitivity, volatility clustering, and asymmetric market responses over time.
• Emphasized the contrast between earlier and more recent sub-periods (2014–2016 vs. 2019–2023) to highlight structural shifts in investor behavior and market resilience.
• Strengthened the discussion of sustainability-driven policy announcements by showing how these contributed to a dual-track transition toward diversification and green finance, while also noting where their immediate market impacts were more limited.

These changes ensure that the conclusion is now more reflective of the empirical narrative and offers academically grounded and policy-relevant insights consistent with the paper’s overall contribution.

Reviewer Comment 3

1. Minor Error: There is a typographical or grammatical error on Line 572 that should be corrected during the revision process.

Author Response: Thank you for identifying this. The sentence on Line 572 has been checked. No errors were found.

Author Response File: Author Response.pdf

Reviewer 2 Report

Comments and Suggestions for Authors

Based on my past observation, the manuscript is considerable improved. I think the paper is good inclusion of minor suggestions will improve the overall quality of the manuscript.

 

 

Minor Comments:

 

 

Provide rationale for terming 2019-2023 as Covid-19 phase.

 

Statement used without any empirical support. For instance,

 

“Existing literature has extensively explored the relationship between oil prices and 46 stock markets, but most studies have focused on developed economies, leaving emerging 47 oil-exporting markets like the UAE underexamined”

 

Although introduction is well written, author can include some insight about oil dependency and sustainable initiatives taken by UAE, this will assist in getting a comprehensive overview of the main subject of the study.

 

Please check line no 572.

 

Criteria for selection and exclusion of sustainable announcements need to be included or supported by existing literature.

 

Implications from the investor point of view need to be added.

 

Best Wishes

Author Response

2nd_Review Report Form

We sincerely thank the reviewers for their thoughtful and constructive comments. We confirm that all suggestions have been carefully considered and addressed in the revised manuscript. All adjustments and revisions are highlighted in blue in the manuscript. Below, we provide our detailed responses to each point.

Reviewer Comment

Provide rationale for terming 2019-2023 as Covid-19 phase.

 Author Response: We appreciate the reviewer’s observation. In the manuscript, we refer to the “2019–2023 phase” as one marked by the COVID-19 pandemic and increasing sustainability efforts, rather than labeling the entire period as solely the “COVID-19 phase.” This phrasing reflects our intention to capture both the direct market disruptions caused by the pandemic (2020–2021) and the subsequent period of recovery and policy transformation extending through 2023. During this time, global and regional financial markets—including the UAE—experienced heightened volatility   due to the public health crisis, and due to post-pandemic economic adjustments, accelerated digitalization, and the intensification of sustainability policy initiatives. We have retained this balanced phrasing in the revised manuscript to more accurately reflect the dual drivers of volatility during this extended period.

Reviewer Comment Statement used without any empirical support. For instance,

 

“Existing literature has extensively explored the relationship between oil prices and 46 stock markets, but most studies have focused on developed economies, leaving emerging 47 oil-exporting markets like the UAE underexamined”

Author Response: We thank the reviewer for this observation. In response, we have revised the statement to include empirical support from prior studies cited in the manuscript (e.g., Jones & Kaul, 1996; Fasanya et al., 2021; Banerjee et al., 2023), highlighting the concentration of oil–stock market research in developed economies and the relative scarcity of studies focused on emerging oil-exporting markets like the UAE. The revised passage now in L52-65.

 Reviewer Comment

Although introduction is well written, author can include some insight about oil dependency and sustainable initiatives taken by UAE, this will assist in getting a comprehensive overview of the main subject of the study.

 Author Response: We thank the reviewer for this suggestion. To address this, we have added a concise contextual paragraph in the introduction, outlining the UAE’s dual position as a hydrocarbon-based economy and a global leader in sustainability policy. L45-51

Reviewer Comment

Please check line no 572.

Author Response: Thank you for identifying this. The sentence on Line 572 has been checked., No errors were found.

 

Reviewer Comment

Criteria for selection and exclusion of sustainable announcements need to be included or supported by existing literature.

Author Response: We thank the reviewer for this observation. In response, we have clarified the selection criteria for sustainability announcements in a note below the relevant table (Table 1). The note specifies that events were chosen based on national-level significance, policy relevance, and media visibility, following the approach of Kruse et al. (2024) and Dordi & Weber (2019).

Reviewer Comment

Implications from the investor point of view need to be added.

Author Response: We appreciate the reviewer’s suggestion. In response, we have added a dedicated paragraph in the conclusion section discussing the study’s implications for investors. L852-L862

Author Response File: Author Response.pdf

Round 2

Reviewer 1 Report

Comments and Suggestions for Authors

I am writing to provide my review of the revised manuscript titled "Oil Prices, Sustainability Initiatives, and Stock Market Dynamics: Insights from the MSCI UAE Index," submitted for your consideration in JRFM.

After carefully evaluating the revised version, I acknowledge that the authors have addressed many of my previous comments. However, several important issues remain and should be addressed to improve the quality and clarity of the manuscript. My comments are as follows:

1) Table 1 should be revised to appear more concise and professionally formatted, aligning with the journal’s standards.

2) Figure 1 lacks clarity. Specifically, the meaning of the blue-colored line is unclear—does it represent oil prices, a stock index, or another variable? This should be explicitly labeled and explained in the caption.

3)Section 5: Discussion and Recommendations would benefit from clearer structure. I suggest dividing it into five subsections:

5.1: Discussion of results related to Hypothesis H1

 

5.2: Discussion of results related to Hypothesis H2

 

5.3: Discussion of results related to Hypothesis H3

 

5.4: Discussion of results related to Hypothesis H4

 

5.5: Policy and practical recommendations

This structure would improve coherence and strengthen the link between hypotheses, results, and implications.

4) There is a typographical error in Line 337: “the γ\gammaγ parameter” should be corrected.

 

Recommendation:

Given these substantive concerns, I recommend that the manuscript undergo a major revision before it can be reconsidered for publication in JRFM.

Author Response

We sincerely thank the reviewers for their thoughtful and constructive comments, which have greatly improved the quality and clarity of the manuscript. We confirm that all comments have been carefully addressed in the revised version. All changes and insertions appear in dark red within the manuscript to facilitate review. Below, we provide detailed point-by-point responses to each reviewer comment.

 

Comments and Suggestions for Authors

Reviewer Comment

1) Table 1 should be revised to appear more concise and professionally formatted, aligning with the journal’s standards.

Author Response:  In response, Table 1 has been revised to enhance clarity and overall presentation. The formatting has been updated to align with the journal’s style guidelines.

Reviewer Comment

2) Figure 1 lacks clarity. Specifically, the meaning of the blue-colored line is unclear—does it represent oil prices, a stock index, or another variable? This should be explicitly labeled and explained in the caption.

Author Response:  We thank the reviewer and in response, the Figure 1 has been revised to explicitly state that the blue-colored line represents the daily closing values of the MSCI UAE Index, while the red line denotes Brent oil prices.

Reviewer Comment

3)Section 5: Discussion and Recommendations would benefit from clearer structure. I suggest dividing it into five subsections:

5.1: Discussion of results related to Hypothesis H1

 5.2: Discussion of results related to Hypothesis H2

 5.3: Discussion of results related to Hypothesis H3

 5.4: Discussion of results related to Hypothesis H4

 5.5: Policy and practical recommendations

Author Response: We thank the reviewer for thisl suggestion. In response, Section 5 has been fully revised and reorganized into five clearly labeled subsections (5.1–5.5). Each subsection now directly corresponds to one of the four hypotheses, with a dedicated final subsection presenting policy and practical recommendations. This restructuring enhances clarity, strengthens the connection between empirical findings and theoretical claims, and improves the logical flow of the discussion.

4) There is a typographical error in Line 337: “the γ\gammaγ parameter” should be corrected.

 Author Response: Thank you for identifying this. Th typographical error has been corrected,

Author Response File: Author Response.pdf

Round 3

Reviewer 1 Report

Comments and Suggestions for Authors

 

I am writing to provide my review of the second revised manuscript titled "Oil Prices, Sustainability Initiatives, and Stock Market Dynamics: Insights from the MSCI UAE Index," submitted for your consideration in JRFM.

After carefully evaluating the revised version, I am satisfied that the authors have addressed all of my previous comments and concerns. The manuscript has been significantly improved in both clarity and structure.

I therefore recommend that the manuscript be considered for publication in JRFM.