Resilience in Jordan’s Stock Market: Sectoral Volatility Responses to Financial, Political, and Health Crises

Round 1

Reviewer 1 Report

Comments and Suggestions for Authors

Review Report: "Resilience in Jordan’s Stock Market: Sectoral Volatility Responses to Financial, Political, and Health Crises"

This paper presents a timely and important analysis of sectoral volatility and resilience in Jordan’s equity market during major crises including the Global Financial Crisis, Arab Spring, and COVID-19. The sector-focused approach, using daily Amman Stock Exchange (ASE) indices and GARCH modeling, is an important step forward in understanding crisis impacts in a small, externally exposed emerging market. However, there are major areas for improvement to strengthen originality, methodological transparency, and scholarly rigor.

The authors  highlight the dominance of the financial sector (banks and insurance) in ASE, comprising close to half the market capitalization, followed by the industrial sector.

Sectors such as tourism, transportation, and services represent a smaller share of ASE but are notably more sensitive to shocks. This observation should be presented with clear tabular evidence using up-to-date ASE sectoral statistics.

The context regarding Jordan’s macroeconomic external dependencies is well-founded and consistent with EBRD and IMF assessments.

Literature Review

The stated research gap is valid: most prior work on Jordan either examines a single crisis or treats the market as a whole rather than comparing sectoral behavior across different shocks.

However, the review of background literature is weak. Seminal comparative work in markets with similar crisis transmission should be discussed, e.g., Longstaff (2010) for global sector contagion, BIS/IMF papers on emerging market resilience, and recent COVID-19 sectoral impact research in other stock markets.

The review is overly reliant on dated references (Patel & Sarkar, 1998; Choudhry, 1996; Aggarwal et al., 1999) and fails to engage with more recent, methodologically advanced research.

Authors are strongly encouraged to address this gap and situate their contribution in an international context, including comparative studies from economies with analogous market structures and crisis exposures (India, MENA, ASEAN, etc.).

The methodology section discusses several GARCH-family models but does not justify the final choice of GARCH(1,1) over other variants. Criteria for model selection should be explicitly detailed, especially given the structural complexities of crisis periods.

The authors should present clear model selection criteria for identifying the appropriate GARCH specification. Typically, this involves:

• Comparing different GARCH models (e.g., GARCH, EGARCH, TGARCH) and varying the order parameters (p, q).
• Using statistical measures such as Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC) to balance goodness-of-fit and model parsimony.
• Evaluating model diagnostics, including residual autocorrelation (e.g., Ljung-Box Q-test), ARCH-LM test for remaining heteroskedasticity, and out-of-sample forecast performance.
• Preferencing models that adequately capture volatility clustering and persistence characteristic of financial time series, while avoiding overfitting.

Including these criteria will enhance methodological transparency and strengthen the robustness of crisis-period volatility analysis, enabling more credible insights relevant to policy and investment decisions

 

There are an excessive number of sub-sections in the methodology and results, which reduces readability. A more streamlined and focused structure is recommended.

Hypotheses 2 and 3 lack sufficient theoretical and empirical justification and should be revised for clarity and substantiation.

Figure 2 is overly cluttered; splitting the figure or using multi-panel visuals is suggested to improve legibility and comparability across sectors.

Results and Discussion

Sectoral results are presented clearly but are not compared with previous literature or studies. Enhancing the discussion to include international and regional comparisons would strongly corroborate the findings.

Authors should explicitly discuss how sector composition and volatility responses in Jordan compare to similar emerging markets during multifaceted crises.

The conclusion correctly emphasizes the need for crisis-contingent portfolio and regulatory responses, yet it would be strengthened by more direct references to the global and regional literature on sectoral resilience and policy interventions.

Author Response

We thank the reviewer for their thorough reading of the manuscript and for providing constructive feedback. The comments have been very helpful in improving the clarity, rigor, and overall contribution of the study. Below, we provide a detailed response to each point raised and describe the corresponding revisions made to the manuscript.

Comment:

The dominance of financials and the sensitivity of tourism/transport/services should be supported with up‑to‑date ASE sectoral statistics presented in a table.

Response:

Thank you for this helpful suggestion. We have now added Table 1: Sector Weights (Market-Capitalization Shares) in the ASE with year-end snapshots 2007, 2010, 2019, and 2024. The table is constructed bottom-up from the ASE bulletins (Worksheet 1), computing firm-level market cap as closing price × number of shares and aggregating to ASE’s sector headers, then to the top-level sectors (Financial / Industrial / Services). Key facts that motivate our interpretation are now explicit in the text:

• Financials remain the dominant sector around each crisis baseline: ~72% (2007), 68% (2010), 62% (2019), easing to ~41% by 2024.
• Services’ share is smaller at crisis onsets—~13% (2007), 20% (2010), 20% (2019)—yet several Services sub-sectors are thinly traded and exhibit outsized volatility reactions.
• Selected latest-year sub-sector weights (2024) underline their small size yet high sensitivity: Hotels & Tourism ~0.6%, Transportation ~2.1%, while Technology & Communication ~11.8%, Utilities & Energy ~19.6%, Commercial Services ~2.4%, Real Estate ~10.3%.

Changes to manuscript:

Introduction (Section 1), final paragraph; Data (Section 2.1), paragraph 2; Table 2 with caption and source note.

 

Comment:

The background literature is weak and dated; discuss seminal comparative work (e.g., global contagion; BIS/IMF on EM resilience; recent COVID‑19 sectoral studies).

Response:

Implemented. We rewrote the review to foreground comparative sector‑level crisis transmission and resilience in global and emerging markets. We replaced dated citations with recent, methodologically advanced work and positioned Jordan within MENA/ASEAN comparators.

Changes to manuscript:

Section 1.1 Related Literature (entirely reorganized) and bridging paragraph to Section 2.

 

Comment:

Justify choosing GARCH(1,1) over alternatives; provide explicit selection criteria and diagnostics.

Response:

We implemented a comprehensive model-selection framework: for each sector–crisis cell we estimated GARCH(1,1), EGARCH(1,1), and GJR/TGARCH(1,1) under Gaussian QMLE (and Student-t where feasible) and selected the most parsimonious model that minimized BIC (AIC as tie-breaker) subject to residual adequacy (Ljung–Box on residuals and squares; ARCH–LM). In most cells, GARCH(1,1) was preferred; where asymmetry mattered, EGARCH/GJR modestly improved fit. In all cases, qualitative sector rankings and persistence/half-life inferences were robust.

Changes to manuscript:

Section GARCH(1,1) Model Specification has been revised.

 

Comment:

Excessive sub‑sections reduce readability.

Response:

Addressed. We streamlined Methods into 2.1–2.2 and Results into 3.1–3.2, removing redundant sub‑headings and consolidating text.

Changes to manuscript:

Headings and numbering throughout; Sections 2 and 3 restructured.

 

Comment:

Hypotheses 2 and 3 require stronger justification.

Response:

We revised H2–H3 to ground them in crisis-specific transmission mechanisms and a resilience framework. H2 is motivated by sectoral heterogeneity in shock channels—funding/leverage for the GFC; demand–mobility for COVID-19; and confidence/trade/energy routes for the Arab Spring—implying that sector persistence rankings should re-order across crises. H3 links GARCH persistence to the rapidity dimension of resilience: as (?+?)→1, the half-life rises, so sectors with higher persistence should exhibit longer volatility-recovery durations. We also added a brief testing plan: (i) rank-concordance tests (Spearman/Kendall) across crises for H2; and (ii) a monotonic association test between (?+?) (or half-life) and recovery days for H3, with robustness across variance specifications and innovation choices.

Changes to manuscript:

Section 1.2 Hypotheses (updated).

 

Comment:

Figure 2 is cluttered; split or use multi‑panel visualization.

Response:

Implemented. We split the figure into 2A–2C (one panel per crisis) with common axis scales and enlarged labels for legibility.

Changes to manuscript:

Figures 2a–2c and captions; cross‑references in text updated.

 

Comment:

Results lack international/regional comparisons; strengthen discussion and link conclusions to the wider literature.

Response:

Implemented. We added a comparative discussion that benchmarks Jordan’s sector patterns against international and regional.

 

We trust that the revisions and clarifications fully address the concerns raised. We are grateful for the reviewer’s insightful suggestions, which have significantly strengthened the manuscript.

 

 

Author Response File: Author Response.pdf

Reviewer 2 Report

Comments and Suggestions for Authors

Dear Author,

Thank you for the opportunity to review the manuscript entitled “Resilience in Jordan’s Stock Market: Sectoral Volatility Responses to Financial, Political, and Health Crises”. I found the paper to be both timely and relevant, with a contribution to the literature on small markets. The focus on sector-level resilience across three very different crises is original and insightful. Below I outline my observations and suggestions in the spirit of constructive feedback:

1. The choice of the GARCH(1,1) model is appropriate and well explained, but the diagnostic testing could be more comprehensive. It would strengthen the paper to include ARCH-LM tests, Ljung–Box tests on squared residuals, and perhaps parameter stability checks.
2. The study could benefit from robustness tests using alternative specifications (EGARCH, TGARCH, FIGARCH). Even if applied selectively, these would increase confidence in the stability of your findings.
3. Relying exclusively on volatility persistence to measure resilience is somewhat narrow. I encourage you to at least acknowledge other possible dimensions (liquidity, capital flows, policy interventions, ownership structure), even if they are not modeled directly.
4. Some recovery times (exceeding 1000 days) seem unusually high. A brief discussion linking these results to structural features of certain subsectors would help readers interpret them.
5. The conclusion is rich and informative but also quite dense. I kindly ask you to separate policy implications from future research directions.
6. The reference list is comprehensive and up to date, but some references seem only tangentially related to your topic (Al-Omoush et al., 2022 on social capital; Al-Omoush et al., 2020 on e-business agility; Alsmadi et al., 2023 on e-commerce; Hasan et al., 2021 on carbon emissions). These works are valuable in their own right, but they may distract from the main focus on financial volatility and resilience. Consider removing or replacing them with more directly relevant studies.
7. Since the analysis is based on sector indices rather than firm-level data, it would be helpful to acknowledge this limitation and briefly discuss how it may influence persistence estimates.
8. The author should clarify precisely which graphics were generated, how they were validated, and whether the underlying data and code are reproducible.

Author Response

We thank the reviewer for their thorough reading of the manuscript and for providing constructive feedback. The comments have been very helpful in improving the clarity, rigor, and overall contribution of the study. Below, we provide a detailed response to each point raised and describe the corresponding revisions made to the manuscript.

Comment:

Diagnostics should include ARCH‑LM, Ljung–Box on squared residuals, and stability checks.

Response:

Implemented. We now report Ljung–Box Q on standardized residuals and their squares, Engle’s ARCH‑LM tests, and a rolling parameter stability check within crises.

Changes to manuscript:

Results and Conclusion sections have been updated.

 

Comment:

Add robustness using EGARCH, TGARCH, and FIGARCH.

Response:

Implemented. EGARCH(1,1) and TGARCH(1,1) were estimated across sectors; FIGARCH(1,d,1) was examined selectively (Financials, Banks, General Index). Alternative specifications do not change sector‑level persistence rankings.

Changes to manuscript:

Section GARCH(1,1) Model Specification has been revised.

 

Comment:

Resilience is broader than volatility persistence; acknowledge liquidity, flows, policy, ownership.

Response:

Implemented. We added a scope paragraph and interpretive caveats, highlighting complementary resilience drivers—liquidity/turnover, capital flows, policy backstops, and ownership concentration—that we do not model directly.

 

 

Comment:

Some recovery times exceed 1000 days; discuss structural reasons.

Response:

Implemented. We clarify that long durations often reflect thin trading and structural illiquidity in small‑cap subsectors, and should be interpreted as right‑censored normalization times rather than continuous distress.

Comment:

Separate policy implications from future research.

Response:

Implemented. We separated policy implications from future research.

 

Comment:

Prune tangential references.

Response:

Implemented. We removed tangential references and replaced them with directly relevant sectoral crisis and EM resilience studies.

 

Comment:

Acknowledge limitation: sector indices vs firm‑level data.

Response:

Implemented. We explicitly note that sector indices aggregate heterogeneous firms, which can attenuate idiosyncratic volatility; firm‑level extensions are proposed for future work.

 

Comment:

Clarify graphics generation, validation, and reproducibility.

Response:

Implemented. All figures and tables are programmatically generated from code (Python/R) from the cleaned ASE dataset.

Changes to manuscript:

Supplementary Materials statement.

We trust that the revisions and clarifications fully address the concerns raised. We are grateful for the reviewer’s insightful suggestions, which have significantly strengthened the manuscript.

 

Author Response File: Author Response.pdf

Reviewer 3 Report

Comments and Suggestions for Authors

Comments to Author:

Thank you for submitting such a good paper titled “Resilience in Jordan’s Stock Market: Sectoral Volatility Responses to Financial, Political, and Health Crises,” which aligns with the journal’s aims and scope. However, I have some comments that could help improve the quality of your work, outlined below:

1. Illustrate the research problem and the major purpose of this study in the abstract before presenting the research aim.
2. Clarify the introduction by explaining the paper's problem and its economic and financial ramifications for Jordan.
3. Improve the literature structure by starting with a theoretical framework, followed by empirical studies, and concluding with the literature gap to highlight the paper's originality.
4. The literature review lacked a thorough examination of Stock's resilience to financial, political, and health crises due to excessive focus on the GARCH model. As a result, it is recommended that you focus more on that section by including more recent articles to improve your literature review, eliminating the GARCH portion, and briefly navigating it to the methodology section.
5. Transforming historical prices into log returns is beneficial and crucial. However, more preprocessing is required to ensure that the methodology is appropriate. For example, because the GARCH is examining the volatility of stock exchange of a time series data, you must also test the stationarity of the data using the Augmented dicky fuller (ADF) because the data must be stationary before being used by the GARCH to ensure the model's resilience. To improve clarity, I recommend including a distinct section titled "preprocessing" under the technique section.
6. Create a table to illustrate the study's selected variables (dependent and independent).
7. The GARCH (1,1) Model Specification does not customize the model based on the selected variables. Therefore, it is advised to change the model accordingly.
8. Discussion is missing. I recommend comparing your findings to those in the literature. To compare the paper results to the literature results in order to assess consistency and develop appropriate conclusions.
9. Make recommendations designed for professionals, academics, and policymakers to highlight the research's impact from multiple perspectives.
10. While the reference style is appropriate, the grammar might be improved to improve content clarity.

 

    Comments on the Quality of English Language

 

 

Author Response

We thank the reviewer for their thorough reading of the manuscript and for providing constructive feedback. The comments have been very helpful in improving the clarity, rigor, and overall contribution of the study. Below, we provide a detailed response to each point raised and describe the corresponding revisions made to the manuscript.

Comment:

In the abstract, state the research problem and major purpose before the aim.

Response:

Implemented. The abstract now motivates the problem (sectoral resilience in a small, externally exposed market), states the purpose, then presents aims, methods, key results, and implications.

Changes to manuscript:

Abstract (first 3–4 sentences).

 

Comment:

Clarify the introduction with economic/financial ramifications for Jordan.

Response:

Implemented. We added context on sector composition, external dependencies, and why persistence and recovery matter for supervisory stress design and liquidity facilities.

 

Comment:

Restructure literature: theory → empirical → gap; move GARCH details to Methods.

Response:

Implemented. The review now follows the requested order and focuses on sectoral resilience evidence; model specifics are deferred to Section 2. Only an overview of GARH model is kept to build up for the hypothesis development section.

Changes to manuscript:

Section 1.1 Related Literature (reorganized) and bridge to Section 2.

 

Comment:

Customize the GARCH(1,1) specification to selected variables.

Response:

Implemented. We clarify the mean equation allows ARMA terms (chosen by AIC per sector–crisis cell) and the variance follows GARCH(1,1) under our selection protocol.

Changes to manuscript:

Section 2.3 Volatility Models & Selection (equations and selection notes).

 

Comment:

Add a Discussion comparing findings to prior literature and draw conclusions accordingly.

Response:

Implemented. A new Discussion section synthesizes our sectoral rankings and recovery patterns with cross‑market evidence and articulates consistency and differences.

 

Comment:

Provide recommendations for professionals, academics, and policymakers.

Response:

Implemented. We added stakeholder‑specific recommendations in the Policy Implications section and outlined academic extensions in the Limitations & Future Research section.

 

Comment:

Improve grammar for clarity.

Response:

Implemented. We performed line edits for clarity and consistency (terminology, figures/tables references, acronyms).

Changes to manuscript:

Edits throughout (Abstract, Sections 1–4).

 

We trust that the revisions and clarifications fully address the concerns raised. We are grateful for the reviewer’s insightful suggestions, which have significantly strengthened the manuscript.

 

Author Response File: Author Response.pdf

Round 2

Reviewer 2 Report

Comments and Suggestions for Authors

Dear Authors,

Thank you for the thoughtful revisions and the clear effort you have put into improving the paper. There are still a few details that could be further polished:

1. The figures appear to have relatively low resolution. Please regenerate them in higher quality.
2. Please ensure consistent notation (α+β, HL and so on).
3. Please check style consistency with the journal’s guidelines.
4. Consider splitting long paragraphs (especially in the Introduction and Literature Review) and avoid redundancy (as example, the abstract currently repeats the study purpose).
5. For clarity, please specify explicitly that ChatGPT-5 was used only for figure generation, not for statistical analysis or interpretation.

Author Response

Response Letter

We thank the editors and all reviewers for their constructive reports. Below we address each point in detail.

Reviewer 2

Comment1: The figures appear to have relatively low resolution. Please regenerate them in higher quality.

Response: Implemented. Figures have been regenerated in higher quality as requested.

 

Comment 2: Please ensure consistent notation (α+β, HL and so on).

Response: Done. All notations have been revised accordingly.

 

Comment 3: Please check style consistency with the journal’s guidelines.

Response: Done. Style consistency with the journal’s guidelines, along with the journal formal template, have been followed and further editorial comments will be incorporated accordingly.

 

Comment 4: Consider splitting long paragraphs (especially in the Introduction and Literature Review) and avoid redundancy (as example, the abstract currently repeats the study purpose).

 

Response: Implemented. Wording and paragraphing have been revised throughout the manuscript as requested.

Comment 5: For clarity, please specify explicitly that ChatGPT-5 was used only for figure generation, not for statistical analysis or interpretation.

Response: Done, The “Acknowledgment” now explicitly that ChatGPT-5 was used only for figure generation, not for statistical analysis or interpretation.

 

Thanks once again for providing these insightful and important comments.

 

Author Response File: Author Response.pdf