The Research on the Interactions between the Emerging and Developed Markets: From Region and Structural Break Perspectives

Round 1

Reviewer 1 Report

The paper analyses the relations between developed (seven largest economies) and emerging (seven with highest economic performance) stock markets. It applies multivariate GARCH models and struggles with structural breaks. The subject of the study is interesting and worth publishing, however, I have serious methodological remarks that prevent me from assessing the work positively. 

There is the lack of the cointegration analysis. It should be done for values of indices before the calculation of returns.

The model that is used in the study is not a diagonal BEKK model. When the lag of conditional variance of the second index is introduced to the equation it is no more a diagonal specification. That is why author should proof positive semi-definiteness for this model. Otherwise, the entire study is based on false assumptions.

Minor comments:

1. The footnote for equations (1) which describes lag or contemporaneous return of the second index as alternative is not clear or has error. It should be corrected.

2. Figures and footnotes should not be used in the introduction.

Author Response

Please see the attached file for more details.

Author Response File: Author Response.docx

Reviewer 2 Report

General thoughts
The reviewed article is very interesting. I would like to point out a few elements that should help the authors improve the study.
According to the reviewer, the presented article (which includes 36 pages, 34 literature items, 9 tables (which take about 13 pages), 2 figures) requires both the abstract and its main content to be organized in order, which should ensure its greater clarity.
Please read the Instructions for Authors relating to the sections of the research manuscript, the sequence and titles of the sections included and follow them.
Please indicate more clearly the originality of the presented research. Do the results of the analysis provide progress in the current knowledge and to what extent?
It would be advisable to indicate the theoretical framework of the research process being carried out. The reviewer does not notice the aspect of the literature review
In terms of the literature review, the presented topic lacks reference to risk and its impact on the presented issues (see e.g. https://doi.org/10.3390/jrfm14010015)
Check the formatting of your literature.

Abstract
The abstract should include
1) research problem (the topic of the thesis mentioned in general),
2) the purpose of the work (is the goal also included in the work?),
3) research method and area,
4) general description of the research results (general conclusions without describing them, what is their contribution to business practice)
5) it is possible to indicate what the article brings to the economy and science
 
Admission
It seems that the introduction should be tidied up. In a general way, the authors lead the reader into the analyzed research problem (perhaps it could be extended), it should be pointed out the definitional elements that facilitate the understanding of the presented problem.
The introduction should include the purpose of the study (the reviewer does not notice it), the duration of the study, and an indication of the choice of the research method (but we will not describe it). Lack of research questions or research hypothesis makes it difficult to evaluate the article.

Drawing 1 / drawing 2 / not very legible, not understandable in the drawing 2001: 01
The widely described methodological part should not be included here (there should only be an indication of the selected research methods).
 
Literature review (the reviewer cannot find it in the study submitted for review)
The reviewer cannot find this part separately. In all sections of the study there are elements that can be assigned here.
  
Method and material (2. Methodology)
It seems to be correct. Without knowing the purpose, questions and possible research hypotheses, it is difficult to assess its validity.
Needs more order. It would be good to indicate the purpose of the work more clearly and to indicate why the authors chose the indicated methods of analysis and what their disadvantages and advantages are.
Please provide the software and their variants used for the statistical analysis.

Results (3. Data and descriptive statistics; 4. Empirical results)
It is not known what the extraction is for 3. Data and descriptive statistics; 4. Empirical results
Table 2 covers 5 pages
Tables 4-8 are 8 pages long
Descriptions of the indicated tables in the text of the article are only about 1 page (table 2), tables 4-8 (4 pages of description). It seems necessary to correct the indicated ratio of the table page to the description page.

Discussion
A reference to the results of research by other authors should be included here. What the reviewer does not notice in the reviewed material.
At the end of the Discussion section, please add the strengths and limitations of this study

Conclusions
In addition to general conclusions, references to the results obtained, an indication of the problems that the authors had during the analysis, or who could use the research, In the part concerning conclusions, please indicate the originality of the presented research. Do the results of the analysis provide progress in the current knowledge and to what extent? Can the research be related to international literature and to what extent?
 
Reference
Please refer to the Authors Guide for MDPI reference writing style and usage. 

Author Response

Please see the attached file for more details.

Author Response File: Author Response.docx

Round 2

Reviewer 1 Report

My comments were explained and implemented.