Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks

Round 1

Reviewer 1 Report

This paper provides an interesting analysis of the impacts of the COVID pandemic on the volatility of Nigerian sector stock returns. The modelling is conducted using an extensive set of models from the GARCH family of models with appropriate consideration given to the impacts of structural breaks.

The paper could be improved by consideration of the following points:

1.       Given the contemporary nature of the topic there will be some papers that could be added to the discussion to place the results in a broader context, I would suggest you consider adding a comparative discussion of findings to papers such as Jelilov et al (2020), Bora and Basistha (2021), Akhtaruzzaman et al (2022)

2.       The analysis identified four possible structural break dates. However, the paper does not discuss financial market or economic events around these dates. Could you please add these insights to your discussion.

References

Akhtaruzzaman, M., Benkraiem, R., Boubaker, S., & Zopounidis, C. (2022). COVID-19 crisis and risk spillovers to developing economies: Evidence from Africa. Journal of International Development, 34( 4), 898– 918. https://doi.org/10.1002/jid.3634

Bora, D, Basistha, D. The outbreak of COVID-19 pandemic and its impact on stock market volatility: Evidence from a worst-affected economy. J Public Affairs. 2021; 21:e2623. https://doi.org/10.1002/pa.2623

Jelilov, G, Iorember, PT, Usman, O, Yua, PM. Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID-19 pandemic matter? J Public Affairs. 2020; 20:e2289. https://doi.org/10.1002/pa.2289

Author Response

1. Given the contemporary nature of the topic there will be some papers that could be added to the discussion to place the results in a broader context, I would suggest you consider adding a comparative discussion of findings to papers such as Jelilov et al (2020), Bora and Basistha (2021), Akhtaruzzaman et al (2022)

I agreed with these observations in 1 above. I have reviewed these works: Jelilov et al (2020), Bora and Basistha (2021), Akhtaruzzaman et al (2022). Which I will compare my findings within the discussion.

 

2. The analysis identified four possible structural break dates. However, the paper does not discuss financial market or economic events around these dates. Could you please add these insights to your discussion.

Regarding the dates

20^th January 2021: The National Bureau of Statistics (NBS) projected that the Nigerian economy would grow by three per cent in 2021 will the world bank Projected that the economy would grow by 1.7 percent. And this was expected to improve the insurance sector in the year 2021 (Iwunze, 2021)

23^rd (twice) and 26^th March 2020: The Central bank of Nigeria (CBN) on 16-18 March 2020 announced a set of policy measures to counter the impact from the fast spreading coronavirus (such as cut in interest rate, provision of credits to SMEs, injection of USD 3.25 Billion into the manufacturing sector)(Colato, 2020)

27^th July 2020: OPEC and other non OPEC producers including Russia and Mexico agreed to extend its record oil production cuts until the end of July 2020 (Oluwadere, 2020).

Reviewer 2 Report

The manuscript needs extensive work before being publication worthy. Some of the aspects that need significant improvement are:

-the introduction needs to be rewritten. It needs to set the background for the current investigation, explain why the topic is important, why the Nigerian market constitutes a good research playing field, what are the gaps in the literature, what are the main contributions of the current research endeavor, etc.

-the related literature should be more seriously investigated and reported;

-the method is quite weak. why is the analysis period set to start on January 2020? this does not allow for a relevant pre-covid period and for assessing the impact of the pandemic.

-the discussion of the results is lacking; current findings need to be discussed relative to previous findings.

-the conclusions section is weak; it needs serious improvement.

-the references list is too short.

-the language is poor throughout the paper. editing services are needed.

Author Response

The manuscript needs extensive work before being publication worthy. Some of the aspects that need significant improvement are:

-the introduction needs to be rewritten. It needs to set the background for the current investigation, explain why the topic is important, why the Nigerian market constitutes a good research playing field, what are the gaps in the literature, what are the main contributions of the current research endeavor, etc.

I will work on the introduction. This topic is important because most researcher focused NSE (as a single unit). But work wants to explore the impact of COVID-19 on the five sectors of NSE.

The study of Akhtaruzzaman et al. (2022) considered Nigeria as one of the four emerging markets in Africa.

We will include the main contributions of our current study.

-the related literature should be more seriously investigated and reported;

This will be done

-the method is quite weak. why is the analysis period set to start on January 2020? this does not allow for a relevant pre-covid period and for assessing the impact of the pandemic.

This is due to lack of data for all the sectors under consideration

-the discussion of the results is lacking; current findings need to be discussed relative to previous findings.

This will be taken care of.

-the conclusions section is weak; it needs serious improvement.

This has be done

-the references list is too short.

This has been done

-the language is poor throughout the paper. editing services are needed

This has been done

Reviewer 3 Report

This article investigates the impact of COVID-19 on five (5) Nigerian Stock Exchange (NSE) sectorial stocks namely: NSE Insurance, NSE Banking, NSE Oil and Gas, NSE Food and Beverages, NSE Consumer goods. 

The topic per se is interesting, and the authors have done a reasonable job of conducting the empirical work. Although the paper is a good, it got some issues which need fixing in light of the following suggestions.

 

• The abstract is excessively long but has some shortcomings. For instance, some details around the data would be useful in the abstract.
• The paper is short. In the Introduction, you need to connect the State of the Art to your paper goals. 
• There is Limited review of existing research in the introduction section. Hence, the literature review/State of Art section is missing. Please provide a literature review section by a clear and concise state of the art analysis. This should clearly show the knowledge gaps identified and link them to your paper goals. 
• It would be important to see some robustness/sensitivity checks beyond what the authors have done. Has any robustness check been done to confirm the validity of the findings?
• Although the empirical analysis is interesting, but I would strongly suggest, that the author/s add more intuitive explanation of the findings. Which are the implications for policy makers, researchers, investors, and even the public in general? These needs to be linked to the previous research.
• The presentation of the tables and figures needs to be improved.
• The conclusions should be further developed in order to explore the main advantages of the approach herein followed. What are the policy implications? What are the main differences regarding the outcomes obtained with this approach and the other approaches available in the scientific literature?

 

I wish you best of luck.

 

 

 

Author Response

This article investigates the impact of COVID-19 on five (5) Nigerian Stock Exchange (NSE) sectorial stocks namely: NSE Insurance, NSE Banking, NSE Oil and Gas, NSE Food and Beverages, NSE Consumer goods. 

The topic per se is interesting, and the authors have done a reasonable job of conducting the empirical work. Although the paper is a good, it got some issues which need fixing in light of the following suggestions.

 

• The abstract is excessively long but has some shortcomings. For instance, some details around the data would be useful in the abstract.

I have work on this

• The paper is short. In the Introduction, you need to connect the State of the Art to your paper goals. 

I have work on this

• There is Limited review of existing research in the introduction section. Hence, the literature review/State of Art section is missing. Please provide a literature review section by a clear and concise state of the art analysis. This should clearly show the knowledge gaps identified and link them to your paper goals. 

I have work on this

• It would be important to see some robustness/sensitivity checks beyond what the authors have done. Has any robustness check been done to confirm the validity of the findings?

I have done this

• Although the empirical analysis is interesting, but I would strongly suggest, that the author/s add more intuitive explanation of the findings. Which are the implications for policy makers, researchers, investors, and even the public in general? These needs to be linked to the previous research.

I have done this

• The presentation of the tables and figures needs to be improved.

I have done this

• The conclusions should be further developed in order to explore the main advantages of the approach herein followed. What are the policy implications? What are the main differences regarding the outcomes obtained with this approach and the other approaches available in the scientific literature?

 

I have done this

Round 2

Reviewer 1 Report

The authors have addressed my comments on the previous version of the paper.

Reviewer 2 Report

I do not find the current work publication-ready. Further work is needed to improve its language thought (i.e. editing services) and structure. For example, all elements in the formulas within the method section must be explained. The conclusions need improvement, they consist of a short paragraph full of language problems (see this sentence: "Although this study used GARCH models but one may apply GARCH-in-Mean Model.")

 

Author Response

For example, all elements in the formulas within the method section must be explained. This has been done

The conclusions need improvement. This has been improved.

 

Reviewer 3 Report

The paper has been improved. However, the conclusion is still very brief, the methodology lacks enough explanation, and there is no discussion on the robustness checks for the validity of the results.

Author Response

The paper has been improved. However, the conclusion is still very brief, the methodology lacks enough explanation, and there is no discussion on the robustness checks for the validity of the results.

I have worked on the conclusion while more explanation has been provided for the methodology. 

The robustness was checked using the weighted Ljung-Box test for serial correlation and ARCH-LM test for test of ARCH effects

Round 3

Reviewer 2 Report

I don't feel that all the recommendations given during all the review rounds have been satisfactorily answered.

Author Response

We have taken care of the editing. Thank you.

Reviewer 3 Report

The paper has improved however still the presentation of the results could be further improved.