Content of review 1, reviewed on May 21, 2020
The purpose of this study is to examine volatility spillover effects between the stock market and foreign exchange market in selected Asian countries; Pakistan, India, Sri Lanka, China, Hong Kong, and Japan. Overall, the topic is interesting and the study provides useful insights for the portfolio managers and policymakers. However, these following comments will improve the paper.
Abstract: The abstract is good because it is structured well and contains all the required elements. However, many recent and relevant references are missing.
Introduction: The authors should provide a stronger theoretical framework with the help of the International portfolio theory.
Methodology: The empirical techniques used in this article have been dated. I would like to suggest that the authors should use the dynamic conditional correlation (DCC) model and/or asymmetric DCC model in their analysis.
Conclusion and Discussion: The implications of the study are needed to be added to the findings of the study. The implications of the study are missing in the conclusion part and the discussion part is also missing in this paper.
© 2020 the Reviewer.
Khalil, J., Amjad, I. 2016. Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries. Financial Innovation.