Stock Returns and Volatility: Comparative Investigation from SAARC Countries

This research article analyses the stock return and volatility of three selected SAARC countries (Pakistan, India, and Bangladesh), focusing on the role of natural resources in influencing market performance. This study aims to determine the robustness of the performance, considering the economic significance of these countries' natural resources. The daily data from the PSX 100 index (Pakistan Stock Exchange), BSE index (Bombay Stock Exchange), and DSE index (Dhaka Stock Exchange) for the years 2019 to 2021 has been obtained from their websites. The data is treated in MS Excel to compute the daily Geometric Returns for BSE, PSX, and DSE indices. Furthermore, the data were analyzed using the specialized package EViews for Time Series Graph, Descriptive Statistics, Unit Root Test, and GARCH Model. The findings of this research show that the BSE index has the highest return value of 6.78 percent compared with 4.56 percent and 3.75 percent for DSE and PSX, respectively. The Half-life model has been applied to calculate the volatility observed by the indices. The result shows that BSE is the most volatile and takes the highest time of 45 days to revert to its mean position, followed by PSX and DSE, which take 19 and 10 days, respectively. Therefore, investing in the BSE index is better for risk-lover investors. At the same time, DSE has the fastest mean reversion compared to the other two indices. Therefore, it is feasible for risk-averse investors.