Stock Returns and Volatility

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.