This study investigated the impact of macroeconomic variables on stock returns across three major South Asian stock exchanges: NSEI in India, DSEX in Bangladesh, and KSE100 in Pakistan, over 11 years from January 2013 to December 2023. Using OLS multiple linear regression, and VAR models, the research analysed how these markets react to changes in macroeconomic conditions.

Pre-pandemic, interest rates and inflation strongly influenced India’s capital markets, a trend which diminished post-pandemic. In the pre-pandemic period which included the political crisis in Bangladesh, the regression showed coefficients of low statistical significance for most variables and a small R-squared while post-pandemic analysis revealed improved model fits and significant macro variables effect on stock market returns such as the interest rate and money supply. In Pakistan, the China-Pakistan Economic Corridor (2013-2015) boosted market stability, while the period from 2019 to 2023, marked by COVID-19 and political turmoil, deviated significantly from traditional economic models, enhancing market uncertainty and volatility.