Do the stocks' returns and volatility matter under the COVID-19 pandemic? A Case Study of Pakistan Stock Exchange

The catastrophe that the world is now facing in form of COVID-19, has affected most economies and financial markets as a result lockdown, travelling restrictions, social distances. present study attempted to investigate effects COVID-19 on stock returns Pakistan Stock Exchange. data employed comprises daily prices Exchange, value exchange rate over period 01 January 2011 30 April 2021, dummy variable for which takes 1 during 0 before. were sourced from Karachi Exchange website, National Institute Health Sciences Pakistan, State Bank Pakistan. We applied autoregressive conditional heteroskedastic (ARCH) associate generalized conditionally (GARCH) approaches analyze impact. Our findings revealed negative relationship exists between our variables interest with mean positive volatility KSE-100 index. This implies pandemic price increases index, further affects system. recommends an urgent powerful response needed part government,including strong measures prevent severe market crash near future.