http://www.iaeme.com/IJM/index.asp 1456 editor@iaeme.com International Journal of Management Volume 11, Issue 08, August 2020, pp. 1456-1475. Article ID: IJM_11_08_133 Available online at http://www.iaeme.com/ijm/issues.asp?JType=IJM&VType=11&IType=8 Journal Impact Factor (2020): 10.1471 (Calculated by GISI) www.jifactor.com ISSN Print: 0976-6502 and ISSN Online: 0976-6510 DOI: 10.34218/IJM.11.8.2020.133 © IAEME Publication Scopus Indexed ASIAN EMERGING MARKET PERSPECTIVE OF MACROECONOMIC FACTORS, STOCK RETURN AND VOLATILITY Raja Nabeel-Ud-Din Jalal* Università degli Studi "G. d'Annunzio" Chieti – Pescara, Italy, Visiting Research Assistant, Trinity Business School, Trinity College Dublin-The University of Dublin, Ireland. Najam Us Sahar Riphah International University, Islamabad, I.R. Pakistan *Corresponding Author ABSTRACT Macroeconomic factors and events affect the asset prices. This study has incorporated multiple macroeconomic factors to determine their impact on stock market return and volatility in Asian emerging economies. These factors were further categorized in economic, political, disaster and global and regressed against stock market return and volatility by using panel data analysis technique. Results indicate that GDP, Inflation, imports and exports, Political instability, disaster, oil prices, world market index and VIX were related to returns. However, in stock market volatility case disaster, political instability, gold and oil prices and world market index are significantly impacting the stock volatility in Asian emerging markets. Keywords: Macroeconomic factors, stock return, volatility and Asian emerging economies. JEL Classifications: C32; O13; O47. Cite this Article: Raja Nabeel-Ud-Din Jalal and Najam Us Sahar, Asian Emerging Market Perspective of Macroeconomic Factors, Stock Return and Volatility, International Journal of Management, 11 (8), 2020, pp. 1456-1475. http://www.iaeme.com/IJM/issues.asp?JType=IJM&VType=11&IType=8 1. INTRODUCTION Economic news and events influence the asset prices. Modern Portfolio theory solely focused on risk factor and concluded that economic factors influence the investment return. This drew the attention of Chen, Roll and Ross (1986) and they criticized that modern portfolio theory is inactive. But there are economic factors which effect the stock prices and volatility. Investors