Abstract: This study various insights into the returns provided by the stock markets under study and also summarizes the risk behavior of the stock exchanges of South Asia, i.e., India, Sri Lanka, Bangladesh, Pakistan, Nepal and Maldives. The study aims at finding out whether the return and risk associated with the stock markets of South Asian nations have been significantly different over time. Finally, the study attempts to suggest to the investor as to which of the stock markets from amongst the SAARC nations provide the investor with a potentially profitable avenue. The study presents the descriptive statistics including Mean percent return (per year and over the entire reference period), Average annual return, maximum and minimum return, Standard deviation, Skewness, Kurtosis and Jarque Bera statistic for the stock exchanges under study. The study finds that the Indian stock markets emerge as a preferable potential avenue for the global investors. Secondly, Bangladesh and Sri Lanka also come across as good investment avenues because of the relatively stable political and economic systems besides offering a high return and reasonable risk.