Asset return volatility has become a central focus for investors, policymakers, portfolio managers, brokers, academicians, and regulators, as it significantly influences financial decision-making and capital market performance. The stock market plays a crucial role in a country’s economic development, and volatility, widely regarded as a measure of financial vulnerability, creates uncertainty that affects investment expectations and outcomes. Volatility is triggered by the arrival of new information and is shaped by public information, private signals, and historical price trends. Defined as instability or fluctuation, volatility is commonly measured through standard deviation, capturing daily, weekly, and monthly price variations. A wide range of factors contribute to volatility, including macroeconomic indicators, political developments, market sentiment, and technological changes, all of which can alter investor confidence and market stability. While previous studies have examined specific causes and effects of stock market volatility, there remains a need for a comprehensive understanding of the interactions among these determinants and their broader implications. This research seeks to identify the primary drivers of stock market volatility, analyse the mechanisms through which they influence market behaviour, and assess their consequences for diverse stakeholders. By bridging existing gaps in the literature, the study aims to provide deeper insights into the causes and consequences of volatility in financial markets, thereby supporting informed decision-making and effective risk management.