The growth in Indian and Chinese economies has been attributed to major reforms in the modus operandi of the capital market of the two economies. The stock market performance of the two leading economies of Asia has been a topic of discussion globally especially after 2008. In the present research, the researcher has compared the performance and stock market volatility of Indian and Chinese Pharmaceutical Indices Returns during 2004 to 2017 i.e. thirteen years. Pharmaceutical Sector forms one of the major industries of any economy and contributes to the GDP of that economy as well. Present study uses advance econometric tools like ADF Test to study stationarity, Statistical tools to compare performance and Garch (1, 1) model to study the volatility pattern of the Pharmaceutical sector indices of the two economies. The results were calculated on E-Views 8 software.