Register Business Outside of UK while on Skilled Worker Visa

As I understand it, I will not be allowed to set up a business in the UK on Skilled Worker Visa. But will I be free to register a business outside of the UK?

I plan to reside in the UK and work for my employer in UK on a skilled worker visa but at the same time I also have plans of starting a business on the side and I want to understand my options.

You are allowed to buy shares in companies(business) or become part or 100% own business in the UK or elsewhere. There is no restriction on that in the UK or outside. You need to pay tax for your world income.