The purpose of the study is to examine the relationship between the macroeconomic variables and the Nepalese stock market. The analysis is based on Ordinary least square method find the co？integration between the set of variables and the stock market. Granger？s causality test was applied to find the direction of causal relationship between the variables and the stock market. The set of variables include boarder money supply, Consumer Price Index, Risk free return ,Exchange rate and the dependent variable is NEPSE(Nepal Stock exchange).The results showed that the variables did have influence but were weak when differentiated at order one.
Tags: NEPSE, macroeconomic variables, Cointregration
