The study investigated the impact of macroeconomic variables on the functioning of
., The monthly data of ten macroeconomic variables, namely Broad Money, Call Money Rate, Crude Oil Price, Exchange Rate, Foreign Exchange Reserve, Foreign Institutional Investors, Gross Fiscal Deficit, Index of Industrial Production, Inflation Rate and Trade Balance and one stock market index i.e. BSE 500 have been used to attain the objectives of the research. The Augmented Dickey Fuller (ADF) Test, Multiple Regression and Granger Causality Tests were employed to find out the results. It was found that Foreign Institutional Investors became stationary at level, Call Money Rate, Crude Oil Price, Exchange Rate, Foreign Exchange Reserve, Gross Fiscal Deficit, Inflation Rate and Trade Balance at Ist difference and Broad Money and Index of Industrial Production at IInd difference. This stationary data has been applied to find out the significant macroeconomic variables through multiple regression technique. The two macroeconomic variables Foreign Institutional Investors and Exchange Rate were found significant. Granger causality test was used to check the causality relationship between these two significant variables and average closing prices of manufacturing firms of BSE 500. It has been observed that these variables have no relationship with closing prices of BSE 500 manufacturing firms. The study also revealed that the Indian Stock Market was a weak form efficient because no relationship was found amongst the variables during the study period.