The financial sector plays an imperative character in the economic growth and progress of a state, and efficient use of capital resources makes the financial market more effective and more robust. Investors prefer to invest in areas where growth has a positive relationship with increasing investment opportunities. Stock markets promote and contribute towards the economic growth. The present study selected the macro-economic variables (MEV) that include Interest Rate (IRR), Exchange Rate (ER), Inflation Rate (IR) (GDP deflator), risk premium and are subsequently associated with future investments. The present study considered the arbitrage price theory as underpinning to evaluate the association among the latent constructs. The data used in the current study is time series data for the period of 1998 to 2020. The present study used the co-integration and granger causality test to evaluate the long-term and feedback relationship among the latent constructs. The findings of the present study reveal there is long-term relationship between returns, real GDP growth, interest rate, inflation rate, and foreign direct investment. In addition to that exchange rate cause stock market returns, moreover, inflation rate granger cause stock market returns, and stock market returns granger cause to economic growth. The results outline the implication for the investors, policymakers, and regulatory authorities. Future studies can analyze the link between macroeconomic variables and SMR by using different macroeconomic variables such as the supply of money, prices of oil in the international market, and rates of gold in the international market.