A theoretical model describing a dependence of stock index on relevant macroeconomic variables is derived. Starting by two possible approaches, portfolio theory and heterogeneous agent hypothesis, the same model formulation resulted. An application was performed, using empirical data of the Prague Stock Exchange and of the Czech Republic economy. Working with the whole sample of observations, a significant relation of stock index and explanatory variables as for industrial production, exchange rate, interest rate, was hardly to be found. Studying an indication of three structural change points, this hypothesis was confirmed by a test and relating re-estimation was performed. A basic information about the problem of structural breaks is given.