Stock market and its indices are known as the barometer for any economy and India is no exception to it. Stock market is sensitive driven which is affected more or less by every movement in the economic parameters at world level in general and in India in particular. It remains the matter of concern for every Investor, Policy Makers, Economist, Government, etc., to know what are the factors that govern the movement of stock market? One of the biggest such factors (especially after 1991) is Foreign Institutional Investment (FIIs), therefore, the present study is conducted by taking BSE Sensex (as the proxy of Indian stock market) as dependent variable and FIIs as the prime independent variable. However, certain other independent factors are used as control variables viz. Index of Industrial Production (IIP), Consumer Price Index (CPI), Export, Exchange Rate (INR/USD). The study employs Auto Regressive Distributed Lags (ARDL) model to analyse cointegration among dependent and independent variables. It is observed that the variables under study are co integrated with each other. FIIs, Export and CPI were found to be positive significant determinants, however, IIP and ER were the negative significant determinants of BSE Sensex in the long- run. Further, the study finds that ContEquis -.959021 which signifies that the short-run results get convergence or will be monotonically adjusted in the long-run at the speed of 95%.