Prudent macroeconomic policy bear great importance on the economic development of any country, Bangladesh is not an exception. The objective of this dissertation is to identify the influential macroeconomic variables, which have long run and short run influence on economic development of the country. The study employed the most recent data of Bangladesh economy from 2006-2017 fiscal year and six macroeconomic variables such as inflation, money supply, exchange rate, DSE index, reserve money, interest rate. A number of econometrics analyses have been done in order to explore the short run and long run association between macroeconomic variables and stock market index, such as Augmented Dickeyfullar test, Johansson integration test, vector auto-reggsive model, vector auto correction model etc. The findingsreveal that there is no long association between stock market index and macroeconomic variables but in short run there is association between market index and macro-economic variables. The findings of this research paper bear great conjugation for academic researcher, policy maker, economist those who are concerned about these issues. Moreover, students can also get substantive insight from this paper. The paper is original one. All data and information have been complied by the researchers themselves.