  The purpose of this research is to examine the relationship between the Dhaka
Stock exchange index return and macroeconomic variables such as exchange rate,
inflation, money supply etc. The long-term relationship between macroeconomic
variables and stock market returns has been analyzed by using the Johnson
Cointegration test, Augmented Dicky Fuller (ADF) and Phillip Perron (PP) tests.
The results revealed the existence of cointegrating relationship between stock
prices and the macroeconomic variables in the Dhaka stock exchange. The
consumer price index, money supply, and exchange rates proved to be strongly
associated with stock returns, while market capitalization was found to be
negatively associated with stock returns. The findings suggest that in the long
run, the Dhaka stock exchange is reactive to macroeconomic indicators.
