Stock indices are the barometer of an economy and are affected by numerous factors like economic condition, listed companies performances, government policies and regulation, sale and purchase transaction in the particular period, arbitrageurs and speculators interferences and many other factors. The present study emphases on certain macroeconomic variables include the exchange rate, foreign reserves, the balance of trade, and inflation using monthly data that span from April 2008 to March 2016. To identify the variables that have high explanatory powers, multiple regression models are applied and concluded that the exchange rate is the main predictor for causing the variations among all predictors. Other variables like foreign reserves, trade balances, inflation rate and interest rate are having a very low insignificant impact on the return of stock indices.