Executive Summary: The purpose of this research was to investigate the impact of macro-economic factors on stock market return in context of Nepal. Variables used in this study were GDP, Interest rate, Inflation, Exchange rate and Broad Money supply. These variables were extracted from the review of various articles both from national and international context and based on it conceptual framework and hypothesis was formulated. As par the hypothesis, GDP, INF R, ER and BMS has positive relation with market return i.e. NEPSE Index whereas INT R has negative relation with NI. To test the hypothesis, econometric tools were used applying the concept of Engle-Granger methodology. 
This method was segregated in three steps: First was unit root test used for assessing the data stationary. In this test data was proved as stationary in the 1st difference. Once data stationary was proven second step was OLS regression through which coefficient and p-value was formulated. According to this analysis GDP, INF R and BMS has positive but insignificant relation with NEPSE index whereas INT R has negative and insignificant relation and ER has significant and positive relation. The last step was co-integration test; this test was conducted by testing the residual obtained from OLS Regression regarded as stationary test of OLS residual. Result of this test indicated that residual p-value is less than 0.05 hence variables were co-integrated and long term equilibrium relation exists between macro-economic factors and market return. Along with it other test such as descriptive statistics and correlation was also conducted which showed similar relation as of regression. 
Hence relying upon the findings of this paper we can say that investors can opt for macro-economic analysis for predicting the stock market return in the long run as the economic scenario has equal impact upon the security market as of any other fundamental or subjective criteria that is used for analysis by the investors.

Acknowledgment
This research was conducted to fulfill the part of program criteria that is the requirement to fulfill Master’s in Business Administration for 6th trimester students at 
Kathmandu University School of Management (KUSOM). My primary indebtedness goes to KUSOM for giving me an opportunity to use my theoretical knowledge in the practical field by conducting this study.  
I would like to express my deepest gratitude to my research supervisor Mr. Dipendra Karki for guiding me constantly.