This study aimed to determine the relationship between the growth rate of the stock price index and a set of macroeconomic variables such as inflation, exchange rate growth, liquidity and economic growth. In this study, quarterly data for the period 1371-1388 using a Vector Auto Regression model, have been analyzed. The results suggest that long-term equilibrium relationship between macroeconomic variables and stock price index was significant and the shocks of inflation and exchange rates have a negative impact on the stock price index. Of course the impact of exchange rate shocks on the stock price are more severe than inflation.