This Study Tries to Examine the Relationship Between the Macro-Economic Variable and the Share Market. to Establish This Relationship We Have Undertaken Exchange Rate (Us Dollar) and Stock Market Indices – Bse Auto, Bse It, Bse Fmcg, Bse Capital Goods and Bse Bankex. the Data Has Been Taken from the Time Period of February, 2009 and February, 2019 on Monthly Basis. Johansen Cointegration Has Been Applied to Check the Long Run Relationship and Cointegration Between the Macro-Economic Variable and Share Market. Fundamentally Exchange Rate Might Impact Various Sectors of the Economy, Though Technically There Might Be Other Macro-Economic Factors That Might Impact Much More Significantly Than the Exchange Rate. Granger Causality Test Has Also Been Applied to Check the Impact of Us Dollar Long Term As Well As Short Term on the Stock Market Indices. the Results Shows That Us Dollar Does Not Significantly Impact the Indices, Hence There Are Many Other Variables That Might Be Impacting the Indices.