This study investigates how key macroeconomic variables interest rates, inflation, GDP growth, exchange rates, and money supply affect stock market returns. Using time-series econometric techniques such as multiple regression, VAR, and co-integration analysis, the research identifies both short-term and long-term relationships. Data is collected from reliable financial institutions to ensure accuracy. The findings highlight significant correlations, suggesting these economic indicators play a crucial role in shaping investor behaviour and market movements. Despite limitations like data constraints and market volatility, the study offers valuable insights for investors, policymakers, and financial analysts. SDG: This project supports SDG 10 (Reduced Inequalities) and SDG 8 (Decent Work and Economic Growth) by promoting financial inclusion and economic understanding. It also relates to SDG 9 (Industry, Innovation and Infrastructure) through the use of advanced econometric methods, and SDG 16 (Peace, Justice and Strong Institutions) by contributing to transparent policy formulation.