Assistant Professor Department of Finance Jagannath University, Dhaka

This paper investigates the impact of changes in selected microeconomic and macroeconomic variables on stock returns at Dhaka Stock Exchange. A Multivariate Regression Model computed on Standard OLS Formula has been used to estimate the relationship. Based on regression coefficient, it was found that inflation and foreign remittance have negative influence and industrial production index; market P/Es and monthly percent average growth in market capitalization have positive influence on stock returns. All the independent variables can jointly explain 44.48 percent variation in DSE all share price index. No unidirectional Granger Causality is found between stock prices and all the predictor variables under study except one unidirectional causal relation from stock price and market P/Es. In a nut shell, lack of Granger causality between stock price and selected micro and macro variables ultimately reveals the evidence of informationally inefficient market.