The hot topic of how matreconomity variable and overall market return arterge. arch other attracted intense intention of practitioners and academics. it controvarial that stock market return is decided by some basic macroeconomy lectors, (inhlation, exchange rate, money supply and interest rate, There were some studies done to detect effects of macroeconomic factors on stock market return in counties. As famous one is done, by Ross in 1976, Chen et al. (1986), who used the Arbitrage Pricing Theory (APT) to explain the relation between macroeconomic variables and stock market return in American stock markets. The cointegration theory was also used to analyze this issue. Mukherjee and Naka (1995) utilized the Johansen cointegration method in Vector Error Correction Model (VECM) and the researchers pointed out stock market in Japan was affected by the following macroeconomic factors, to exemplify it, exchange rate, money supply, inflation rate, real economic activity, long-term government bond rate and call money rate. The aim of this research investigates this relationship in Hong Kong & Shanghai by applying Arbitrage Pricing Theory (APT), Vector Error Correction Model (VECM) and Granger-Causility test. Pre-tests of unit root and cointegration have been used to process monthly data here. Then the standing equilibrium & the short dated dynamics relations between selected macroeconomic variables and the Hang Sens index and Shanghai (securities) composite index will be examined respectively.