Abstract: This paper uses monthly macroeconomic data and stock market indices from January 1996 to August 2002, and adopts vector autoregression method to study the fraction of the variation in stock returns that can be attributed to various types of macroeconomic news. The empirical results show that macroeconomic news can only explain about 30% of the variance in stock returns, and all the variables appear to have a less significant effect on stock returns.