From the view of macro economy, the authors analyse the mechanism that how gross national product(GNP),commodity prices, inflation, interest ate and exchang rate etc. influence stock market. At the same time they also analyse how stock market counteracts macro economy. From the analysis of relationship of macro economical coincident CI and Shanghai Stock index and Shenzhen Stock index,We can conclude that in our country there is high relation between stock market and macro economy and the trendcy of stock market precedes the one of macro economy.