The present study examines the impact of the macroeconomic variables on the stock prices in India. To fulfil the objective of the study monthly data of inflation, short-term interest rate, long-term interest rate, index of industrial production, exchange rate, money supply, and the stock indices of CNX Nifty and BSE SENSEX were collected from March 2005 to April 2013. Heteroscedastic cointegration approach was employed using a Johansen test of cointegration, OLS and GARCH (1, 1) model to find out the long-term relationship between the selected macroeconomic variables and the stock prices. It is evident from the study that there exist the long-term heteroscedastic relationships between the stock prices and the macroeconomic variables chosen for the study. Further, it is also evident from the study that while INF, MSE and the IIP are positively related to the stock prices, the SIR, LIR and the EXR are negatively related to the stock prices.