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This study identified the effect of the fluctuation of macro-economic variables on stock prices through dynamic analysis of stock prices and macro-economic variables. The results are summarized as follows: First, Unit Root Test of each variable was carried and, as a result, it was demonstrated that difference variables do not have unit roots. Second, results of the Cointegration Test showed that there are three cointegration relations. Third, results of the Impulse Response Analysis showed that money stock shock and interest rate shock are not very serious while manufacturing production shock and exchange rate shock are serious. Fourth, results of Variance Decomposition Analysis showed that fluctuation of stock prices accounts for more than 60% of the estimated error. The influence of the money stock is weak at the beginning of stock prices fluctuation while as time goes by, the influence of interest rates and real business expands.