The volatility and movement in stock markets reflect the direction of any economy. This study is an endeavor to evaluate the effect of macroeconomic determinants on the performance of the Indian Stock Market Index Nifty using monthly data over the period April 2006 to March 2016 (10 financial years) with twenty macroeconomic variables, namely, Bank Rate, Cash Reserve Ratio (CRR), Statutory Liquidity Ratio (SLR), Repo Rate, Call Money Rate, 91- Day Treasury Bill, Consumer Price Index (CPT), Wholesale Price Index (WPI), Foreign Institutional Investment (FII), Exchange Rate(USD-INR,EURINR, GBP-INR,JPY-INR), Gross Domestic Product at Market Price, Index of stock market as dependent variable. Initially, regression analysis has been performed taking CNX Nifty as dependent variable. Then, factor analysis has been applied and interestingly the behavior of the dependent variable i.e Nifty can be explained in a better way with the help of factors derived in this process.