This study examine the long run as well as short run relationship between China’s macroeconomic factors such as industrial production index, imports, exports, inflation rate and interest rate and Shanghai Composite Index and to explore which macroeconomic variables have significant influence on stock exchange prices. To examine the relationships between China’s macroeconomic factors and Shanghai Composite Index, Auto-regressive Distributed Lag (ARDL) approach to co-integration has been employed. In the long run, industrial production index and imports have significant impact on stock exchange prices. For the short run; past stock prices, industrial production index, previous inflation rate and interest rate are important determinants for stock exchange prices.