The 2007 global financial crisis caused unprecedented upheavals in the global stock markets and has shaken investor’s confidence due to the turbulent fluctuations and volatilities in stock prices. The present study is instrumental in identifying the main determinants affecting share prices in the Bahrain financial market. The study analyzes a panel data set of 41 companies listed in the Bahrain stock exchange for the period 2006-2010. The year 2006 is used as the first year of data collection as most of the companies were incorporated in 2005. Since the Bahrain bourse witnessed a turbulent period during the first half of 2010 due to political unrests causing 25.5% slump in the aggregate value of traded shares in the first half of 2010 and 7.59% drop in the Global Bahraini Index in the following year, the post-2010 period was deliberately ignored in this study. The estimation method is based on pooled OLS regression with robust standard errors, fixed effects and random effects models. Eight firm specific variables namely return on equity, book value per share, earnings per share, dividend per share, dividend yield, price earnings, debt to assets and controlled by firm size, have been studied to infer their impact on market price of shares in the respective market. The results indicate that the variables return on equity, book value per share, dividend per share, dividend yield, price earnings, and firm size are significant determinants of share prices in the Bahrain market. A high R² (0.80) revealed under both the applied models further documents the significant impact of these variables on the market price of shares. This suggests that investors can make optimum investment decisions and be assured fair returns if they consider these determinants which have evolved to be the significant contributors to the market price of shares in Bahrain.