Abstract: The paper analyses the short-term, long-term, cause and effect relationship between Shanghai and Shenzhen Stock Market Indexes of China and macro economic factors by using econometric methodology of time series of co-integrate relationship test, VEC model and granger cause and effect relationship test. The result of experimental analysis indicates co-integrate relationship between fluctuating of Indexes and indicators of M1, securities issued and short-term lending interest rate. And granger cause and effect relationship test indicates strong cause and effect relationship between fluctuating of the Indexes and indicators of retail sale prices and exports. All these demonstrate that Chinese stock markets reflect the situation of macro economy to some extent.