Given The Importance of Relationship between Macroeconomic Variables and Financial Market for Researchers, Investors and officials, This Relationship has been Studied in This Research during Period 1-1-2010 to 31-12-2011 Using Monthly Data for Nominal Effective Exchange Rate SNEER, Money Supply SM2, Exports Coverage Imports SXM, Inflation Rate SINF, Damascus Market Index SDWX. Stability of Time Series Studied through Augmented Dickey Fuller Test, Johansen Co-Integration Test Confirmed There is Longitudinal Relationship-Term, Using Granger- Causality Test Appeared That The Relationship Reciprocal between Money Supply and The Index, Nominal Effective Exchange Rate is Causing Change in The Index, VAR Model Estimated, and Characterized by High R2, Jarque-Bera Test Shows The Residuals do not Follow Normal Distribution, Finally, Prediction in Some Time Periods Close to Realistic Values of Index. By Analyzing This Result We Come up That The Relationship between Macroeconomic Variables and Damascus Market Index has a Medium Strength.