The present study makes an attempt to investigate the impact of India’s macroeconomic variables on the India’s flagship Stock Index: the NSE Nifty. The variables include monthly log transformed prices of the key macro variables viz. money supply, industrial production , rupee –dollar foreign exchange rate, Oil Price and Yield on Government Bonds. For financial variables, closing monthly prices of NSE Nifty, Oil Prices and rupee-dollar foreign exchange rate have been taken into consideration and analysis has carried out for a ten year period April 2008 to March 2018. For other macro variables we have taken closing value of their respective indices. The study employs Dynamic OLS technique of Stock and Watson (1993), a co-integration technique which corrects for simultaneity bias. To correct for the short run dynamics, an error corrective mechanism has also been established parsimoniously. Other tests included in the study are the Augmented Dickey Fuller for detection of unit root of variables and Causality tests between Nifty and each of the macro economic variables under study. The Dynamic OLS was carried out at optimal AIC Lag Identification criteria with maximum limit set at ‘3’ lags and ‘3’ leads. The Dynamic OLS was subject to parsimonious adjustment and the results showed that only three variables, CPI, Forex and Oil were having a co-integrating relation with the dependent variable NSE Nifty Prices. The Parsimonious ECM relation to determine the equilibrium link between short and long run and the results showed that lagged error term was significant and also negative with a figure of 0.51 thereby showing 51 % backward movement towards equilibrium in one period. The unit root diagnostic tests confirmed that time series of all the independent variables was stationary only at 1st difference with only NSE Nifty being stationary at level .