The key objective of this study is to expedite the quest for knowledge, on relationship between the stock market return index and macroeconomic factors (GDP, inflation rate, exchange rate, interest rate, consumer price index) in a purposefully selected sector particularly in information technology S & P index was taken from Bombay Stock Exchange (BSE) market indices. The study period spans from beginning year 2000 G.C - December 2017 GC. From this calculated stock return, Annual basis analysis will be done and results will indicate any kind of relationship between exchange rate, Consumer Price Index (CPI), Inflation rate, growth domestic product (GDP) and Interest rate. It will have certain evidence that might affect the stock market return as it will be shown on this study clearly in the data analysis section.In a contemporary manner with the current Ethiopian market condition where selling shares of companies will take long time and effort, even though the seller is in dire need of cash. And when traders take part in the business, it is usually observed some influence for one's own advantage in the numerical value of the share percentage in the process.