This study aims to investigate long-run and short run relationship between stock market index and exchange rates along with interest rates and consumer price index. The study inspects empirical findings with autoregressive distributed lag (ARDL) model, error correction modelling technique, and Granger causality analysis using quarterly data ranging from the period 2002:q1 to 2016:q1. The empirical findings indicate long run equilibrium relationship between stock market index and exchange rates. The Granger causality analysis indicates unidirectional causality between exchange rates and stock market index, and identifies exchange rates Granger cause stock market index. The findings of the study conclude that there is a long run equilibrium relationship between stock market index and exchange rates. The Granger causality test finds that in case of Pakistan exchange rates Granger cause stock market index, thus supports the traditional approach.