Abstract: The cointergration method was employed to do the resrearch on the relationship between the Chinese stock index and macroeconomic variables such as GDP (Gross Domestic Product), interest rates and money supply. The article not only settles a multi-factor model of those factors but also analyzes the causality of them. From the results, it concludes that the fluctuation of stock price deviates from the growing trend of national economy and that stock market is inefficient in the transmitting system of monetary policy. Finally, the article analyzes the cause of such phenomenon and provides some constructive policy suggestions.