Liberalization and globalization are the twin forces that have transformed the Indian economy in the last two decades. Changes are rapid and visible. They have touched almost all the sectors of our economy, in particular the Indian Capital market and Indian industry. The Indian capital market plays a significant role in the growth of the financial sector. A robust stock market can promote economic growth by bringing in domestic as well as foreign investments. The growth of the economy depends upon multiple elements, such as fundamental macroeconomic factors, investment climate, performance of industry sectors and global business environment. An understanding of the macroeconomic factors that influence the movement of stock prices and the role of sector indices, that represent a variety of industries in economic growth, is essential for investors as well as policy makers.