This study is focused on identifying the causal relationship of stock market volatility and various economic variables. This may help to those scholars who are interested to do their research in the same area, as well as to enhance their knowledge in the related field. For this study Indian Stock Exchanges i.e. BSE Sensex and NSE Nifty has been choosen, as well as from the macroeconomic variables Gross Domestic Product (GDP), Gross Domestic Capital Formation (GDCF), Foreign Exchange Reserves (FER), and Money Supply (MS) has selected to identify their relationship with each other. The data has been analysed through statistical tools as per the requirement of the study.