This paper investigates the long-run equilibrium relationship between stock prices and six macroeconomic variables, using Jonhansen’s co-integration analysis. In addition, using Hansen and Johansen (1993)’s recursive likelihood ratio test of the constant cointegration space, this study analyzes the stability of cointegraing vectors, i.e, the structural shift of the relationships between the macroeconomic variables We find that the Korean market is cointegrated with six macroecomonic forces However , the regime shift was found some time in 1987. Thus, with the dummy variable for the structural changes, this study investigates the long-run relationship between the stock prices and macroeconomic variables and shows that the signs of co-integrating vector are the same as the signs expected by the hypotheses. The stock prices are negatively related with the long-term interest rate, the oil prices and Korean won against the US dollars, and positively related with the inflation, the industrial production, and the supply of money.