This study sought to examine the interaction between interest rate, monetary aggregate (M1), exchange rate, inflation, foreign direct investment and stock market return in two emerging countries namely, Mexico and Brazil and two developed countries namely, Denmark and Japan. The study determined the response of the stock returns to a shock in each of the macroeconomic variables. The Panel VAR approach is used to establish the relationship between stock returns and the macroeconomic variables. Empirical results of the regression model revealed that foreign direct investment showed a significant relationship with stock returns in emerging countries. In developed countries, macroeconomic variables showed a no significant relationship with stock returns. IRF observation shows that for emerging countries the interest rate, the inflation rate and the FDI response on stock prices is positive and significant over the short run and long run. However, exchange rate responses negatively and significantly to stock prices during a short period. We note that the monetary aggregate response to stock prices is negative and significant during a long period. For developed countries, the major of macroeconomic factors response on stock prices is constant and stable.