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In year 2000 financial markets provided strong cues conveying the end of the era of United States´ economic supremacy. New issue born was as to who will fill this void. The giants from Asia were significantly ahead of all others contenders when compared in any term viz economic, geographical etc. The added advantage for them was being huge markets with robust economies themselves. The study therefore focused on tracing the relationship, if any, existed between the stock market returns and macro economic factors present in economy. Along with contenders India and China on one hand, Japan was still very much there. Now issue worth learning was scale of oscillations in market indices. Researchers´ being fortunate enough to be present at the center stage easily realized even before the heat started that Asia was poised once again, after 600 years, to unfold into global economic power house. Thus, this study became the first leg, to start with. Any research conducted at such times looks more like profiling the history but then, the same is essential to provide directions for future studies.

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