This study aims to investigate whether the Amman Stock Exchange (ASE) performance, as measured by the stock price index, is affected by a set of macroeconomic variables. Namely, Real Gross Demotic Product, Consumer Price Index, Credit to Privet Sector, Weighted Average Interest Rate on Time Deposit, and dummy variable explain the global financial crises period. The data used in the study are quarterly data from 1992: Q1-20014: Q1. To examine whether this effect exists or not, Johansen cointegration test and Vector Error Correction model (VECM), Impulse Response Function (IRF) and Variance Decomposition (VD) are employed. The empirical results indicate that there a long run equilibrium relationship among stock market index and the main macroeconomic variables in Jordan. The findings of the study have showed that the speed of adjustment in the VECM is significant and relatively slow. This implies that long run movements of the variables are determined by one equilibrium relationship. The results also indicate that there is a bi-directional long run relationship between stock price index and credit to the private sector, weighted average interest rate on time deposits, and consumer price index. The evidence implies that an increase in the weighted average interest rate on time deposits in the banking system has a greater effect on the stock price index than other macroeconomic and financial variables.