Over the last 5 years or so, the Dhaka Stock Exchange has consistently outpaced thebourses of our neighboring countries and most of the major international exchanges interms of return on investment. This paper attempts to identify the relationships betweenmajor macroeconomic factors such as GDP growth, inflation rate, remittances, festivals
and micro factors such as investors’ perception of risk and return on investments in the
DSE relative to other investment opportunities to the DSE General Index. In order toidentify the relationships statistical tools regression, paired t-tests, correlation, andARIMA model have been used. ARIMA is used for finding relationship between PohelaBoishakh and Eid. The stock index is positively correlated with remittance inflow,however, inflation is negatively correlated. The paper also finds that prime reason thatinvestors invest in DSE is that they find it enjoying, followed closely by its high return oninvestment. In addition, the research finds that investors only relate return from DSEmildly with return from Real estate. The relationship between Real Estate risk and DSErisk is also observed to be negatively correlated. There is no significant link betweenPohela Boishakh as an event and DSE Index. In addition, the paper includes analysis of individual sectors on the stock market and how their stock prices are affected byoccurrence of these factors. We used CAR( Cumulative Abnormal Return) method tofind the variations. The pharmaceuticals stocks were most averse to fluctuationswhereas the banking and insurance industries were the least resilient.