The purpose of this study is to investigate the relationship between macroeconomic variables (interest rate, money supply, exchange rate, inflation rate) and overall market return in Hong Kong and Shanghai. The relationship is test by using APT, VECM and Granger-Causility test. Pre-tests of unit root and cointegration are the way to process monthly data in this paper. Results: There do exist an relationship between the selected macroeconomic variables and stock market return in Hong Kong and Shanghai in the long and short period. This paper implies that the investors who are interested in Chinese stock market should be prepared to invest for the long-term. But in Hong Kong stock market, the investors not only focus on the long-term but also focus on the short-term.