Enhanced by globalization of world trade and financial liberalization, the BRICS countries have not only showed a high and steady growth rate of GDP but experienced a tremendous takeoff in stock market capitalization in the last two decades. In this paper, we center on the characteristic of causal nexus among a series of related variables and stock market return contemporaneously in five BRICS countries. We examine the long-term equilibrium between stock market price and other macroeconomic variables, using Johansen’s cointegration test and investigate the short-term causality, by VECM. From the empirical results, we find a long-term relationship between stock market price and macroeconomic variables in each of the five countries. In short term, we find a complicated network of causality between all these variables, however GDP growth rate can act as regulator, which is inclined to converge to its long-run equilibrium path in response to any changes in other variables.