The study analyzes the short and long-run relationship between the Philippine Stock Exchange Index and macroeconomic variables industrial production rate, inflation rate, interest rate and foreign exchange rate. In particular, the paper examines secondary data from January 2009 to December 2019 with the use of Autoregressive Distributed Lag (ARDL) to estimate causality function; F-Bounds Test and Wald Test to confirm long-run relationship; and Error Correction Term (ECT) to determine the adjustment of short-run errors towards long-run equilibrium. The results show that industrial production rate and interest rate have a significant negative long-run and positive short-run relationship, respectively, while the foreign exchange rate has both significant positive short-run and negative long-run correlation with the stock market.