<p>This study examines how the wholesale price index (inflation rate) and foreign exchange rate affect India’s stock exchange market. This study examines the relationships between inflation, exchange rate, and stock market index using the non-linear autoregressive distributive lag model. The findings show that these macroeconomic factors cointegrate, affecting India’s stock exchange market. Both the short and long term show a positive correlation between inflation and stock prices.1% increase in inflation raises stock prices by 1.54% in the long run and 0.24% in the short run. This suggests that inflation raises stock prices. Also, long-run foreign exchange rate coefficients have positive and negative asymmetric effects. A depreciation in the domestic currency increases stock prices, according to the statistically significant negative asymmetric coefficient. Despite its presence, the positive asymmetric coefficient lacks statistical significance. This suggests that domestic currency appreciation may not affect stock prices, demonstrating that investors react more sensitively to depreciation than appreciation. These findings affect academics, business executives, and central and state regulators. The findings shed light on India’s stock market and help create effective inflation and exchange rate management policies. Overall, this research illuminates the complex relationship between macroeconomic factors and the Indian stock market, adding to the literature and providing valuable insights for financial decision-makers. This paper finds that stability in exchange rate policies and inflation-targeting measures is important to curtail stock market fluctuations. In addition, it is important for investors to pay attention to inflation and exchange rates when making financial decisions.</p>