Economic conditions were not so favorable during the 1997 financial crisis. The instability in international financial markets in turn spilled over into domestic financial markets. Continued waves of adjustment in both currency and equity markets, coupled with declining domestic and foreign demand, subsequently prompted a shift to more growth-friendly policies. One of the institutions affected was the Malaysian stock market. Overall, the Malaysian stock market contributes to the better allocation of capital resources among numerous users. The roles of the stock market are mainly to facilitate and encourage the mobilization of funds, direct them towards efficient economic activities, provide adequate liquidity to investors and encourage the creation of large-scale enterprises. The Kuala Lumpur Stock Market Index (CI) is the most popular indicator of the performance of the Kuala Lumpur stock market. The IC represents the stock prices of 100 companies. These companies are chosen because their operations cover a broad spectrum of economic performance in Malaysia and most significantly reflect stock market activities with fair accuracy. Stock prices depend on supply and demand for stocks, what causes stock prices to be higher volatile is the limited supply of new issues despite strong demand for stocks. This supply limitation leads to greater price fluctuations, common to all stock markets. However, two things prevent an endless rise in prices in the stock market. First, the amount of money available in any country is limited. As the bull market progresses, more and more of the country's savings are invested in the stock market and eventually those involved may find themselves dealing with liquidity... half of paper... economic variables for emerging economies. Overall, the studies have demonstrated the existence of a weak form of market efficiency among FMEs for the respective study periods and countries. Recently, studies have examined the cointegration between macroeconomic variables and stock prices in order to verify the information-efficient market hypothesis. All the studies cover the period before the financial crisis of July 1997. However, there is no attempt to study the cointegration between the variables and the stock market after the financial crisis. Therefore, this study investigates the relationship between stock market returns and underlying macroeconomic variables, for Malaysia as a country known as a member of ASEAN for the post-Asian financial crisis period, to determine whether or not a weak form will exist in Malaysia of market efficiency.