Stock Exchange as one of the Main Pillars Capital Markets in the Country Able to Decant the Stagnated Savings of the Country and Pushing them into Production ,  to Speed Development Economic. Thus  Because of the Importance this Market  in Economy, this Study Uses Variables Monthly Data, Stock Price Index , Real Exchange Rate and the Inflation Rate Over the Period , from March 2009 -February 2013 to Using of Approach Vector Regression as well as Functions Impulse Response and Variance Decomposition , the Relationship Between these Variables has been Tested . The Results Show that , Despite the Increase in the Exchange Rate Now Oriented Export Industries such as Basic Metals and Petroleum Products are Profitable and Demand will be Increased for the Company's Shares. But on the other Hand, Oriented Import Companies such as Automobile Manufacturers and Pharmacists are Faced with the Rising Cost of Manufactured goods. Thereby their Margins Profit Reducing and Earnings will be Met and Therefore the High Volume Vrad Companies in the Stock Market, Real Exchange Rate Volatility in the Short-Term, has Decreased Stock Price Index. Also in the First Period, Inflation had a Small Positive Effect on the Share Price Index But have a Negative Effect in Later Periods, and the Stock Price Index has Reduced