Studies on the linkage between stock returns and macroeconomic variables are motivated by the use of various asset pricing specifications, based on which a number of empirical research has been conducted in both developed and emerging economies across the world [Nisha, 2015]. As such, the current study highlights notable empirical studies in this regard, followed by the research platform of the study and finally, the theoretical background of the proposed constructs has been discussed to determine the gaps for the study.