By making clear the relationship between inflation rates and stock real return in different states of inflation’s trend, this article finds the correlation between stock market and macroeconomic variables. By econometric testing, it is showed that weak negative relationship between real stock return and inflation stems from weak proxy effect during Jan 1994 to Dec 1999 which is characterized as go-down trend of inflation and strong negative real stock return-inflation relationship stems from remarkable proxy and money illusion effect during Jan 2000 to September 2011 which is characterized as go-up trend of inflation, so the transmission mechanism of inflation rate to market and the sensitivity of stock price changes to macroeconomic news depends on the state of inflation and implementing the appropriate tight monetary policy in advance to control the go-up trend of inflation can maintains the stability of stock market.