This study aims to explore the relationship between the stock index and Industrial Production index in Brazil, Russia, India and China, dating from January 2000 to September 2016. Firstly, we use the ADF (Augmented Dicky Fuller) to test the stability of time-series data. Secondly, we will compare the difference among the countries by using cointegration test, and check whether there is a long-term relationship between variables. Lastly, we utilize the Granger causality to check the relationship between variables, presenting the economic implications in the results. The findings indicate that the domestic stock price index change in Brazil and Russia will influence industrial average change. We may use the stock price index change to forecast industrial production trend. In India, the stock price index and the industrial production possess bidirectional causal relation. But the stock price index and the industrial production index do not have the causal relation in China.
