The purpose of this paper is to investigate the effect of macroeconomic variables on stock returns of chemical and petrochemical companies. In this regard, the seasonal data related to stock returns of 18 active chemical and petrochemical companies in the stock market and some important macroeconomic variables during the years 2007-2016 has been used. Also a panel vector auto regression models (PVAR) is considered for model estimation. Then, case study including six variables of stock returns, chemical and petrochemical companies, oil prices, real exchange rate, chemical and petrochemical price index and deposit interest rate was estimated using the PVAR model .The results of the estimation through the PVAR model and the impacts analysis show that the deposit interest rate has a negative effect on stock returns and the effect of the shock on equity interests is about three periods. And the real exchange rate shock also has a positive impact on stock returns, and adjusting the effect of this shock on equity stocks takes about three periods to take. And the shock of the oil price outflow has had a negative effect on stock returns, with the effect of adjusting those four periods of time. And ultimately, the shock of the entire stock market has a positive effect on the stock and the adjustment of the effect of these three periods of time will last.