Institutional investment has played a major role in determining the augmentation of the Indian stock market. This study has been undertaken to reexamine this role of the institutional investors in the current scenario. The present study aims at investigating the dynamic relationship of foreign institutional investors and domestic institutional investors with the Indian stock market return, in the presence of market fundamentals such as exchange rate and call money rate. The present study has tried to analyse the dynamic interaction of these specified variables with respect to the NSE stock market index, Nifty return, by considering a period of five years, from January 2015 to December 2020. The study has used monthly data set. To explore the dynamic relationship of the institutional investments with the NSE stock market index nifty return, augmented Dickey-Fuller test and vector auto regression model have been used. The study result showed that there does not exist any interlinkage among the different variables of the study, such as FII, DII, and stock market of India.