Applying the EGARCH model, this paper finds that Lithuania's stock market index is positively impacted by real GDP, the M2/GDP ratio, and the stock market indexes in the U.S. and Germany and negatively affected by the ratio of the government deficit to GDP, the LTL/USD exchange rate or depreciation of the litas, the domestic real interest rate, the expected inflation rate, and the euro area government bond yield. Hence, a declining government deficit/GDP ratio, a lower interest rate or more money supply relative to GDP, the appreciation of the litas, a lower foreign interest rate, or a robust world stock market would help the stock market in Lithuania .