This paper re-examines the relation of stock volatility with those of macro-finance variables using data from 1950 to 2009. Unlike the findings in previous studies, some key macroeconomic volatility, in particular, that of industrial production is shown to have significantly positive effects on aggregate stock volatility while evidence of the greater stock return variability in economic downturn is ambiguous. It is argued that those findings are likely to have been caused by omitting variables regarding financial market activities. It is shown that derivative trading, either exchange trading or over the counter trading, significantly positive effects on stock volatility.