This paper re-examines the relation of stock market volatility with those of macro-finance variables using data from 1950 to 2009. Unlike the findings in previous studies, macroeconomic volatilities do affect aggregate stock volatility significantly if derivative trading is taken into consideration. On the other hand the evidence on greater stock return variability in economic downturn is ambiguous. It is argued that those findings are likely to have been caused by omitting variables for financial market activities. It is shown that derivative trading, either exchange trading or over the counter trading, increases stock volatility significantly.