Regressing the Equity Premium against Macroeconomic Variables

Long story short, I was performing a linear regression on the explanatory power of the GDP and/or the GDP growth rate (independent variables) of an economy versus the equity premium (dependent variable) of a stock index. I found disappointing results whereby the coefficient of these explanatory variables are close to zero with a strong level of statistical significance.

This tells me that these macroeconomic variables are strongly uncorrelated with the performance of the stock market.

I continued this test with the consumer price index (CPI) and another measure that proxies for the consumer confidence (likely to be spending in the economy).

My Question: Is the stock market disentangled with the economy? Or could there be something wrong with my model?

Regressing the Equity Premium against Macroeconomic Variables

Long story short, I was performing a linear regression on the explanatory power of the GDP and/or the GDP growth rate (independent variables) of an economy versus the equity premium (dependent variable) of a stock index. I found disappointing results whereby the coefficient of these explanatory variables are close to zero with a strong level of statistical significance.

This tells me that these macroeconomic variables are strongly uncorrelated with the performance of the stock market.

I continued this test with the consumer price index (CPI) and another measure that proxies for the consumer confidence (likely to be spending in the economy) - and I found the same results, close to zero coefficient with a strong level of statistical significance.

My Question: Is the stock market disentangled with the economy? Or could there be something wrong with my model?