The main objective of the study is to examine the cointegrating relationship between the stock market and bond markets in India. Nifty 50 Index return and 10-year government bond yield are taken as variables to measure the cointegrating relationship between stock returns and bond yield. The Johansen test and Engle-Granger test are used to examine the cointegration between stock returns and bond yields. The results suggest a long-term cointegrating relationship between Nifty returns and bond yields. The results of OLS indicate that bond yield negatively influences stock returns. The study implies that a decrease in bond yield will trigger a positive rise in stock returns. This requires investors to regularly track the movement of changes in bond yields to anticipate the likely reaction in stock returns. On the contrary, the results of the Granger causality test indicate that bond yield does not Granger-cause Nifty returns and vice-versa. The paper thus offers mixed results regarding the causal relationship between bond yield and stock returns.