I am conducting a research on stock market. My Independent variables are Oil prices, Exchange rate, Interest rate, GDP & Inflation. And Dependent variables are Market return, and Sector wise returns of eleven sectors (industries) i.e. energy sector, oil and gas sector etc. My research time period is Jan 2005 to Dec 2014, with monthly observations. So which model should I apply to analyze the outcome? Is there any model which needed to run just one time to analyze all the data?
Start with vector autoregression (VAR). There are many variations of this thing, including VARMA, bayssian VAR etc.
Other similar approaches would be seemingly unrelated regressions (SUR), state-space models (kalman filter etc).
This is a very popular subject in finance literature, you should definitely read the papers to see what others are doing for there are numerous pitfalls and traps to fall. Don't do anything before getting familiar with the prior research in this area.