Macroeconomic changes will impact financial market stability through certain pathways. This paper uses big data technology to analyze relevant research literature and determine the evaluation index of macroeconomic changes and the financial market stability index. The GARCH model is used to quantitatively measure macroeconomic changes as an independent variable in the empirical analysis. The stability index of the financial market is measured by the financial market stability evaluation index system, and the indexes that contribute more to the stability of the financial market in the index system are explored as principal components using principal component analysis. The vector autoregressive model based on Lag 2 empirically analyzes the impact of macroeconomic changes on the stability of financial markets. Macroeconomic changes promote financial market stability in one period but can negatively impact it in the second period. Its unfavorable impact on financial market stability will outweigh the positive impact, i.e., eventually. Macroeconomic changes will adversely affect the stability index of financial markets.