Stock returns include income and capital gains relating to an investment. The relationship between stock return and macroeconomic variable has attracted the interest of scholars and practitioners. Many previous studies examining the impact of macroeconomic variables on the stock market focus on the United States (Fama, 1981, 1990; Campbell and Shiller, 1988; Fama and French, 1989; Chen, Roll, and Ross, 1986; Abdullah and Hayworth, 1993; Cheung and Ng, 1998; Humpe and Macmillan, 2009; exchange rates, consumer price indexes or inflation rates, foreign stock indexes and other related variables Their results suggest that most of these macroeconomic variables have significant impacts on the US stock index at. varying degrees. Sharkas (2004) studies the dynamic relationship between macroeconomic factors and the Jordanian (Amman) stock market using a vector error correction model (VECM) (Johansen 1991). real economic activity, money supply, inflation and interest rates. The results indicated that there is a cointegration relationship between Amman stock prices and macroeconomic variables. Maysami, Howe, and Atkin (2004) examine the relationship between macroeconomic variables and the Singapore Stock Index (STI), as well as various indices of the Singapore stock sector. which is the financial index, the real estate index and the hotel index. They used the VECM model of Johansen (1990) and the selected macroeconomic variable they studied is short and long term interest rate, industrial production, price levels and money supply. The result of the studies is the middle of paper ......laughable, namely the exchange rate, industrial production, inflation rate and money supply. They used monthly data from January 2000 to December 2010 using co-integration and vector autoregression (VAR) time series techniques. The result shows that there is cointegration between Islamic stock prices and associated macroeconomic variables. From the discussion above, it appears that there are a number of studies on macroeconomic variables and their impacts on stock returns. Different studies have provided different results depending on the macroeconomic variable used and the research methodology used. However, few studies attempt to explore the relationship between Islamic stock returns and macroeconomic variables in Malaysia and Indonesia. Therefore, we find it interesting to study these effects and their relationship in the Malaysian and Indonesian context..