: This study aims to analyze how the effect of macroeconomic variables on stock returns in Indonesia. Stock returns in this study using two approaches, JCI and LQ45. The selection of macroeconomic variables in this study is an adaptation of the research which using a variable index of industrial production, money supply (M2), SBI rate and the exchange rate against the dollarto determine the risk of the domestic macroeconomic and usingthe federal funds rate variable to determine the risk of macroeconomic abroad in the form of U.S. monetary policy shocks. Techniques of analysis in this study using time seriesVAR (Vector Autoregresive). The data used in this study are monthly time series data. The results of this study indicate that monetary sector has a direct impact on stock price movements in Indonesia compared to the realactivity indicated by the absence ofa direct effect of changes in the industrial production index for the stock price index movement either JCI nor LQ45. This study also indicate the U.S. monetary policy shock directly affects stock returns in Indonesia Stock Exchange (IDX)
