Stock return is the income and capital gains from an investment. The relationship between stock returns and macroeconomic variables has been the subject of interest among academics and professionals. 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; These studies considered gross domestic product, industrial production index, money supply, interest rates, price indices consumer or inflation rates, foreign stock market indexes, and other related variables. Their results suggest that most of these macroeconomic variables have significant impacts on the U.S. stock market index at various levels dynamic relationship between macroeconomic factors and the Jordanian stock market (Amman) using the vector error correction model (VECM) (Johansen 1991). of interest. The results indicated that there is a cointegration relationship between Amman stock prices and macroeconomic variables. Maysami, Howe and Atkin (2004), examines the relationship between macroeconomic variables and the Singapore Stock Market Index (STI) as well as various indices of Singapore's currency sector which is the financial index, real estate index and l hotel index. They used Johansen's (1990) VECM model and the selected macroeconomic variable they studied is short-term and long-term interest rate, industrial production, price levels and money supply. The result of the studies is that the central part of the paper variables is the exchange rate, industrial production, inflation rate and money supply. They used monthly data from January 2000 to December 2010 using cointegration and vector autoregression (VAR) time series techniques. The result shows that there is cointegration between Islamic stock prices and related macroeconomic variables. From the above discussion, it appears that there are numerous studies on macroeconomic variables and their impact on stock returns. Different studies have provided different results depending on the macroeconomic variable used and the research methodology employed. However, there are few studies that attempt to explore the relationship between Islamic bond returns and macroeconomic variables in Malaysia and Indonesia. Therefore, we find it interesting to investigate these effects and their relationship for the Malaysian and Indonesian context.