Abstract
The purpose of this study is to investigate the causal relationship of exchange rate, balance of payment and money supply with stock return. The study uses Johansen & Juselius (1990) cointegration test and Granger causality test to find out the long-term and short-term relationship among the variables. The results show that only exchange rate has a unidirectional relationship with stock return. No causal relationship is found between stock returns, balance of payments, and money supply.