Abstract - This research is related to the impact of macroeconomic factors to the movement of the stock price index in Southeast Asian countries. The macro economic factors which became the independent variable (X) in this study, consisted of inflation, exchange rate and gross domestic product (GDP), while the dependent variable(Y) is the stock price index. Data was analyzed using the panel data regression analysis, with Eviews 8 as the data processing tool. The results showed a positive and significant impact of the exchange rate on the stock price index, while the GDP had a significant and negative effect on stock price index, and the inflation is not significant impact on stock indexes. From these results it can be concluded that the exchange rate and GDP significantly affect a company's ability to increase shareholder value. Thus the government in Southeast Asian countries needs to formulate appropriate policies regarding exchange rates and GDP, so that every industry can run well and support the pace of economic growth.