The purpose of this researh is to examine the impact of macroeconomic
indicators to stock market performance in case of Indonesia and Malaysia period of
January 2006 to December 2015. Macroeconomic indicators that used are gross
domestic product growth rate, inflation rate, and interest rate. The proxies of stock
market performance are stock market liquidity, market capitalization, and stock
market return. Indonesia stock market represented by JKSE and Malaysia
represented by KLSE. This research employs Multiple Regression analysis by using
backward elimination method. By using classical assumption for least squre, all the
data are free from heteroscedasticity, autocorrelation, and multicollinearity.
Regression result showed that Gross domestic product growth rate have no impact
to all proxy of stock market performance. Inflation rate have negative impact to
several proxies of stock market performance, which are market capitalization and
market return in Indonesia and market capitalization in Malaysia. While interest
rate have no impact to all proxy of stock market performance