The study of the relationship between the exchange rate and the stock index has been a popular topic among the scholar around the world. Situations and variety in the data affected the findings of the studies. Daily data, monthly data and exchange rate type data yield different result. This thesis examined the sample period using the Johansen Cointegrative Method to determine whether there is a cointegrative relationship among the variables. A short run analysis was conducted by employing the VECM and VAR model. The cointegration analysis, exhibits evidence for the existence of a long run relationship among the JCI, the exchange rate of the Rupiah per Yen and also the N225. The findings are very important for policy makers. Anything that affects the stock market, especially for Indonesia, Japan and US, could have an effect on the Indonesia future due to the complexity and interest of the country. However, by understanding important facts that have been revealed from the study, policy makers could anticipate and maintain a good economic atmosphere.