The research is aimed to test the influence of fundamental factor measured by Price Earnings Ratio (PER), and Price to Book Value Ratio (PBV), macro-economy indicator measured by inflation rate, and exchange rate toward return stock of the companies recorded in Jakarta Islamic Index in the year period of 2012-2014. The consideration of population selection is that Jakarta Islamic Index is the benchmark of the development of stock type which is appropriate with sharia concept. <em> </em>The analysis tool used was double linier regression using T Test to examine the effect of independent variable to the dependent variable partially, and F Test to examine the variable simultaneously. The test was conducted for the whole annual data. The research results in the findings that the determination coefficient attained partially using T Test presents three out of four variables had no significant effect of return. The findings indicate that the data has higher sensitivity although at the same time the data reveals that independent variable simultaneously affects significantly toward dependent variable