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Stock markets can attract considerable attention for most countries, because the stock markets has an important role for a country's economy. Indonesia has a burgeoning capital market where in general its development is very vulnerable to macroeconomic conditions. On of indicator to see how the development of capital markets in Indonesia is to use the Indonesian Composite Index (IHSG), which is one of the stock market index used by the Indonesia Stock Exchange (IDX). This research aimed to analyzing the effects of exchange rates, interest rates, inflation, and money supply towards the value Indonesian Composite Index (IHSG) in Indonesia Stock Exchange (BEI). The method used in this research is Error Correction Model (ECM) method. This research used the monthly data from 2010-2017 for every research variable. The results of research using ECM analysis shows that simultaneously variable of rupiah exchange rate, interest rate, inflation, and money supply influence to Indonesian Composite Index (IHSG). While partially, the rupiah exchange rate variable has a negative and significant effect on the Indonesian Composite Index (IHSG). Variable Interest rates and inflation variables insignificantly influence the Indonesian Composite Index (IHSG). While the variable of money supply has a significant positive effect on the Indonesian Composite Index (IHSG).