This study is aimed to examine the influence the Indonesia and USA economic fundamental indicators, which are measured by inflations, balance of trade, consumer confidence indexes (CCI), interest rates of central banks, money supplies, exchange rate of Rupiah, foreign exchange reserves and world oil prices against the shares rate of return and the level of value at risk (VaR) of stocks. Taking six shares of sharia companies in High Dividend 20 index of Indonesian Stock Exchange (IDX) during the period November 2013 to October 2018 as samples, the data is processed with the panel vector error correction model (VECM). The result shows that all the fundamental indicators of both countries have significant influences on the rate of return and the value at risk.