This research aims in analyzing the relationship between a number of variables influencing the Jakarta Islamic Index (JII). The study employs monthly series data panning from the period of October 2012 to March 2016. Variables used in this research are Jakarta Islamic Index, exchange rate, oil price, FTSE Malaysia and gold price. The analytical instrument used in this research is Vector Error Correction Model (VECM) to establish the short-run and long-run relationship. The result indicates that in the short-run, gold price negatively influencing JII and oil price positively influencing JII. However, in the long-run all variables are significantly influencing JII. Exchange rate and oil price are positively influencing JII, while gold price and FTSE Malaysia are negatively influencing JII.