The main objectives of this study is to analyze the influence of macroeconomic variables to stock returns of 10 companies listed in Jakarta Islamic Index (JII) Indonesia Stock Exchange Market in the Arbitrage Pricing Theory framework and further conduct stock returns forecasting under Vector Autoregressive Model estimation. The macroeconomic variables in this study consist of Bank Indonesia interest rate, costumer price index, Brent international oil price and trading volume. The stock returns of 10 companies listed in JII and the selected macroeconomic variables are monthly panel data starting from December 2007 to January 2013. The result of this study indicates negative influence of Bank Indonesia interest rate and Brent international oil price to stock returns of 10 companies listed in JII. In addition costumer price index had positive influence to stock returns of 10 companies listed in JII. Meanwhile, trading volume had no causal relationship with stock returns; therefore, it cannot be involved in the Vector Autoregressive model. Impulse responses and Variance decomposition analysis results indicate that costumer price index had dominant influence to stock returns of 10 companies listed in JII rather than Bank Indonesia interest rate and Brent oil price. Eventually, on the basis of Schwarz Information Criteria (SIC), Akaike Information Criteria (AIC) and Automatic Eviews7 lag length determination we conclude that each equation consists of five lag value of stock returns, Bank Indonesia interest rate, costumer price index and Brent oil price. The estimated Vector Autoregressive VAR(5) predicts negative stock returns in year 2013.