AbstractStock price is one of the most important leading indicators in the economy. It can be affected by a many factors including volatility of the market, current economic conditions and popularity of the company. Thus, stock price is an essential determinant of a country_s economic growth. The purpose of conducting this study is to examine the relationship between stock prices and selected variables namely exchange rate, inflation rate, interest rate, money supply, balance of trade, disposable income and gross domestic products. Quarterly data are used in this study ranges from 1999 to 2011. The statistical method used in this study is the multiple linear regression which is used in determining the relationship between dependent variable and independent variables. The findings of this study show that there are positive relationship between stock prices of the Kuala Lumpur Composite Index (KLCI) with the balance of trade and interest rate. This study emphasizes on the effects of selected var.....