The study examined the impact of seven international macroeconomic variables, including Industrial Production Index (IPS), Consumer Price Index (IPI), Federal Fund rate (TB), Exchange Rate (ExRate), Oil Prices (OILP) and International Stock Market (S&P 500) on five Asian stock exchanges, including the Karachi Stock Exchange, the Bombay Stock Exchange, the Shanghai Stock Exchange, the Kuala Lumpur Stock Exchange and the Korean Stock Composite Index. International macroeconomic variables are the variables of the United States. Monthly data for these variables are taken from Yahoo Finance and from the International Financial statistics from January 2001 to December 2011.