This study is based on the stock valuation model, which states that stock returns are affected by economic factors (Mukherjee and Naka, 1995). This study aims to examine the relationship between some international macroeconomic factors and Asian stock markets. This study uses the price index of selected Asian countries to represent their stock market. Several econometrics tests are used, including unit roots, co-integration (1988, 1990) and Granger causality (1981). Co-integration is used to find the long-run relationship between