<![CDATA[This study analyzes and compares the effects of Gross Domestic Product (GDP), Real Effective Exchange Rate (REER), Inflation, and Real Interest Rate (RIR) on the Indonesia Stock Exchange Composite Index (IHSG) and Kuala Lumpur Composite Index (KLCI) of Malaysia. Grounded in Fundamental Value Theory, Efficient Market Hypothesis, Fisher Effect, and Arbitrage Pricing Theory, this study employs a quantitative approach using the Autoregressive Distributed Lag (ARDL) model with Bounds Testing Cointegration on annual time series data spanning 1994-2024, comprising 31 observations per country. The results confirm long-run cointegration in both countries. GDP exerts a positive and significant effect on IHSG with a long-run elasticity of 1.44, and on KLCI with an elasticity of 0.87. Inflation positively affects IHSG but negatively affects KLCI, reflecting differences in monetary policy transmission mechanisms. REER is statistically significant only for KLCI, consistent with Malaysia’s higher trade openness compared to Indonesia. The speed of adjustment for IHSG is higher than for KLCI, indicating differences in market efficiency and maturity. These findings offer practical implications for investors designing regional portfolio diversification strategies and for policymakers formulating effective macroeconomic stabilization policies. Keywords: IHSG, KLCI, ARDL, Macroeconomic Variables, ASEAN Stock Market]]>
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