The movements of macroeconomic variables are highly sensitive to the changes on a stock price return and to the changes in expectations about future anticipations. Accordingly, this study aims to demonstrate how some major macroeconomic variables which are viewed as the indicator can best explain the movement of stock price for stock investing profit impact on the market price return of the USA, Japan and China. The monthly data have been used for the empirical result during the period of 2005-2015. Also, their impact of the selected macroeconomic variables on the market price index that says CPI, GDP, PMI, money supply and the unemployment rate are examined by the single and multiple regression analysis in this study. We found GDP will significantly positively impact on the stock price of all sample markets. Secondly, the market price of China, that says is Shanghai stock market, is positively affected by all the selected five macroeconomic variables. Furthermore, it found that the explanatory ability of multiple regressions model is significantly better than single regression.
