1.0 IntroductionBased on OECD Factbook 2013: Economic, Environmental and Social Statistics, Foreign direct investment defined as cross-border investment by other investors in the economy who had the objective to gain long-term interest or benefit from other countries that need capital for development. FDI is divided into 3 categories: horizontal FDI, platform FDI, and vertical FDI. Kimberly says foreign direct investment represents global economic growth that applies to all countries, such as developing and emerging countries. The main purpose of foreign direct investment is for the investor from other countries to invest the surplus capital in other countries to benefit from it. At the same time, developing countries will gain more benefits in terms of capital, technology transfer and human skills that increase the development of countries. Developing country always needs the fund or financial help from all resources to develop their country. Foreign direct investments are made by multinational companies for expansion into developing countries based on the conditions of the country. What is foreign direct investment (FDI)? Foreign direct investment is the investment made by the multinational company in another country through funds or investments that invest directly in the company. Foreign direct investments are different from indirect investments, such as portfolio flows or stocks listed on a nation's stock exchange. FDI is divided into horizontal, vertical and conglomerate. Apart from this, FDI can be used to take over companies from other countries and for entry into greenfield areas. The International Monetary Fund (1977) stated that foreign direct investment is an investment made to acquire a lasting interest in an enterprise operating in an economy by the investor whose interest in having...... means of paper ......provide as an introduction and objective of our research, while chapter 2 will preview the literature review related to the previous study on the relationship between stock price and foreign direct investment. In chapter 3, the methodology of our study will provide as a guideline for chapters 4 and 5. . While in chapters 4 and 5, we will come out with the result and draw a conclusion based on the result we get. 1.6 Methodology In this study, we estimate the relationship between stock market and foreign direct investment which are in the long-term relationship using Johnansen cointegration approach. In addition to this, we measure the short-term relationship between the stock market and foreign direct investment using the var approach. The variables in this study are stock market trading volume, exchange rate, inflation rate and foreign direct investment from Indonesia, China and Malaysia