This study aims to analyze the causality relationship and the long-term and short-term effects of the Islamic stock market and the Indonesia-Malaysia macroeconomic variables. The model used is ARDL (Auto-Regressive Distributed Lag), with monthly data from 2008: 01 to 2018: 12. The results showed that the JII variable had a positive and significant effect on the exchange rate in the long run. Short-term estimation results for Malaysia only variable interest rates have a negative and significant effect on Malaysian sharia shares. The results of the testing of the causality of the Indonesian sharia stock market and the five macroeconomic variables namely interbank interest rates (JIBOR), inflation, exchange rates, and foreign exchange reserves are one-way related. Unlike the case with Malaysia, the KLIBOR Interest Rate has a two-way relationship to Malaysian Sharia Shares. Certainty the right monetary policy will drive the development of the Indonesian economy. The results of this study can be useful for evaluating the development of sharia investment in order to avoid crisis shocks and macroeconomic impacts that occur at any time, both in Indonesia and Malaysia. Therefore, research on the causality of macroeconomic variables is very important to continue to be done to minimize the risks associated with Islamic investment.