Capital market is one of today's economic instruments that has developed very rapidly. One way to measure the performance of capital market is by stock index. Many factors can affect the stock index, such as both macro and micro economic factors. The purpose of this research aims to analyze the impact of global index and macro economic factors on Composite Stock Price Index and LQ-45 Index at Bursa Efek Indonesia both simultaneously and partially. The data used are daily time series for the period of January 2006-December 2010. The analytical method used in this study is multiple regression analysis performed with SPSS 19.0. By applying this multiple regression method, it is revealed that global index were the independent variables having significant impact on Composite Stock Price Index and LQ-45 Index while the two macro economic factors (riil interest rate and exchange rate) did not have significant impact. From the result it can be drawn that there was a big simultaneous impact of the independent variable on Composite Stock Price Index and LQ-45 Index.