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This study aims to determine the integration between Indonesian Islamic Stock Index (ISSI), inflation, money supply, and exchange rate. Data analysis used ISSI, inflation, money supply, and exchange rate from January 2012 to December 2018. This research approach uses a quantitative approach with a VAR (Vector Auto Regressive) analysis model. Supported by stationarity test, optimal lag test, VAR model stability test, granger causality test, impulse response function test and variance decomposition test, assisted with Eviews version 9 software. The findings research of this 5% alpha shows that the results of VAR analysis of Varince Decomposition test indicate that variable exchange rates, inflation, and money supply are integrated into the ISSI in the short term observation. The exchange rate has 49,00 % dominant effect, money supply has the lowest effects which is 2,46%. The results of the granger causality test shows that all variables have a causality relationship with each other, that means each variable has a 2-way relationship with other variables. The results of the impulse response function test show that the ISSI responds negatively to inflation and exchange rates. While the ISSI responds positively to the money supply.