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Abstract-This study aims to determine the relationship between selected macroeconomic namely exchange rate, WTI crude oil prices, and inflation on selected sectoral index, namely the mining sector, financial sector, and the basic industrial and chemical sectors. We used monthly data from January 2013 to March 2019. The methodology used in this paper is time series techniques of stationarity test, Johansen Co-integration test, Ganger Causality test, and vector autoregression (VAR). The results revealed that there is exchange rate, WTI crude oil prices, inflation, the mining sector, and the basic industrial and chemical sectors reached stationary at the first difference level. Johansen Co-integration test results representing a long run balance and equilibrium do not have relation among variables. The Ganger Causality test indicated that the mining sector, the financial sector, and the basic industrial and chemical sectors are has causal relationship with WTI crude oil prices. The basic industrial and chemical sectors is have causal relationship with exchange rate, and then inflation is have causal relation with the mining sector. These macroeconomic factors considered to be emphasized as the policy instruments by the governments in order to stabilize the mining sector, financial sector, and the basic industrial and chemical sectors.