The aim of this study is to explore the effect of variable inflation, interest rates, foreign exchange reserves, money supply, exchange rate of USD-IDR to the price return of the stock on the the cement sub-sector of chemical industry sector in Indonesia, namely for cement companies listed in Indonesia Stock Exchange for the period January 2009 to February 2013. The results show that there is a correlation correlation ( r) of 0.48388 , which means that there is a relationship being between the rate of inflation, foreign exchange reserves, USD-IDR exchange rate, interest rates and the money supply to the cement sector stock return means that the contribution of the relationship is of 23.4139 %. Shown also that the rate of inflation, the State reserves and the money supply has a significant influence on stock returns with t-statistics level consecutively is 6.064 for inflation, 4.914 fo foreign exchange reserves and 3.161 for the number of money supply, which is due to the value of t-statistic > 1.96. As for the interest rate and the exchange rate of USD-IDR does not have significant influence.