This research was conducted by differences in sensitivity between industries sector in Indonesia Stock Exchange (IDX) and the debate about the influence of some domestic macroeconomic data on stock price. The independent variables were used are exchange rate for rupiah to US dollar, inflation, and BI rate, while the dependent variable that used is stock price of Sectoral Indices of IDX. This research uses quartile data from 2005 to 2013 with a sample of 36 time series data for each industry sector. The analysis technique which used is multiple regression analysis. There are four findings in this research. First, exchange rate, inflation and BI rate have a simultaneous effect on stock prices for each Sectoral Indices of IDX. Second, exchange rate has a partial effect on stock price for each Sectoral Indices of IDX. Third, inflation has no partial effect for each Sectoral Indices of IDX. Fourth, BI rate has a partial effect on stock price for six Sectoral Indices of IDX. They are Sectoral Index of Properties and Real Estate, Sectoral Index of Miscellaneous Industry, Sectoral Index of Manufacturing, Sectoral Index of Trade, Services and Investment, Sectoral Index of Mining, and Sectoral Index of Finance.