The economies of many developed and developing countries are experiencing instability, characterized by a decline in economic performance. In a macroeconomic context, global instability affects several key indicators such as production indices, exchange rates, interest rates, and inflation rates. The occurrence of shocks to macroeconomic indicators certainly increases the volatility of a country's capital markets. This quantitative research examines the correlation of shocks to each key indicator of capital market performance in Indonesia and the United States. This research uses the VECM method. The research shows that the influence of macroeconomic indicators tends to fluctuate in the short term and is stable in the long term. Where the production and inflation indices have a positive and significant effect on the IDX Composite and the DJI, this is different from interest rates, which negatively impact the IDX Composite and DJI. Meanwhile, the exchange rate indicator has no significant effect on IDX Composite or DJI. The research also found that the IDX Composite was predominantly influenced by exchange rates and inflation, while the DJI was predominantly influenced by production index indicators, inflation, and interest rates.