This paper aims to investigate whether Shari'ah stock index, exchange rates and macroeconomic forces in Japan have any long run relationship or not. If the relationship exists, does the Shari'ah stock index lead or lag? The paper is likely to be the first study that investigates the causal relationship of aforementioned variables and the Shari'ah Index in Japan. Current literature on the topic in different countries gives either contradictory or inclusive results. This study will try to fill two gaps, one relating to Japan, and another relating to Islamic Indices. It employed quarterly data from 2007 to 2017. Auto-Regressive Distributed lag (ARDL) time series technique is applied to conduct the study. This technique is free of major limitations of the conventional cointegrating tests as they suffer from the pre-test biases involved in the unit roots and cointegration. The empirical evidence tends to suggest that both in the short- and long-run, money supply, exchange rate, and GOP have a significant relationship with Japan's Shari'ah stock prices ...