Abstract: Share price index is constructed as a guide for investors to monitor the movement of the company shares as investment portfolio. Macroeconomic variables and the level of risks need to be identified to produce the best and most profitable portfolio. This research aims to build an index specific topalm plantation subsector calledPalm Price Share Index (IHSS). The index was arranged using Market Value Weighted Average method, with 12 palmcompanies in Indonesia as the sample, within the period between 2010-2015. The risk was calculated by measuring the volatility using ARCH/GARCH. Macroeconomic variables such as interest rates, inflation, Food IPI,exchange rate to USD, and Global CPO against IHSS volatility using multiple regression to make it easier to analyze the movement of part or all IHSS. The result of the research shows that palm stock is quite risky because of its high volatility, and all the five macroeconomic variables aresignificantly influential to the movement of IHSS.