This study aims to determine the co-integration relationship and causality relationship between Gold Price, Exchange Rate Changes and Jakarta Composite Index in BEI (Indonesia Stock Exchange) for the period 2nd January, 2004 to 30th December, 2013. It is important to have a portfolio in investment to diversify the investment to different kinds of instruments. Based on previous research, it is concluded that gold is a good portfolio diversifier, a hedge against stock and safe haven in extreme stock market condition. Since gold is an important saving and investment instrument in Indonesia, it is expected that gold may be looked upon as alternative asset for those holding idle money and for speculative purposes. The prices of the gold are increasing and the price of the gold is affected by the various factors like exchange rate of US dollar with IDR, and Jakarta Composite Index (JCI). The research methodology consists in co-integration and Granger causality tests performed on daily data frequency.