Nowadays, the interaction and dependence among various components in the capital markets, both locally and internationally, have become stronger than before, mainly on account of greater integration of financial markets, financial innovations, technology innovation which facilitate in massive flow of information among investors and policy makers. A better understanding regarding the dependence of asset prices is important for proper risk measurement which also helps in deriving full benefit of portfolio diversification by bank/financial analysts. Copula technique is a common technique in modeling the joint distribution and many researchers keen to observe it, cause of its accuracy and complexity as well as flexibility to combine it with another various evaluation method. This paper will dealing mainly on two research questions given, which is how can copula technique best described the relationship of dependence of four main index in the world to the Indonesian Index (JKSE) and which of the following index has the strongest correlation to the Indonesian index. This research used raw data of daily historical prices of five financial index (JKSE, FTSE,HSI, GSPC and N225) from October-2003 till October-2013. The dependence structure was analyzed by a copula technique between each pair of the index. As for the dependence measure, was stated by the correlation coefficient Rho. The model of copula that's being used in this study is a t-student copula, due to its heavier tail and much more suitable to explain the real condition of financial markets. The strongest correlation to the Indonesian index JKSE come from HSI (Hang Seng Index) with the Rho value 0,7575 (from the scale of 0-100). The second strongest index is GSPC index, with the correlation matrix percentage more than 60%. The relationship between JKSE-HIS, JKSE-GSPC, JKSE-FTSE had a positive sign. However, this is difference for the relationship between JKSE-N225 which has negative sign, but due to its small correlation percentage (-1,59%), the difference will not be too significant
