Dear Muhammad, the problem with what you are proposing is that the currency of the stock market or index is usually the currency of the country it works on. My suggestion will be to establish a currency rate with the index currency and the Malaysian that is stable. You can take monthly currency during the last year and have an average. 

After that you can take the stork market on excel (with Bloomberg or Visual Chart) and apply the currency. It would be the easiest way. 

If you are publishing, it is very important that you explain how and why you chose the currency rate

Dear  Mauricio thank you for answering my question. For normal series we can convert the series currency (dollar) into desired currency (ringgit)  by multiplying with exchange rate (dollar/rm). I agree with you. I was wondering that the procedure may be different for an index series.

Muhammad, I understand. This is called cross currencies, it is not different from what you suggest and it is valid. 

I am sending you the following link for you tu check the methodology: http://www.londonstockexchange.com/news/learning-centre/forextradingcentre/currenciesandcrossrates/currenciesandcrossrates.htm

Hi Muhammad, for most practical purposes, converting the index into ringgit by multiplying by the respective exchange rate should be sufficient. I would do this at the data frequency which corresponds to your data set. Thus, if you have daily index values, use daily exchange rates. If you have a choice between several exchange rates, use the one that is determined as close as possible to the close of trading at the exchange (I assume that the index you are using is calculated from closing prices, so an exchange rate observed at the close of trading should work best).

Hi Prof Eric, Thanks for answering my query. Yes I am using the closing price with both series at same frequency.  

https://www.researchgate.net/publication/285590240_Sensitivity_Analysis_of_Macroeconomic_Variables_and_Stock_Returns_A_Cross-Country_Comparison_between_Bangladesh_and_India

Book Sensitivity Analysis of Macroeconomic Variables and Stock Re...