Predicting stock index and its movement has never been lack of attention among traders and professional analysts, because of the attractive financial gains. For the last two decades, extensive researches combined technical indicators with machine learning techniques to construct effective prediction models. This study is to investigate the impact of various data normalization methods on using support vector machine (SVM) and technical indicators to predict the price movement of stock index. The experimental results suggested that, the prediction system based on SVM and technical indicators, should carefully choose an appropriate data normalization method so as to avoid its negative influence on prediction accuracy and the processing time on training.