Market cap of a company = number of shares issued x share price.

Why does Singapore composite index much more higher than Malaysia? and Hang Seng Index is about 15 times higher than Malaysia too.
Does that mean those listed companies in SG and HK are more financially stronger compare to those in Malaysia?

You cannot take like to like comparison with the index. Index is just a virtual number, just like KLCI start at 1986 (if not mistaken) with 100 points, while if you see FBM30, it started around 6,600 last year. To compute current index or share price of the component, 100 points is the based to use to calculate.

Index carries not much meaning. Todayi HSI is 23,000. Tomorrow, the HKex authorities can decide not to use HSI anymore and reform another new index, it can start at 1,000 or 50,000. Index is just a base comparison. Just like KLCI now is 1390 so it is benchmark against that it had risen 13.9x since its inception.

But if (not the real situation) KLCI started at 100 points while STI also started at the same level and same time. If STI index is double than KLCI like currently, then it means their shares price performance is doubled than KLCI.

But index performance can mean their better performance in economy as only good economy growth will generate more earning (profit) to listed company which eventually translate into higher share price.

Share price per se does not mean anything.  You are always measuring the market price (i.e. the traded share price) of a company relative to the fair value estimate of the equity of the company.

3. Volume - I assume you probably mean the traded volume information you see in the business pages.  This indicator is important as it tells you, from a technical analysis perspective, where the floor / ceiling for a trading range is going to be.  Furthermore, it also tells you how liquid the stock is, or how susceptible it is to be controlled by a small trading group / syndicate.