This is a known drawback of stepwise (and non-stepwise as well). It is caused by multi-collinearity among your X variables. Many techinques, such as PROC REG, PROC GLM, PROC LOGISTIC and so on can be very sensitive to multi-collinearity and can produce coefficients with the wrong sign.
An alternative is PROC PLS, which is surprisingly robust to multi-collinearity (and doesn't generally produce coefficients with the wrong sign). The lead programmer of PROC PLS wrote this paper, in which he fits a model with 1000 highly correlated x variables, does not bother with the step of variable selection, and still gets a useful model from PLS (Note: the syntax in the paper is very old and doesn't work in the current PROC PLS).
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