They also need to trial the drug for much longer periods of time.
An effective drug would need to hold back the disease for years in order to make a significant difference to patients.
Parkinson's progresses slowly and the difference in this 60-week trial was definitely there, but was "trivial" in terms of the impact on day-to-day life, say the researchers.
The drug helps control blood sugar levels in diabetes by acting on a hormone sensor called GLP-1.
Those sensors are found in brain cells too. It is thought the drug makes those cells work more efficiently or helps them to survive.
It is why the drug is being tested in other neurodegenerative diseases including Alzheimer's.
David Dexter, the deputy director of research at Parkinson's UK, said: "The findings offer hope that drugs like exenatide can slow the course of Parkinson's - something no current treatment can do.
"Because Parkinson's can progress quite gradually, this study was probably too small and short to tell us whether exenatide can halt the progression of the condition, but it's certainly encouraging and warrants further investigation."
Dr Brian Fiske, from the The Michael J Fox Foundation for Parkinson's Research, said: "The results from the exenatide studies justify continued testing, but clinicians and patients are urged not to add exenatide to their regimens until more is known about their safety and impact on Parkinson's."