Perekonomian Indonesia saat ini masih didominasi sektor perbankan sebagai motor penggerak utama. Fungai intermodiasi perbankan sangat diharapkan untuk membawa perekonomian Indonesia maju, sehingga mencari hubungan antara variabel makroekonomi, karekteristik industri terhadap return saham perbankan menarik umuk diteliti. Kesimpulan yang didapat : 1. Rata-rata return saham perbankan lebih kecil dibandingkan rata-rata return pasar, 2. Dibandingkan tingkat fisiko pasar yang diukur dan standar deviasinya, mayoritas bank memiliki tingkat risiko di atas pasar, 3. return pasar berpengaruh positif temadap return mayoritas saham perbankan. 4. Pada umumnya model yang dibentuk tidak menunjukan signifikansi pungaruh variable-variable independen secara memadai. 5. Penambaban variabel makro dan karakteristik industri sebagn.i variabel indepemien dalam model tidak dapat menunjukan signifikansi.

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Indonesia's economy is still dominated by the banking sector as the main mover. Intermediary function is expected to bring Indonesia's economy forward, so it is attractive to look for the relationship between macroeconomic variables, characteristics of the industries to banking stocks return for examination. Conclusions obtained: 1. The average returns of banking stocks is smaller than the average market return. 2. Compared to the level of market risk as measured by standard deviation, the majority of banks have a risk level above the market 3. The market return positively affects the return ofthe majority of banking shares. 4. In general, the established model showed no significance influeoce ofindependeot variables adequately. 5. The addition of macroeconomic variables and industry charncteristics as independent variables in the model cannot show significance