Objective - Basically the purpose of the company is to add value and maximize the wealth of shareholders. The added value of the company is reflected in the price of shares traded in the capital market. Stock prices higher than the rate of return obtained will be high-risk is also high, the stock price lower than the rate of return and low risk will be obtained. Risk is one factor that should be considered by the company. Systematic risk is the risk that cannot be diversified by the company. Therefore, companies must be able to know the determinants of the systematic risk in the company. The banking sector is one sector that is directly related to systematic risk.

Methodology/Technique - Sampling techniques by purposive sampling of the banks listed on the Indonesia Stock Exchange, from as many as 42 banks listed on the Indonesia Stock Exchange in accordance with the criteria as many as 31 banks. Technical analysis of the data conducted by data pool regression analysis.

Findings - The analysis of data on the banking sector beta is found that the beta value of the entire bank listed on the Indonesian Stock Exchange is under one it indicates that the banking sector is not unduly influenced by changes in market conditions.

Novelty - The research use combine financial ratio variable and macroeconomic variable

Type of Paper - Empirical

Keywords: Banking Sector, Capital Market, Determinant, Risk, Systematic Risk, Indonesia