This article is aimed at unveiling whether or not macro variables, market returns and characteristics of banking industries influence returns of banking shares. This research is historical quantitative one that used macro variables data such as inflation rate, BI 7 day repo rate, the exchange rate of Indonesian Rp/US $,  the amount of currency in circulation as well as return on the IHSG and banking credit variables during the research period of August 2016 to November 2018. Macro policies set by the government do not significantly affect banking shares. It is IHSG, inflation rate and credit variables only that have an influence on or relevance to returns of banking shares.