Abstract - In this modern era, aspects related to stock returns are a very important part of the economy. The actions of entrepreneurs regarding stock returns are largely determined by fundamental factors that work as indicators for entrepreneurs interested in the stock exchange market. This research focuses on analysing the influence of fundamental factors on stock returns in a financial stock exchange market. The study aimed to reveal the influence of fundamental factors on stock returns with a small sector scale, in a financial field. This study uses a descriptive approach with empirical methods, to identify factors found in both consumer and financial industries listed on Indonesia’s Stock Exchange. The population of study comprised of companies involved in the consumer and financial goods industry group, listed on the Indonesian Stock Exchange market. Data collection was conducted using interviews, questionnaires, observations. The results showed that inflation, exchange rates, interest rates and economic growth have an influence on stock returns in the financial sector in the Indonesia’s Stock Exchange, reflected in the period between 2004 and 2018. It has been concluded that the financial institutions listed on Indonesia’s Stock Exchange, their economic activities are influenced by inflation, exchange rates, interest rates and economic growth which are mainly considered by investors when it comes to calculating stock returns.